You searched for subject:(Game theoretic real options).
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1.
Chiang, Piin-hueih.
Essays on timing and identification in a duopoly.
Degree: PhD, Economics, 2013, University of Texas – Austin
URL: http://hdl.handle.net/2152/21760 
► Upon making an optimal timing decision, a player takes into consideration not only the actions of the other players, but also the uncertainty of the…
(more)
▼ Upon making an optimal timing decision, a player takes into consideration not only the actions of the other players, but also the uncertainty of the environment. I use the
real options approach to study the strategic timing decisions of asymmetric firms in an environment with uncertainty. When firms make timing decisions, they take into account the opportunity cost of immediate action today. The second chapter studies the identification in an asymmetric duopoly. The two potential entrants contemplate entering a new market where the demand follows a geometric Brownian motion. I show that under certain parameter conditions there will be an equilibrium triggered by preemption, and both firms could preempt. Moreover, the equilibrium may no longer be only triggered by preemption. I identify the joint distribution of the unobserved investment costs and find the probability of the first entry being triggered by preemption. Given the observation of the first entrant, I can predict the probability of observing the second entrant. The third chapter studies the spillover effect of exit in a vertical relationship. I extend the methodology of irreversible investment under uncertainty to consider exits in a vertical market structure. When the exogenous demand shock is low, one party of the supply chain wants to exit first and will thus lead to the exit of the remaining party. The firm which wants to exit later strategically acts to delay the exit of its counterpart and therefore prevents its own exit. When the state level drops below the unique equilibrium exit threshold, both firms will exit simultaneously. The expected delay in exit timing is derived. The fourth chapter studies the strategic optimal timing of entry in the competition between one-way essential complements under demand uncertainty. The value of a new add-on to its consumers is uncertain. While the rational essential good producing firm recognizes the value of waiting under uncertainty when it contemplates entering the add-on market and endogenously self-selects between the two entry
options- to produce or to acquire, the add-on producing firm strategically decides when to agree on acquisition. The impact of profit sharing in the case of acquisition and relative fixed costs of entry on the size and form of the waiting region and the responses of both firms are analyzed.
Advisors/Committee Members: Boyarchenko, Svetlana I. (advisor).
Subjects/Keywords: Asymmetric duopoly; Game-theoretic real options
…seen in the literature of game
theoretic real options. The other dimensions are the… …a strand of literature called the game-theoretic real
options that incorporates game… …dissertation contributes not only to the game-theoretic real-options literature, but also to various… …bridges
the gap between the empirical entry literature and the game-theoretic real options… …empirical entry games and
game theoretic real options. Below I review the most relevant literature…
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APA (6th Edition):
Chiang, P. (2013). Essays on timing and identification in a duopoly. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/21760
Chicago Manual of Style (16th Edition):
Chiang, Piin-hueih. “Essays on timing and identification in a duopoly.” 2013. Doctoral Dissertation, University of Texas – Austin. Accessed January 27, 2021.
http://hdl.handle.net/2152/21760.
MLA Handbook (7th Edition):
Chiang, Piin-hueih. “Essays on timing and identification in a duopoly.” 2013. Web. 27 Jan 2021.
Vancouver:
Chiang P. Essays on timing and identification in a duopoly. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2013. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/2152/21760.
Council of Science Editors:
Chiang P. Essays on timing and identification in a duopoly. [Doctoral Dissertation]. University of Texas – Austin; 2013. Available from: http://hdl.handle.net/2152/21760
University of Michigan
2.
Pak, Dohyun.
Real option and game theoretic approach to telecommunication network optimization.
Degree: PhD, Industrial engineering, 2005, University of Michigan
URL: http://hdl.handle.net/2027.42/124905
► This dissertation introduces a new method for telecommunications network optimization based on real options and game theory. The model is applied to routing optimization, capacity…
(more)
▼ This dissertation introduces a new method for telecommunications network optimization based on
real options and
game theory. The model is applied to routing optimization, capacity expansion, and resource allocation problems. First, we study network routing and capacity expansion in a telecommunications network. The
real option theory is used to model network delay/blocking under the correlated network demands. This gives an analytical representation for network costs. Based on the costs, we solve optimal network routing by using a global optimization method. And we suggest a new network capacity expansion method that depends on the optimal routing. Our model implies that if the network point-to-point demands have high volatility and negative or low correlations then there is a significant benefit from a complex network structure with multiple nodes, because it has many routing
options that have high value in this case. Further, due to the option value in this case there is a high need for network capacity expansion. We also show that the average blocking/delay cost and capacity expansions are concave functions of the demand volatilities. Second, we study wireless telecommunications network systems. We formulate
game models for resource allocation in Time Division Multiple Access (TDMA) and Code Division Multiple Access (CDMA) systems by using a mixed strategy equilibrium. In the
game models, each user minimizes his/her power and connection costs. The users' activities are analyzed by using simulations. The results imply that the TDMA
game model improves the systems' performance significantly regardless of the power cost. However, due to the near-far problem in the CDMA system, the power cost control is critical to maintain its efficient resource allocation.
Advisors/Committee Members: Keppo, Jussi Samuli (advisor).
