A dynamic programming approach for evaluating a portfolio of R&D projects with a budget

Detalhes bibliográficos
Autor(a) principal: Costa, A.
Data de Publicação: 2014
Outros Autores: Paixão, J. P.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://ciencia.iscte-iul.pt/public/pub/id/19817
http://hdl.handle.net/10071/9568
Resumo: The Real Options approach has proved to be a suitable methodology for capturing the flexibility in the investment decision process. This is very useful for the financial evaluation of R&D projects where there are several possible decisions concerning to the investment – delaying, improving or abandoning. Since the risk of an R&D project is usually due to singular characteristics of the project and is uncorrelated with the financial markets, the contingent claims analysis may be not adequate to value R&D projects. Based on a dynamic programming evaluation model, presented in Huchzermeier and Loch [1], we propose an approach to valuing a portfolio of R&D projects with a budget. Specifically, considering a budget constraint, we make an extension of the model mentioned above for assessing the projects in the portfolio simultaneously. To test the proposed evaluation procedure, we generated several R&D portfolios with different dimensions and characteristics. According to our computational experience, the main conclusions are presented.
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spelling A dynamic programming approach for evaluating a portfolio of R&D projects with a budgetStochastic dynamic programmingProject evaluationR&D projectReal optionsThe Real Options approach has proved to be a suitable methodology for capturing the flexibility in the investment decision process. This is very useful for the financial evaluation of R&D projects where there are several possible decisions concerning to the investment – delaying, improving or abandoning. Since the risk of an R&D project is usually due to singular characteristics of the project and is uncorrelated with the financial markets, the contingent claims analysis may be not adequate to value R&D projects. Based on a dynamic programming evaluation model, presented in Huchzermeier and Loch [1], we propose an approach to valuing a portfolio of R&D projects with a budget. Specifically, considering a budget constraint, we make an extension of the model mentioned above for assessing the projects in the portfolio simultaneously. To test the proposed evaluation procedure, we generated several R&D portfolios with different dimensions and characteristics. According to our computational experience, the main conclusions are presented.Scientific Online Publishing2015-08-05T11:54:27Z2014-01-01T00:00:00Z20142015-08-05T11:52:07Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/19817http://hdl.handle.net/10071/9568eng2373-8472Costa, A.Paixão, J. P.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:38:54Zoai:repositorio.iscte-iul.pt:10071/9568Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:17:51.110846Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A dynamic programming approach for evaluating a portfolio of R&D projects with a budget
title A dynamic programming approach for evaluating a portfolio of R&D projects with a budget
spellingShingle A dynamic programming approach for evaluating a portfolio of R&D projects with a budget
Costa, A.
Stochastic dynamic programming
Project evaluation
R&D project
Real options
title_short A dynamic programming approach for evaluating a portfolio of R&D projects with a budget
title_full A dynamic programming approach for evaluating a portfolio of R&D projects with a budget
title_fullStr A dynamic programming approach for evaluating a portfolio of R&D projects with a budget
title_full_unstemmed A dynamic programming approach for evaluating a portfolio of R&D projects with a budget
title_sort A dynamic programming approach for evaluating a portfolio of R&D projects with a budget
author Costa, A.
author_facet Costa, A.
Paixão, J. P.
author_role author
author2 Paixão, J. P.
author2_role author
dc.contributor.author.fl_str_mv Costa, A.
Paixão, J. P.
dc.subject.por.fl_str_mv Stochastic dynamic programming
Project evaluation
R&D project
Real options
topic Stochastic dynamic programming
Project evaluation
R&D project
Real options
description The Real Options approach has proved to be a suitable methodology for capturing the flexibility in the investment decision process. This is very useful for the financial evaluation of R&D projects where there are several possible decisions concerning to the investment – delaying, improving or abandoning. Since the risk of an R&D project is usually due to singular characteristics of the project and is uncorrelated with the financial markets, the contingent claims analysis may be not adequate to value R&D projects. Based on a dynamic programming evaluation model, presented in Huchzermeier and Loch [1], we propose an approach to valuing a portfolio of R&D projects with a budget. Specifically, considering a budget constraint, we make an extension of the model mentioned above for assessing the projects in the portfolio simultaneously. To test the proposed evaluation procedure, we generated several R&D portfolios with different dimensions and characteristics. According to our computational experience, the main conclusions are presented.
publishDate 2014
dc.date.none.fl_str_mv 2014-01-01T00:00:00Z
2014
2015-08-05T11:54:27Z
2015-08-05T11:52:07Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://ciencia.iscte-iul.pt/public/pub/id/19817
http://hdl.handle.net/10071/9568
url https://ciencia.iscte-iul.pt/public/pub/id/19817
http://hdl.handle.net/10071/9568
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2373-8472
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Scientific Online Publishing
publisher.none.fl_str_mv Scientific Online Publishing
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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