Valuation of Risky Projects and Illiquid Investments Using Portfolio Selection Models View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2011-06-29

AUTHORS

Janne Gustafsson , Bert De Reyck , Zeger Degraeve , Ahti Salo

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. More... »

PAGES

79-105

References to SciGraph publications

Book

TITLE

Portfolio Decision Analysis

ISBN

978-1-4419-9942-9
978-1-4419-9943-6

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-1-4419-9943-6_4

DOI

http://dx.doi.org/10.1007/978-1-4419-9943-6_4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1007956048


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1502", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Banking, Finance and Investment", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/15", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Commerce, Management, Tourism and Services", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "name": [
            "Ilmarinen Mutual Pension Insurance Company, Porkkalankatu 1, Ilmarinen, 00018, Helsinki, Finland"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Gustafsson", 
        "givenName": "Janne", 
        "id": "sg:person.011411121425.17", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.011411121425.17"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "London Business School", 
          "id": "https://www.grid.ac/institutes/grid.14868.33", 
          "name": [
            "Management Science & Innovation, University College London, Gower Street, WC1E 6BT, London, UK", 
            "Department of Management Science & Operations, London Business School, Sussex Place, Regent\u2019s Park, NW1 4SA, London, UK"
          ], 
          "type": "Organization"
        }, 
        "familyName": "De Reyck", 
        "givenName": "Bert", 
        "id": "sg:person.010015210407.92", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010015210407.92"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "London Business School", 
          "id": "https://www.grid.ac/institutes/grid.14868.33", 
          "name": [
            "Department of Management Science & Operations, London Business School, Sussex Place, Regent\u2019s Park, NW1 4SA, London, UK"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Degraeve", 
        "givenName": "Zeger", 
        "id": "sg:person.014722665401.51", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014722665401.51"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "Aalto University", 
          "id": "https://www.grid.ac/institutes/grid.5373.2", 
          "name": [
            "Systems Analysis Laboratory, Aalto University School of Science, 11100, 00076, Aalto, Finland"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Salo", 
        "givenName": "Ahti", 
        "id": "sg:person.010300406436.00", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010300406436.00"
        ], 
        "type": "Person"
      }
    ], 
    "citation": [
      {
        "id": "https://doi.org/10.1016/s0377-2217(98)00167-2", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1036178087"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-3-540-78299-5", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1046038277", 
          "https://doi.org/10.1007/978-3-540-78299-5"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-3-540-78299-5", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1046038277", 
          "https://doi.org/10.1007/978-3-540-78299-5"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1287/inte.30.1.96.11617", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064710269"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1287/mnsc.37.5.519", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064720817"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1287/mnsc.41.5.795", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064721363"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1287/opre.1050.0225", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064725700"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1287/opre.37.4.517", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064730022"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1287/opre.49.5.771.10607", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064731360"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/1924119", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069649616"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/2975974", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1070158301"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/2977928", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1070159814"
        ], 
        "type": "CreativeWork"
      }
    ], 
    "datePublished": "2011-06-29", 
    "datePublishedReg": "2011-06-29", 
    "description": "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.", 
    "editor": [
      {
        "familyName": "Salo", 
        "givenName": "Ahti", 
        "type": "Person"
      }, 
      {
        "familyName": "Keisler", 
        "givenName": "Jeffrey", 
        "type": "Person"
      }, 
      {
        "familyName": "Morton", 
        "givenName": "Alec", 
        "type": "Person"
      }
    ], 
    "genre": "chapter", 
    "id": "sg:pub.10.1007/978-1-4419-9943-6_4", 
    "inLanguage": [
      "en"
    ], 
    "isAccessibleForFree": false, 
    "isPartOf": {
      "isbn": [
        "978-1-4419-9942-9", 
        "978-1-4419-9943-6"
      ], 
      "name": "Portfolio Decision Analysis", 
      "type": "Book"
    }, 
    "name": "Valuation of Risky Projects and Illiquid Investments Using Portfolio Selection Models", 
    "pagination": "79-105", 
    "productId": [
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1007956048"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1007/978-1-4419-9943-6_4"
        ]
      }, 
      {
        "name": "readcube_id", 
        "type": "PropertyValue", 
        "value": [
          "25e6dc4cf527215800fb0ee5bea2a5848eb5412ee6db17dadd055ea560ecce47"
        ]
      }
    ], 
    "publisher": {
      "location": "New York, NY", 
      "name": "Springer New York", 
      "type": "Organisation"
    }, 
    "sameAs": [
      "https://doi.org/10.1007/978-1-4419-9943-6_4", 
      "https://app.dimensions.ai/details/publication/pub.1007956048"
    ], 
    "sdDataset": "chapters", 
    "sdDatePublished": "2019-04-16T09:03", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000370_0000000370/records_46747_00000000.jsonl", 
    "type": "Chapter", 
    "url": "https://link.springer.com/10.1007%2F978-1-4419-9943-6_4"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/978-1-4419-9943-6_4'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/978-1-4419-9943-6_4'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/978-1-4419-9943-6_4'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/978-1-4419-9943-6_4'


 

This table displays all metadata directly associated to this object as RDF triples.