Subjects/Keywords: Approach; Game Theoretic; Game-theoretic; Network Optimization; Real Option; Telecommunication
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APA (6th Edition):
Pak, D. (2005). Real option and game theoretic approach to telecommunication network optimization. (Doctoral Dissertation). University of Michigan. Retrieved from http://hdl.handle.net/2027.42/124905
Chicago Manual of Style (16th Edition):
Pak, Dohyun. “Real option and game theoretic approach to telecommunication network optimization.” 2005. Doctoral Dissertation, University of Michigan. Accessed January 27, 2021.
http://hdl.handle.net/2027.42/124905.
MLA Handbook (7th Edition):
Pak, Dohyun. “Real option and game theoretic approach to telecommunication network optimization.” 2005. Web. 27 Jan 2021.
Vancouver:
Pak D. Real option and game theoretic approach to telecommunication network optimization. [Internet] [Doctoral dissertation]. University of Michigan; 2005. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/2027.42/124905.
Council of Science Editors:
Pak D. Real option and game theoretic approach to telecommunication network optimization. [Doctoral Dissertation]. University of Michigan; 2005. Available from: http://hdl.handle.net/2027.42/124905
Carnegie Mellon University
3.
Miranda de Loureiro, Manuel Valentim.
Transmission and Interconnection Planning in Power Systems: Contributions to Investment Under Uncertainty and Cross-Border Cost Allocation.
Degree: 2017, Carnegie Mellon University
URL: http://repository.cmu.edu/dissertations/1105
► Electricity transmission network investments are playing a key role in the integration process of power systems in the European Union. Given the magnitude of investment…
(more)
▼ Electricity transmission network investments are playing a key role in the integration process of power systems in the European Union. Given the magnitude of investment costs, their irreversibility, and their impact in the overall development of a region, accounting for the role of uncertainties as well as the involvement of multiple parties in the decision process allows for improved and more robust investment decisions. Even though the creation of this internal energy market requires attention to flexibility and strategic decision-making, existing literature and practitioners have not given proper attention to these topics. Using portfolios of real options, we present two stochastic mixed integer linear programming models for transmission network expansion planning. We study the importance of explicitly addressing uncertainties, the option to postpone decisions and other sources of flexibility in the design of transmission networks. In a case study based on the Azores archipelago we show how renewables penetration can increase by introducing contingency planning into the decision process considering generation capacity uncertainty. We also present a two-party Nash-Coase bargaining transmission capacity investment model. We illustrate optimal fair share cost allocation policies with a case study based on the Iberian market. Lastly, we develop a new model that considers both interconnection expansion planning under uncertainty and cross-border cost allocation based on portfolios of real options and Nash-Coase bargaining. The model is illustrated using Iberian transmission and market data.
Subjects/Keywords: cross-border cost allocation; game theory; portfolios of real options; transmission expansion planning
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APA (6th Edition):
Miranda de Loureiro, M. V. (2017). Transmission and Interconnection Planning in Power Systems: Contributions to Investment Under Uncertainty and Cross-Border Cost Allocation. (Thesis). Carnegie Mellon University. Retrieved from http://repository.cmu.edu/dissertations/1105
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Miranda de Loureiro, Manuel Valentim. “Transmission and Interconnection Planning in Power Systems: Contributions to Investment Under Uncertainty and Cross-Border Cost Allocation.” 2017. Thesis, Carnegie Mellon University. Accessed January 27, 2021.
http://repository.cmu.edu/dissertations/1105.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Miranda de Loureiro, Manuel Valentim. “Transmission and Interconnection Planning in Power Systems: Contributions to Investment Under Uncertainty and Cross-Border Cost Allocation.” 2017. Web. 27 Jan 2021.
Vancouver:
Miranda de Loureiro MV. Transmission and Interconnection Planning in Power Systems: Contributions to Investment Under Uncertainty and Cross-Border Cost Allocation. [Internet] [Thesis]. Carnegie Mellon University; 2017. [cited 2021 Jan 27].
Available from: http://repository.cmu.edu/dissertations/1105.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Miranda de Loureiro MV. Transmission and Interconnection Planning in Power Systems: Contributions to Investment Under Uncertainty and Cross-Border Cost Allocation. [Thesis]. Carnegie Mellon University; 2017. Available from: http://repository.cmu.edu/dissertations/1105
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Illinois – Urbana-Champaign
4.
Chung, JiYoon.
Real options in value appropriation: Theory and evidence from patent strategies.
Degree: PhD, Business Administration, 2018, University of Illinois – Urbana-Champaign
URL: http://hdl.handle.net/2142/101196
► This dissertation proposes and shows that real options reasoning is important for understanding firms’ value appropriation strategies in innovation. Despite a large body of research…
(more)
▼ This dissertation proposes and shows that
real options reasoning is important for understanding firms’ value appropriation strategies in innovation. Despite a large body of research on
real options for value creation in innovation, how
real options reasoning can inform firms’ decision-making in value appropriation strategies under uncertainty has received relatively little scrutiny. My dissertation seeks to address this gap in the literature by examining what drives firms to purchase
real options as mechanisms to preserve flexibility in their commitment decisions in patenting strategies.
In my first empirical study (Chapter 2), I seek to examine the patent-secrecy choice as an exemplar of the value of such
real options in appropriability strategies. As a primary hypothesis, I propose that the greater the risk of technology disclosure to rivals due to patenting, the more likely that firms purchase “secrecy options” to retain secrecy of inventions while attempting to patent them. I employ a difference-in-differences research design that leverages the American Inventors Protection Act, a quasi-exogenous change in U.S. patent law that resulted in faster disclosure of technologies pursuing patent protection, and show that firms were more likely to purchase secrecy
options (by filing provisional patent applications) for patents affected by faster disclosure. Further, I find that this effect was quite large, and more pronounced for smaller firms and more novel technologies.
