Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach

DOI10.1016/j.cor.2018.06.017zbMath1458.91222OpenAlexW2891287501WikidataQ129267996 ScholiaQ129267996MaRDI QIDQ2289885

John W. Polak, David M. Gann, Sebastian Maier

Publication date: 27 January 2020

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/62169

zbMATH Keywords

approximate dynamic programminginfluence diagramsimulation-and-regressionreal options portfolionatural resource investment

Mathematics Subject Classification ID

Integer programming (90C10) Stochastic programming (90C15) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (6)

Time-varying minimum-cost portfolio insurance under transaction costs problem via beetle antennae search algorithm (BAS) ⋮ Mature offshore oil field development: solving a real options problem using stochastic dual dynamic integer programming ⋮ Portfolio optimization for inventory financing: copula-based approaches ⋮ Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties ⋮ A deep real options policy for sequential service region design and timing ⋮ Re-evaluating natural resource investments under uncertainty: an alternative to limited traditional approaches

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