High Speed rail transport valuation and conjuncture shocks
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.3/4975 |
Resumo: | In the present paper we derive the optimal investment policy of investment in the high speed rail (HSR) project, under uncertainty, using the real options analysis (ROA) framework. We assume that the HSR demand, the main source of uncertainty, follows a geometric brownian motion with random jumps, complying with abrupt change of level caused by random events. The occurrence of such events is caused by external shocks. We assess the impact of these shocks in the HSR demand threshold, along with the investment opportunity value, and the option to differ. We consider several distributions for these jumps, and we compare with the base-line case (where exogeneous jumps are not considered). |
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High Speed rail transport valuation and conjuncture shocksHigh Speed RateInvestmentReal OptionsUncertainty TimingIn the present paper we derive the optimal investment policy of investment in the high speed rail (HSR) project, under uncertainty, using the real options analysis (ROA) framework. We assume that the HSR demand, the main source of uncertainty, follows a geometric brownian motion with random jumps, complying with abrupt change of level caused by random events. The occurrence of such events is caused by external shocks. We assess the impact of these shocks in the HSR demand threshold, along with the investment opportunity value, and the option to differ. We consider several distributions for these jumps, and we compare with the base-line case (where exogeneous jumps are not considered).Universidade dos AçoresRepositório da Universidade dos AçoresCouto, GualterNunes, CláudiaPimentel, Pedro2019-01-25T10:28:34Z2011-012011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.3/4975engCouto, Gualter; Nunes, Cláudia; Pimentel, Pedro (2011). High Speed rail transport valuation and conjuncture shocks, “Working Paper Series”, nº 4/11, 15 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.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:RCAAP2022-12-20T14:33:15Zoai:repositorio.uac.pt:10400.3/4975Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:27:17.143890Repositório 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 |
High Speed rail transport valuation and conjuncture shocks |
title |
High Speed rail transport valuation and conjuncture shocks |
spellingShingle |
High Speed rail transport valuation and conjuncture shocks Couto, Gualter High Speed Rate Investment Real Options Uncertainty Timing |
title_short |
High Speed rail transport valuation and conjuncture shocks |
title_full |
High Speed rail transport valuation and conjuncture shocks |
title_fullStr |
High Speed rail transport valuation and conjuncture shocks |
title_full_unstemmed |
High Speed rail transport valuation and conjuncture shocks |
title_sort |
High Speed rail transport valuation and conjuncture shocks |
author |
Couto, Gualter |
author_facet |
Couto, Gualter Nunes, Cláudia Pimentel, Pedro |
author_role |
author |
author2 |
Nunes, Cláudia Pimentel, Pedro |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade dos Açores |
dc.contributor.author.fl_str_mv |
Couto, Gualter Nunes, Cláudia Pimentel, Pedro |
dc.subject.por.fl_str_mv |
High Speed Rate Investment Real Options Uncertainty Timing |
topic |
High Speed Rate Investment Real Options Uncertainty Timing |
description |
In the present paper we derive the optimal investment policy of investment in the high speed rail (HSR) project, under uncertainty, using the real options analysis (ROA) framework. We assume that the HSR demand, the main source of uncertainty, follows a geometric brownian motion with random jumps, complying with abrupt change of level caused by random events. The occurrence of such events is caused by external shocks. We assess the impact of these shocks in the HSR demand threshold, along with the investment opportunity value, and the option to differ. We consider several distributions for these jumps, and we compare with the base-line case (where exogeneous jumps are not considered). |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-01 2011-01-01T00:00:00Z 2019-01-25T10:28:34Z |
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 |
http://hdl.handle.net/10400.3/4975 |
url |
http://hdl.handle.net/10400.3/4975 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Couto, Gualter; Nunes, Cláudia; Pimentel, Pedro (2011). High Speed rail transport valuation and conjuncture shocks, “Working Paper Series”, nº 4/11, 15 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A. |
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 |
Universidade dos Açores |
publisher.none.fl_str_mv |
Universidade dos Açores |
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 |
repository.mail.fl_str_mv |
|
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1799130728227667968 |