In my second empirical study (Chapter 3), I examine how firms strategically respond to the patent racing incentives created by a first-past-the-post principle of the patent system, and propose that they may do so by capitalizing on
real options – represented by provisional applications – in the patenting process. I employ a difference-in-differences design that leverages the transition of the U.S. patent system from a first-to-invent to a first-to-file system following the America Invents Act, and show that firms were more likely to file provisional applications (as
real options on future patent applications) under a first-to-file system. Furthermore, I show that the magnitude of this effect depended on contingencies such as the firm’s technological dominance, industry concentration and patent effectiveness.
In my third empirical study (Chapter 4), I examine firms’ revealed preference to purchase
real options in patent term extension by leveraging the Agreement on Trade Related Aspects of Intellectual Property Rights, which changed U.S. patent term from a 17-years-from-issuance to a 20-years-from-priority date term. I show that patent prosecution uncertainty increases the value of
real options in patent term extension, consistent with
real options theory. I find that a firm’s purchase of
real options is further related to industry differences, invention value, and the type of patent application (original versus continuing).
My dissertation contributes to the literature in
real options theory as well as appropriability strategies by applying…
Advisors/Committee Members: Somaya, Deepak (advisor), Somaya, Deepak (Committee Chair), Bercovitz, Janet (committee member), Johnson, Timothy C (committee member), Toh, PK (committee member).
Subjects/Keywords: Real options; Appropriability
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APA (6th Edition):
Chung, J. (2018). Real options in value appropriation: Theory and evidence from patent strategies. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/101196
Chicago Manual of Style (16th Edition):
Chung, JiYoon. “Real options in value appropriation: Theory and evidence from patent strategies.” 2018. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed January 27, 2021.
http://hdl.handle.net/2142/101196.
MLA Handbook (7th Edition):
Chung, JiYoon. “Real options in value appropriation: Theory and evidence from patent strategies.” 2018. Web. 27 Jan 2021.
Vancouver:
Chung J. Real options in value appropriation: Theory and evidence from patent strategies. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2018. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/2142/101196.
Council of Science Editors:
Chung J. Real options in value appropriation: Theory and evidence from patent strategies. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2018. Available from: http://hdl.handle.net/2142/101196
University of Rochester
5.
Zhou, Jianer (1977 - ); Rudi, Nils.
Essays in interfaces of operations and finance in supply
chains.
Degree: PhD, 2011, University of Rochester
URL: http://hdl.handle.net/1802/14512
► This dissertation is a collection of three essays addressing interface issues of operations and finance in supply chains. In the first essay, we study pricing…
(more)
▼ This dissertation is a collection of three essays
addressing interface issues of operations and finance in supply
chains.
In the first essay, we study pricing of financial hedging
contracts used by firms
to better respond to uncertainty in
product markets. We consider a single-period
problem in which a
firm has only one opportunity for resource acquisition before
demand uncertainty is resolved, and he makes the product pricing
decision based on
the realized demand function. To offset the risk
of his real investment, the firm buys
a tailor-made hedging
contract from an issuer with an underlying payoff partially
correlated with the uncertainty in the product market. We show the
contract effect
by formulating the negotiation process between
both parties in the framework of a
Stackelberg game and price
equilibrium. For each game-theoretic setting, we derive
the
equilibrium solution and present the comparative statics. We also
investigate
the case in which the issuer lays off her risk from
one contract by writing another
contract with a second firm, and
compare contract performance with a benchmark
case in which two
firms trade directly rather than through the issuer.
In the second
essay, we study a supply chain in which a retailer faces a classic
newsvendor problem with a financial constraint on his capacity to
order inventory. To sell more products, the manufacturer teams up
with a bank to offer an
interest-free loan program. We formulate
the interaction between the retailer and
the manufacturer as a
Stackelberg game in which the manufacturer has the dominant pricing
power. Our results indicate that the loan program can
significantly
improve each party's profit. The retailer becomes
more aggressive in ordering when
equilibrium order quantity is low
but demand risk is high. We also investigate open
account
financing in which the manufacturer allows a partial and delayed
payment,
equivalent to a loan to the retailer. Compared with open
account financing, bank
financing improves the entire supply chain
profit. Numerical experiments demonstrate the supply chain
performance under bank financing and indicate that demand
volatility may actually improve contract efficiency. We propose two
contract forms
that coordinate the supply chain of these three
parties.
In the last essay, we continue to consider such a supply
chain in a multi-period
setting. The retailer may be financially
constrained or even distressed in each period. Either the
manufacturer or the bank can offer a loan program and ultimately
bear the retailer's bankruptcy risk. Formulating these two
scenarios in Markov
decision processes with a finite horizon and
employing a Stackelberg game in each
period, we show that the bank
may "under-lend" to the small retailer in bank-led
financing and
that manufacturer-led financing outperforms its counterpart. The
manufacturer, however, may "over-lend" to the retailer, which
raises a concern of
excessive credit risk. Debt relief is a better
alternative to the manufacturer who is
more willing to save…
Subjects/Keywords: Financial hedging; Financial collaboration; Game theoretic application
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APA (6th Edition):
Zhou, Jianer (1977 - ); Rudi, N. (2011). Essays in interfaces of operations and finance in supply
chains. (Doctoral Dissertation). University of Rochester. Retrieved from http://hdl.handle.net/1802/14512
Chicago Manual of Style (16th Edition):
Zhou, Jianer (1977 - ); Rudi, Nils. “Essays in interfaces of operations and finance in supply
chains.” 2011. Doctoral Dissertation, University of Rochester. Accessed January 27, 2021.
http://hdl.handle.net/1802/14512.
