An approximate solution approach for a scenario-based capital budgeting model
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Outros Autores: | |
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/6157 http://hdl.handle.net/10071/9930 |
Resumo: | Real options techniques such as contingent claims analysis and dynamic programming can be used for project evaluation when the project develops stochastically over time and the decision to invest into this project can be postponed. Following that perspective, Meier et al. (Oper Res 49(2):196-2 06, 2001) presented a scenario based model that captures risk uncertainty and managerial flexibility, maximizing the time-varying of a portfolio of investment options. However, the corresponding linear integer program turns out to be quite intractable even for a small number of projects and time periods. In this paper, we propose a heuristic approach based on an alternative scenario based model involving a much less number of variables. The new approach allows the determination of reasonable quality approximate solutions with huge reductions on the computational times required for solving large size instances. |
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An approximate solution approach for a scenario-based capital budgeting model0-1 integer programmingCapital budgetingReal optionsScenario-based optimizationReal options techniques such as contingent claims analysis and dynamic programming can be used for project evaluation when the project develops stochastically over time and the decision to invest into this project can be postponed. Following that perspective, Meier et al. (Oper Res 49(2):196-2 06, 2001) presented a scenario based model that captures risk uncertainty and managerial flexibility, maximizing the time-varying of a portfolio of investment options. However, the corresponding linear integer program turns out to be quite intractable even for a small number of projects and time periods. In this paper, we propose a heuristic approach based on an alternative scenario based model involving a much less number of variables. The new approach allows the determination of reasonable quality approximate solutions with huge reductions on the computational times required for solving large size instances.Springer Verlag2015-10-07T14:04:14Z2010-01-01T00:00:00Z20102015-10-07T14:01:48Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/6157http://hdl.handle.net/10071/9930eng1619-697Xhttp://dx.doi.org/10.1007/s10287-009-0117-4Costa, A.Paixão, J. P.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:22:59Zoai:repositorio.iscte-iul.pt:10071/9930Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:10:34.527295Repositório 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 |
An approximate solution approach for a scenario-based capital budgeting model |
title |
An approximate solution approach for a scenario-based capital budgeting model |
spellingShingle |
An approximate solution approach for a scenario-based capital budgeting model Costa, A. 0-1 integer programming Capital budgeting Real options Scenario-based optimization |
title_short |
An approximate solution approach for a scenario-based capital budgeting model |
title_full |
An approximate solution approach for a scenario-based capital budgeting model |
title_fullStr |
An approximate solution approach for a scenario-based capital budgeting model |
title_full_unstemmed |
An approximate solution approach for a scenario-based capital budgeting model |
title_sort |
An approximate solution approach for a scenario-based capital budgeting model |
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 |
0-1 integer programming Capital budgeting Real options Scenario-based optimization |
topic |
0-1 integer programming Capital budgeting Real options Scenario-based optimization |
description |
Real options techniques such as contingent claims analysis and dynamic programming can be used for project evaluation when the project develops stochastically over time and the decision to invest into this project can be postponed. Following that perspective, Meier et al. (Oper Res 49(2):196-2 06, 2001) presented a scenario based model that captures risk uncertainty and managerial flexibility, maximizing the time-varying of a portfolio of investment options. However, the corresponding linear integer program turns out to be quite intractable even for a small number of projects and time periods. In this paper, we propose a heuristic approach based on an alternative scenario based model involving a much less number of variables. The new approach allows the determination of reasonable quality approximate solutions with huge reductions on the computational times required for solving large size instances. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010-01-01T00:00:00Z 2010 2015-10-07T14:04:14Z 2015-10-07T14:01:48Z |
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/6157 http://hdl.handle.net/10071/9930 |
url |
https://ciencia.iscte-iul.pt/public/pub/id/6157 http://hdl.handle.net/10071/9930 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
1619-697X http://dx.doi.org/10.1007/s10287-009-0117-4 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer Verlag |
publisher.none.fl_str_mv |
Springer Verlag |
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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1799134659389423616 |