136 TRIPLES      23 PREDICATES      37 URIs      19 LITERALS      8 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1007/978-1-4419-9943-6_4 schema:about anzsrc-for:15
2 anzsrc-for:1502
3 schema:author Nd9fba78060bb49038f2f312a0e8a5fc3
4 schema:citation sg:pub.10.1007/978-3-540-78299-5
5 https://doi.org/10.1016/s0377-2217(98)00167-2
6 https://doi.org/10.1287/inte.30.1.96.11617
7 https://doi.org/10.1287/mnsc.37.5.519
8 https://doi.org/10.1287/mnsc.41.5.795
9 https://doi.org/10.1287/opre.1050.0225
10 https://doi.org/10.1287/opre.37.4.517
11 https://doi.org/10.1287/opre.49.5.771.10607
12 https://doi.org/10.2307/1924119
13 https://doi.org/10.2307/2975974
14 https://doi.org/10.2307/2977928
15 schema:datePublished 2011-06-29
16 schema:datePublishedReg 2011-06-29
17 schema:description 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.
18 schema:editor N61e0199c333b4e7b89e9de0098483b87
19 schema:genre chapter
20 schema:inLanguage en
21 schema:isAccessibleForFree false
22 schema:isPartOf N389d5e0b609a45ce9a48a17d6e87ceb1
23 schema:name Valuation of Risky Projects and Illiquid Investments Using Portfolio Selection Models
24 schema:pagination 79-105
25 schema:productId N88ae5b80e6ec47bc97561a0f99ba1786
26 Na688fce56fd54d70a825d3e2066da371
27 Nb9814a8ee92941fe9ffc9afe2edbfcef
28 schema:publisher Nf47d7e6d57884b3781451e8b0bb788a4
29 schema:sameAs https://app.dimensions.ai/details/publication/pub.1007956048
30 https://doi.org/10.1007/978-1-4419-9943-6_4
31 schema:sdDatePublished 2019-04-16T09:03
32 schema:sdLicense https://scigraph.springernature.com/explorer/license/
33 schema:sdPublisher N947edc3d34df4c66b547330b21a98ad2
34 schema:url https://link.springer.com/10.1007%2F978-1-4419-9943-6_4
35 sgo:license sg:explorer/license/
36 sgo:sdDataset chapters
37 rdf:type schema:Chapter
38 N00c9f5c8995d4fe9ac70d79ca4c0b743 schema:name Ilmarinen Mutual Pension Insurance Company, Porkkalankatu 1, Ilmarinen, 00018, Helsinki, Finland
39 rdf:type schema:Organization
40 N038537e2ddce4ea9b3b9e6359e3b4a30 schema:familyName Morton
41 schema:givenName Alec
42 rdf:type schema:Person
43 N389d5e0b609a45ce9a48a17d6e87ceb1 schema:isbn 978-1-4419-9942-9
44 978-1-4419-9943-6
45 schema:name Portfolio Decision Analysis
46 rdf:type schema:Book
47 N5a4626a954414efa8ea4b0cfa74b99e7 schema:familyName Salo
48 schema:givenName Ahti
49 rdf:type schema:Person
50 N61e0199c333b4e7b89e9de0098483b87 rdf:first N5a4626a954414efa8ea4b0cfa74b99e7
51 rdf:rest Nd4857911c0cd466a8f9bb8d55ba8e328
52 N88ae5b80e6ec47bc97561a0f99ba1786 schema:name readcube_id
53 schema:value 25e6dc4cf527215800fb0ee5bea2a5848eb5412ee6db17dadd055ea560ecce47
54 rdf:type schema:PropertyValue
55 N947edc3d34df4c66b547330b21a98ad2 schema:name Springer Nature - SN SciGraph project
56 rdf:type schema:Organization
57 Na4cf2af8d16743b595241ca0c909763d rdf:first N038537e2ddce4ea9b3b9e6359e3b4a30
58 rdf:rest rdf:nil
59 Na688fce56fd54d70a825d3e2066da371 schema:name doi
60 schema:value 10.1007/978-1-4419-9943-6_4
61 rdf:type schema:PropertyValue
62 Nb9814a8ee92941fe9ffc9afe2edbfcef schema:name dimensions_id
63 schema:value pub.1007956048
64 rdf:type schema:PropertyValue
65 Nc8770f62687043bd86e0a380256fea5a schema:familyName Keisler
66 schema:givenName Jeffrey
67 rdf:type schema:Person
68 Nd4857911c0cd466a8f9bb8d55ba8e328 rdf:first Nc8770f62687043bd86e0a380256fea5a
69 rdf:rest Na4cf2af8d16743b595241ca0c909763d
70 Nd9fba78060bb49038f2f312a0e8a5fc3 rdf:first sg:person.011411121425.17
71 rdf:rest Ne29316dc5f31417e9e104480e47c9a0b
72 Ne29316dc5f31417e9e104480e47c9a0b rdf:first sg:person.010015210407.92
73 rdf:rest Nec90f9dcb19d4cb2a12296ec0c6bca07
74 Ne3241e6ffacb49fc88349de1467d6922 rdf:first sg:person.010300406436.00
75 rdf:rest rdf:nil