MLA Handbook (7th Edition):
Zhou, Jianer (1977 - ); Rudi, Nils. “Essays in interfaces of operations and finance in supply
chains.” 2011. Web. 27 Jan 2021.
Vancouver:
Zhou, Jianer (1977 - ); Rudi N. Essays in interfaces of operations and finance in supply
chains. [Internet] [Doctoral dissertation]. University of Rochester; 2011. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/1802/14512.
Council of Science Editors:
Zhou, Jianer (1977 - ); Rudi N. Essays in interfaces of operations and finance in supply
chains. [Doctoral Dissertation]. University of Rochester; 2011. Available from: http://hdl.handle.net/1802/14512
Georgia Tech
6.
Lim, Yusun.
Game theoretic distributed coordination: drifting environments and constrained communications.
Degree: PhD, Electrical and Computer Engineering, 2014, Georgia Tech
URL: http://hdl.handle.net/1853/52986
► The major objective of this dissertation is extending the capabilities of game theoretic distributed control to more general settings. In particular, we are interested in…
(more)
▼ The major objective of this dissertation is extending the capabilities of
game theoretic distributed control to more general settings. In particular, we are interested in drifting environments and/or constrained communications.
The first part of the dissertation concerns slowly varying dynamics, i.e., drifting environments. A standard assumption in
game theoretic learning is a stationary environment, e.g., the
game is fixed. We investigate the case of slow variations and show that for sufficiently slow time variations, the limiting behavior “tracks” the stochastically stable states. Since the analysis is regarding Markov processes, the results could be applied to various
game theoretic learning rules. In this research, the results were applied to log-linear learning. A mobile sensor coverage example was tested in both simulation and laboratory experiments.
The second part considers a problem of coordinating team players' actions without any communications in team-based zero-sum games. Generally, some global signalling devices are required for common randomness between players, but communications are very limited or impossible in many practical applications. Instead of learning a one-shot strategy, we let players coordinate a periodic sequence of deterministic actions and put an assumption on opponent's rationality. Since team players' action sequences are periodic and deterministic, common randomness is no longer required to coordinate players. It is proved that if a length of a periodic action sequence is long enough, then opponents with limited rationality cannot recognize its pattern. Because the opponents cannot recognize that the players are playing deterministic actions, the players' behavior looks like a correlated and randomized joint strategy with empirical distribution of their action sequences. Consequently players can coordinate their action sequences without any communications or global signals, and the resulting action sequences have correlated behavior.
Moreover, the notion of micro-players are introduced for efficient learning of long action sequences. Micro-player matching approach provides a new framework that converts the original team-based zero-sum
game to a
game between micro-players. By introducing a de Bruijn sequence to micro-player matching, we successfully separate the level of opponent's rationality and the size of the
game of micro-players. The simulation results are shown to demonstrate the performance of micro-player matching methods.
Lastly, the results of the previous two topics are combined by considering a problem of coordinating actions without communications in drifting environments. More specifically, it is assumed that the opponent player in the team-based zero-sum games tries to adjust its strategy in the set of bounded recall strategies. Then the time-varying opponent's strategy can be considered as a dynamic environment parameter in a coordination
game between the team players. Additionally, we develop a human testbed program for further study regarding a human as an…
Advisors/Committee Members: Shamma, Jeff S. (advisor), Wardi, Yorai (committee member), Fekri, Faramarz (committee member), Feron, Eric (committee member), Howard, Ayanna M. (committee member), Bloch, Matthieu R. (committee member).
Subjects/Keywords: Game theoretic learning; Cooperative control; Distributed control
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APA (6th Edition):
Lim, Y. (2014). Game theoretic distributed coordination: drifting environments and constrained communications. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/52986
Chicago Manual of Style (16th Edition):
Lim, Yusun. “Game theoretic distributed coordination: drifting environments and constrained communications.” 2014. Doctoral Dissertation, Georgia Tech. Accessed January 27, 2021.
http://hdl.handle.net/1853/52986.
MLA Handbook (7th Edition):
Lim, Yusun. “Game theoretic distributed coordination: drifting environments and constrained communications.” 2014. Web. 27 Jan 2021.
Vancouver:
Lim Y. Game theoretic distributed coordination: drifting environments and constrained communications. [Internet] [Doctoral dissertation]. Georgia Tech; 2014. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/1853/52986.
Council of Science Editors:
Lim Y. Game theoretic distributed coordination: drifting environments and constrained communications. [Doctoral Dissertation]. Georgia Tech; 2014. Available from: http://hdl.handle.net/1853/52986
Universidade do Rio Grande do Sul
7.
Oliveira, Cristiano Aguiar de.
Ensaios em economia do crime : dissuasão, armas e carreira criminosa.
