Publication Type
Book Chapter
Version
publishedVersion
Publication Date
6-2011
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 instruments. 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.
Keywords
Portfolio selection, investments, portfolio decision analysis
Discipline
Operations and Supply Chain Management | Portfolio and Security Analysis
Research Areas
Operations Management
Publication
Portfolio decision analysis
Editor
A. Salo, J. Keisler, & A. Morton
First Page
79
Last Page
105
ISBN
9781441999429
Identifier
10.1007/978-1-4419-9943-6_4
Publisher
Springer
City or Country
Cham
Embargo Period
8-31-2021
Citation
GUSTAFSSON, Janne; DE REYCK, Bert; DEGRAEVE, Zeger; and SALO, Ahti.
Valuation of risky projects and other illiquid investments using portfolio selection models. (2011). Portfolio decision analysis. 79-105.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6773
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1007/978-1-4419-9943-6_4