76 Nec90f9dcb19d4cb2a12296ec0c6bca07 rdf:first sg:person.014722665401.51
77 rdf:rest Ne3241e6ffacb49fc88349de1467d6922
78 Nf47d7e6d57884b3781451e8b0bb788a4 schema:location New York, NY
79 schema:name Springer New York
80 rdf:type schema:Organisation
81 anzsrc-for:15 schema:inDefinedTermSet anzsrc-for:
82 schema:name Commerce, Management, Tourism and Services
83 rdf:type schema:DefinedTerm
84 anzsrc-for:1502 schema:inDefinedTermSet anzsrc-for:
85 schema:name Banking, Finance and Investment
86 rdf:type schema:DefinedTerm
87 sg:person.010015210407.92 schema:affiliation https://www.grid.ac/institutes/grid.14868.33
88 schema:familyName De Reyck
89 schema:givenName Bert
90 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010015210407.92
91 rdf:type schema:Person
92 sg:person.010300406436.00 schema:affiliation https://www.grid.ac/institutes/grid.5373.2
93 schema:familyName Salo
94 schema:givenName Ahti
95 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010300406436.00
96 rdf:type schema:Person
97 sg:person.011411121425.17 schema:affiliation N00c9f5c8995d4fe9ac70d79ca4c0b743
98 schema:familyName Gustafsson
99 schema:givenName Janne
100 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.011411121425.17
101 rdf:type schema:Person
102 sg:person.014722665401.51 schema:affiliation https://www.grid.ac/institutes/grid.14868.33
103 schema:familyName Degraeve
104 schema:givenName Zeger
105 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014722665401.51
106 rdf:type schema:Person
107 sg:pub.10.1007/978-3-540-78299-5 schema:sameAs https://app.dimensions.ai/details/publication/pub.1046038277
108 https://doi.org/10.1007/978-3-540-78299-5
109 rdf:type schema:CreativeWork
110 https://doi.org/10.1016/s0377-2217(98)00167-2 schema:sameAs https://app.dimensions.ai/details/publication/pub.1036178087
111 rdf:type schema:CreativeWork
112 https://doi.org/10.1287/inte.30.1.96.11617 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064710269
113 rdf:type schema:CreativeWork
114 https://doi.org/10.1287/mnsc.37.5.519 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064720817
115 rdf:type schema:CreativeWork
116 https://doi.org/10.1287/mnsc.41.5.795 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064721363
117 rdf:type schema:CreativeWork
118 https://doi.org/10.1287/opre.1050.0225 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064725700
119 rdf:type schema:CreativeWork
120 https://doi.org/10.1287/opre.37.4.517 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064730022
121 rdf:type schema:CreativeWork
122 https://doi.org/10.1287/opre.49.5.771.10607 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064731360
123 rdf:type schema:CreativeWork
124 https://doi.org/10.2307/1924119 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069649616
125 rdf:type schema:CreativeWork
126 https://doi.org/10.2307/2975974 schema:sameAs https://app.dimensions.ai/details/publication/pub.1070158301
127 rdf:type schema:CreativeWork
128 https://doi.org/10.2307/2977928 schema:sameAs https://app.dimensions.ai/details/publication/pub.1070159814
129 rdf:type schema:CreativeWork
130 https://www.grid.ac/institutes/grid.14868.33 schema:alternateName London Business School
131 schema:name Department of Management Science & Operations, London Business School, Sussex Place, Regent’s Park, NW1 4SA, London, UK
132 Management Science & Innovation, University College London, Gower Street, WC1E 6BT, London, UK
133 rdf:type schema:Organization
134 https://www.grid.ac/institutes/grid.5373.2 schema:alternateName Aalto University
135 schema:name Systems Analysis Laboratory, Aalto University School of Science, 11100, 00076, Aalto, Finland
136 rdf:type schema:Organization
 




Preview window. Press ESC to close (or click here)


...