Degree: 2011, Universidade do Rio Grande do Sul
URL: http://hdl.handle.net/10183/36099
► Esta Tese é composta por dois ensaios, nos quais são apresentados modelos teóricos de Economia do Crime. O primeiro estuda o impacto de políticas de…
(more)
▼ Esta Tese é composta por dois ensaios, nos quais são apresentados modelos teóricos de Economia do Crime. O primeiro estuda o impacto de políticas de controle de armas sobre o crime através de um modelo teórico de crime e autodefesa com o uso de armas. As principais conclusões são que mudanças nos payoffs geram equilíbrios distintos, além disso, o controle de armas leva a uma redução nos crimes com armas e que estas políticas são mais eficientes quando afetam os custos tanto de criminosos quanto das vítimas. O segundo propõe um modelo dinâmico baseado em opções reais para avaliar a carreira criminosa. No modelo, os indivíduos podem escolher o melhor momento para se engajar no crime (atividade ilegal). Através da calibragem do modelo é possível observar que a opção por uma carreira criminosa depende de um retorno alto na atividade ilegal mesmo quando os indivíduos são neutros ao risco e possuem uma taxa de desconto intertemporal baixa.
This Thesis is composed by two essays, which theoretical models of economics of crime are presented. The first studies the impact of gun control policies on crime trough a theoretical model of crime and self-defense with guns. The main conclusions are that payoffs change generates different equilibriums, besides, gun control implies on a decrease of gun crimes and that such policies are more effective when affects both criminals and victims costs. The former purpose a dynamic model based on real options to evaluate the criminal career. In the model, individuals can choose the best moment to get in crime. Through model calibration is possible to observe that the option for a criminal career depends on a high return in the illegal activity even when individuals are risk neutral and when they have a low time discount.
Advisors/Committee Members: Balbinotto Neto, Giacomo.
Subjects/Keywords: Criminalidade; Crime; Career; Violência; Guns; Teoria econômica; Game theory; Armamento; Real options; Comportamento social; Teoria dos jogos; Crime econômico
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APA (6th Edition):
Oliveira, C. A. d. (2011). Ensaios em economia do crime : dissuasão, armas e carreira criminosa. (Thesis). Universidade do Rio Grande do Sul. Retrieved from http://hdl.handle.net/10183/36099
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Oliveira, Cristiano Aguiar de. “Ensaios em economia do crime : dissuasão, armas e carreira criminosa.” 2011. Thesis, Universidade do Rio Grande do Sul. Accessed January 27, 2021.
http://hdl.handle.net/10183/36099.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Oliveira, Cristiano Aguiar de. “Ensaios em economia do crime : dissuasão, armas e carreira criminosa.” 2011. Web. 27 Jan 2021.
Vancouver:
Oliveira CAd. Ensaios em economia do crime : dissuasão, armas e carreira criminosa. [Internet] [Thesis]. Universidade do Rio Grande do Sul; 2011. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/10183/36099.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Oliveira CAd. Ensaios em economia do crime : dissuasão, armas e carreira criminosa. [Thesis]. Universidade do Rio Grande do Sul; 2011. Available from: http://hdl.handle.net/10183/36099
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
8.
Murto, Pauli.
On Investment, Uncertainty, and Strategic Interaction with Applications in Energy Markets.
Degree: 2003, Helsinki University of Technology
URL: http://lib.tkk.fi/Diss/2003/isbn9512264455/
► The thesis presents dynamic models on investment under uncertainty with the focus on strategic interaction and energy market applications. The uncertainty is modelled using stochastic…
(more)
▼ The thesis presents dynamic models on investment under uncertainty with the focus on strategic interaction and energy market applications. The uncertainty is modelled using stochastic processes as state variables. The specific questions analyzed include the effect of technological and revenue related uncertainties on the optimal timing of investment, the irreversibility in the choice between alternative investment projects with different degrees of uncertainty, and the effect of strategic interaction on the initiating of discrete investment projects, on the abandonment of a project, and on incremental capacity investments. The main methodological feature is the incorporation of game theoretic concepts in the theory of investment. It is argued that such an approach is often desirable in terms of real applications, because many industries are characterized by both uncertainty and strategic interaction between the firms. Besides extending the theory of investment, this line of work may be seen as an extension of the theory of industrial organization towards the direction that views market stability as one of the factors explaining rational behaviour of the firms.
Research reports / Helsinki University of Technology, Systems Analysis Laboratory. A, ISSN 0782-2030; 84
Advisors/Committee Members: Helsinki University of Technology, Department of Engineering Physics and Mathematics, Systems Analysis Laboratory.
Subjects/Keywords: irreversible investment; uncertainty; real options; energy markets; game theory
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APA (6th Edition):
Murto, P. (2003). On Investment, Uncertainty, and Strategic Interaction with Applications in Energy Markets. (Thesis). Helsinki University of Technology. Retrieved from http://lib.tkk.fi/Diss/2003/isbn9512264455/
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Murto, Pauli. “On Investment, Uncertainty, and Strategic Interaction with Applications in Energy Markets.” 2003. Thesis, Helsinki University of Technology. Accessed January 27, 2021.
http://lib.tkk.fi/Diss/2003/isbn9512264455/.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Murto, Pauli. “On Investment, Uncertainty, and Strategic Interaction with Applications in Energy Markets.” 2003. Web. 27 Jan 2021.
