IDEAS home Printed from https://ideas.repec.org/h/spr/isochp/978-1-4419-9943-6_4.html
   My bibliography  Save this book chapter

Valuation of Risky Projects and Illiquid Investments Using Portfolio Selection Models

In: Portfolio Decision Analysis

Author

Listed:
  • Janne Gustafsson

    (Ilmarinen Mutual Pension Insurance Company, Porkkalankatu 1)

  • Bert Reyck

    (University College London
    London Business School)

  • Zeger Degraeve

    (London Business School)

  • Ahti Salo

    (Aalto University School of Science)

Abstract

We develop a portfolio selection framework for the valuation of projects and other illiquid investments for an investor who can invest in a portfolio of private, illiquid investment opportunities as well as in securities in financial markets, but who cannot necessarily replicate project cash flows using financial intruments. We demonstrate how project values can be solved using an inverse optimization procedure and prove several general analytical properties for project values. We also provide an illustrative example on the modeling and pricing of multiperiod projects that are characterized by managerial flexibility.

Suggested Citation

  • Janne Gustafsson & Bert Reyck & Zeger Degraeve & Ahti Salo, 2011. "Valuation of Risky Projects and Illiquid Investments Using Portfolio Selection Models," International Series in Operations Research & Management Science, in: Ahti Salo & Jeffrey Keisler & Alec Morton (ed.), Portfolio Decision Analysis, chapter 0, pages 79-105, Springer.
    • Handle: RePEc:spr:isochp:978-1-4419-9943-6_4
    DOI: 10.1007/978-1-4419-9943-6_4
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Janne Gustafsson, 2020. "Valuation of Research and Development Projects Using Buying and Selling Prices: Generalized Definitions," Decision Analysis, INFORMS, vol. 17(2), pages 154-168, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:isochp:978-1-4419-9943-6_4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.