Vancouver:
Murto P. On Investment, Uncertainty, and Strategic Interaction with Applications in Energy Markets. [Internet] [Thesis]. Helsinki University of Technology; 2003. [cited 2021 Jan 27].
Available from: http://lib.tkk.fi/Diss/2003/isbn9512264455/.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Murto P. On Investment, Uncertainty, and Strategic Interaction with Applications in Energy Markets. [Thesis]. Helsinki University of Technology; 2003. Available from: http://lib.tkk.fi/Diss/2003/isbn9512264455/
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
9.
Justin, Cedric Y.
A quantitative real options method for aviation technology decision-making in the presence of uncertainty.
Degree: PhD, Aerospace Engineering, 2015, Georgia Tech
URL: http://hdl.handle.net/1853/54452
► The developments of new technologies for commercial aviation involve significant risk for technologists as these programs are often driven by fixed assumptions regarding future airline…
(more)
▼ The developments of new technologies for commercial aviation involve significant risk for technologists as these programs are often driven by fixed assumptions regarding future airline needs, while being
subject to many uncertainties at the technical and market levels. To prioritize these developments, technologists must assess their economic viability even though standard methods used for capital budgeting are not well suited to handle the overwhelming uncertainty surrounding such developments.
This research proposes a framework featuring
real options to overcome this challenge. It is motivated by three observations: disregarding the value of managerial flexibility undervalues long-term research and development (R&D) programs; windows of opportunities emerge and disappear and manufacturers can derive significant value by exploiting their upside potential; integrating competitive aspects early in the design ensures that development programs are robust with respect to moves by the competition.
Real options analyses have been proposed to address some of these points but the adoption has been slow, hindered by constraining frameworks. A panel of academics and practitioners has identified a set of requirements, known as the Georgetown Challenge, that
real options analyses must meet to get more traction amongst practitioners in the industry. In a bid to meet some of these requirements, this research proposes a novel methodology, cross-fertilizing techniques from financial engineering, actuarial sciences, and statistics to evaluate and study the timing of technology developments under uncertainty. It aims at substantiating decision making for R&D while having a wider domain of application and an improved ability to handle a complex reality compared to more traditional approaches.
The method named FLexible AViation Investment Analysis (FLAVIA) uses first Monte Carlo techniques to simulate the evolution of uncertainties driving the value of technology developments. A non-parametric Esscher transform is then applied to perform a change of probability measure to express these evolutions under the equivalent martingale measure. A bootstrap technique is suggested next to construct new non-weighted evolutions of the technology development value under the new measure. A regression-based technique is finally used to analyze the technology development program and to discover trigger boundaries which help define when the technology development program should be launched.
Verification of the method is performed on several canonical examples and indicates good accuracy and competitive execution time. It is applied next to the analysis of a performance improvement package (PIP) development using the Integrated Cost And Revenue Estimation method (i-CARE) developed as part of this research. The PIP can be retrofitted to currently operating turbofan engines in order to mitigate the impact of the aging process on their operating costs. The PIP is
subject to market uncertainties, such as the evolution of jet-fuel prices and the possible…
Advisors/Committee Members: Mavris, Dimitri N. (advisor), Schrage, Daniel P. (committee member), German, Brian J. (committee member), Briceno, Simon I. (committee member), Fernandez, Ismael (committee member), Villeneuve, Frederic (committee member).
Subjects/Keywords: Real options; Game theory; Staggered investments
…315
7.3.6 Real options for staggered development valuation… …404
9.1
Real options to model managerial flexibility… …495
APPENDIX H:
Implementation of real options method… …58
Table 12: Mapping financial options jargon and real options jargon… …63
Table 13: Different types of real options…
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APA ·
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Manager
APA (6th Edition):
Justin, C. Y. (2015). A quantitative real options method for aviation technology decision-making in the presence of uncertainty. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/54452
Chicago Manual of Style (16th Edition):
Justin, Cedric Y. “A quantitative real options method for aviation technology decision-making in the presence of uncertainty.” 2015. Doctoral Dissertation, Georgia Tech. Accessed January 27, 2021.
http://hdl.handle.net/1853/54452.
MLA Handbook (7th Edition):
Justin, Cedric Y. “A quantitative real options method for aviation technology decision-making in the presence of uncertainty.” 2015. Web. 27 Jan 2021.
Vancouver:
Justin CY. A quantitative real options method for aviation technology decision-making in the presence of uncertainty. [Internet] [Doctoral dissertation]. Georgia Tech; 2015. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/1853/54452.
Council of Science Editors:
Justin CY. A quantitative real options method for aviation technology decision-making in the presence of uncertainty. [Doctoral Dissertation]. Georgia Tech; 2015. Available from: http://hdl.handle.net/1853/54452
Victoria University of Wellington
10.
Hobbs, Cameron.
Uncertainty and Investment Choice in a Real-Options Model of the Firm.
Degree: 2017, Victoria University of Wellington
URL: http://hdl.handle.net/10063/6887
► A firm must consider many factors when adopting an investment policy including, but not limited to the size, scope, and cost of each investment, as…
(more)
▼ A firm must consider many factors when adopting an investment policy including, but not limited to the size, scope, and cost of each investment, as well as the firm's financial condition. The multitude of considerations makes optimal decision-making much more complex than is indicated by standard
real-option models of investment. This thesis investigates the behaviour of a cash-constrained firm that has access to two distinct investment opportunities. Such a firm must not only choose the timing of each investment, but often it must also choose between investments.
When compared with similar one-project models of the past, the introduction of an additional investment opportunity alters the general results in a variety of ways. If one of the projects has a high yield, and therefore a quick payback period, this project can provide benefits over and above its NPV as the cash it generates relaxes future capital constraints for follow-up investment. When the firm is sufficiently constrained, this can lead to an investment policy where high-yield low-NPV projects are implemented instead of lower-yield higher-NPV projects, a direct deviation from the NPV rule. If one of the projects can raise a relatively large proportion of its value as collateral for investment, then the constrained firm will at times accelerate investment in this project in order to free up cash reserves for the other opportunity.
In single-project models, when the firm is able to invest in a low NPV project, the value of additional cash is low. This is because the project will be delayed regardless of the level of cash. However, when the firm has a second investment opportunity, if one project has a low NPV and the other a high NPV then additional cash is beneficial to the firm. The two-project model also provides insights into how resources should be allocated if the constrained firm decides to split and operate the projects as separate firms. When cash is low, more resources should go to the spin-off with the high NPV project in order to give it the best chance of being initiated. However, when cash is high, disproportionately more resources should go to the spin-off with the lower NPV project as investment in the higher NPV project is likely to occur without the help of additional resources.
Advisors/Committee Members: Guthrie, Graeme.
Subjects/Keywords: Uncertainty; Investment choice; Real options
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Manager
APA (6th Edition):
Hobbs, C. (2017). Uncertainty and Investment Choice in a Real-Options Model of the Firm. (Masters Thesis). Victoria University of Wellington. Retrieved from http://hdl.handle.net/10063/6887
Chicago Manual of Style (16th Edition):
Hobbs, Cameron. “Uncertainty and Investment Choice in a Real-Options Model of the Firm.” 2017. Masters Thesis, Victoria University of Wellington. Accessed January 27, 2021.
http://hdl.handle.net/10063/6887.
MLA Handbook (7th Edition):
Hobbs, Cameron. “Uncertainty and Investment Choice in a Real-Options Model of the Firm.” 2017. Web. 27 Jan 2021.
Vancouver:
Hobbs C. Uncertainty and Investment Choice in a Real-Options Model of the Firm. [Internet] [Masters thesis]. Victoria University of Wellington; 2017. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/10063/6887.
Council of Science Editors:
Hobbs C. Uncertainty and Investment Choice in a Real-Options Model of the Firm. [Masters Thesis]. Victoria University of Wellington; 2017. Available from: http://hdl.handle.net/10063/6887
Delft University of Technology
11.
Moriakov, N. (author).
An application of Real Options to the valuation of an investment in electrical network.
Degree: 2012, Delft University of Technology
URL: http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20
► In the thesis it is shown how Real Options can be applied to the valuation of an investment in electrical network. The approach developed is…
(more)
▼ In the thesis it is shown how Real Options can be applied to the valuation of an investment in electrical network. The approach developed is also compared to more classical tools from decision analysis. It is also shown how the valuation algorithm based on real option analysis can be implemented in a practical and usable way.
Risk and Environmental Modelling
Applied mathematics
Electrical Engineering, Mathematics and Computer Science
Subjects/Keywords: Real Options; riks; investment valuation
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Manager
APA (6th Edition):
Moriakov, N. (. (2012). An application of Real Options to the valuation of an investment in electrical network. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20
Chicago Manual of Style (16th Edition):
Moriakov, N (author). “An application of Real Options to the valuation of an investment in electrical network.” 2012. Masters Thesis, Delft University of Technology. Accessed January 27, 2021.
http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20.
MLA Handbook (7th Edition):
Moriakov, N (author). “An application of Real Options to the valuation of an investment in electrical network.” 2012. Web. 27 Jan 2021.
Vancouver:
Moriakov N(. An application of Real Options to the valuation of an investment in electrical network. [Internet] [Masters thesis]. Delft University of Technology; 2012. [cited 2021 Jan 27].
Available from: http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20.
Council of Science Editors:
Moriakov N(. An application of Real Options to the valuation of an investment in electrical network. [Masters Thesis]. Delft University of Technology; 2012. Available from: http://resolver.tudelft.nl/uuid:e9a0ed78-1624-4610-8d96-3977c3116b20
Victoria University of Wellington
12.
Campbell, Ryan John.
Investment-Timing and the Threat of Disruption.
Degree: 2019, Victoria University of Wellington
URL: http://hdl.handle.net/10063/8536
► An incumbent firm needs to determine how to best manage the risk of the arrival of a disruptive technology. The numerous actions available to the…
(more)
▼ An incumbent firm needs to determine how to best manage the risk of the arrival of a disruptive technology. The numerous actions available to the incumbent firm indicates a complex
real-
options model of investment is required. This thesis investigates the behaviour of an incumbent firm, with assets-in-place, when they have access to an investment opportunity. The incumbent must not only choose when to invest in the opportunity, but also the optimal structure with which to compete against a new entrant who also has this investment opportunity.
In order to delay competition in the market the incumbent can elect to permanently abandon the innovative option rather than seek to compete with the new entrant. The assets-in-place contributes significant value to the incumbent and by delaying the competition effect, the incumbent can reduce the cannibalization of assets-in-place. This is despite the fact that the incumbent can attempt to profitably invest in the innovation before the entrant. Clearly the assets-in-place provide a benefit to firm value for the incumbent, but act as a burden for the growth option’s development. Should consumer preferences begin to favour the innovation, then the decision to abandon the growth option loses its value. The incumbent in this instance does not care that they may accelerate the entrant’s investment as they can still profitably preempt the entrant.
In a competitive market, when the incumbent efficiently produces the innovation at no extra cost compared to an independent firm, the incumbent will elect to internalise, rather than spin off, the growth option. When the incumbent produces the innovation at a higher cost, than other market participants, they will spin off the growth option instead of internalising. When consumers favour the innovation, the incumbent becomes indifferent between spinning off and internalising the growth option as the objective functions in both cases converge to maximising the value of the growth option.
Advisors/Committee Members: Guthrie, Graeme.
Subjects/Keywords: Real options; Disruption; Investment
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Manager
APA (6th Edition):
Campbell, R. J. (2019). Investment-Timing and the Threat of Disruption. (Masters Thesis). Victoria University of Wellington. Retrieved from http://hdl.handle.net/10063/8536
Chicago Manual of Style (16th Edition):
Campbell, Ryan John. “Investment-Timing and the Threat of Disruption.” 2019. Masters Thesis, Victoria University of Wellington. Accessed January 27, 2021.
http://hdl.handle.net/10063/8536.
MLA Handbook (7th Edition):
Campbell, Ryan John. “Investment-Timing and the Threat of Disruption.” 2019. Web. 27 Jan 2021.
Vancouver:
Campbell RJ. Investment-Timing and the Threat of Disruption. [Internet] [Masters thesis]. Victoria University of Wellington; 2019. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/10063/8536.
Council of Science Editors:
Campbell RJ. Investment-Timing and the Threat of Disruption. [Masters Thesis]. Victoria University of Wellington; 2019. Available from: http://hdl.handle.net/10063/8536
University of Waterloo
13.
Wang, Qian.
Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy.
Degree: 2011, University of Waterloo
URL: http://hdl.handle.net/10012/5948
► A risky project evaluation technique called the fuzzy real options analysis is developed to evaluate brownfield redevelopment projects. Other decision making techniques, such as multiple…
(more)
▼ A risky project evaluation technique called the fuzzy real options analysis is developed to evaluate brownfield redevelopment projects. Other decision making techniques, such as multiple criteria analysis and conflict analysis, can be incorporated into fuzzy real options analysis to facilitate negotiations on brownfield redevelopment among decision makers (DMs). The value of managerial flexibility, which is important in negotiations and policy making for brownfield redevelopment, is overlooked when the traditional evaluation method, net present value (NPV), is employed. Findings of this thesis can be used to promote brownfield redevelopment, thereby helping to eliminate environmental threats and enhance regional sustainability.
A brownfield is an abandoned or underutilized property that contains, or may contain, pollutants, hazardous substances, or contaminants from previous usage, typically industrial activity. Brownfields often occur when the local economy transits from industrial to service-oriented seeking more profit. Governments actively promote brownfield redevelopment to eliminate public health threats, help economic transition, and enhance sustainability. However, developers are reluctant to participate in brownfield redevelopment because they often regard these projects as unprofitable when using classic evaluation techniques. On the other hand, case studies show that brownfield redevelopment projects can be good business opportunities for developers. An improved evaluation method is developed in order to estimate the value of a brownfield more accurately.
The main reason that makes the difference between estimates and ''actual'' values lies in the failure of the deterministic project evaluation tool to price the value of uncertainty, which leads to efforts to enhance the decision making under uncertainty. Real options modelling, which extends the ability of option pricing models in real asset evaluation, is employed in risky project evaluation because of its capacity to handle uncertainties. However, brownfield redevelopment projects contain uncertain factors that have no market price, thus violating the assumption of option pricing models for which all risks have been reflected in the market. This problem, called private risk, is addressed by incorporating fuzzy numbers into real options in this thesis, which can be called fuzzy real options. Fuzzy real options are shown to generalize the original model to deal with additional kinds of uncertainties, making them more suitable for project evaluation.
A numerical technique based on hybrid variables is developed to price fuzzy real options. We proposed an extension of Least Squares Monte-Carlo simulation (LSM) that produces numerical evaluations of options. A major advantage of this methodology lies in its ability to produce results regardless of whether or not an analytic solution exists. Tests show that the generalized LSM produces similar results to the analytic valuation of fuzzy real options, when this is possible.
To facilitate…
Subjects/Keywords: Brownfield Redevelopment; Real Options Analysis
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Manager
APA (6th Edition):
Wang, Q. (2011). Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/5948
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Wang, Qian. “Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy.” 2011. Thesis, University of Waterloo. Accessed January 27, 2021.
http://hdl.handle.net/10012/5948.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Wang, Qian. “Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy.” 2011. Web. 27 Jan 2021.
Vancouver:
Wang Q. Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy. [Internet] [Thesis]. University of Waterloo; 2011. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/10012/5948.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Wang Q. Facilitating Brownfield Redevelopment Projects: Evaluation, Negotiation, and Policy. [Thesis]. University of Waterloo; 2011. Available from: http://hdl.handle.net/10012/5948
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Rutgers University
14.
Gilani, Wajahat H., 1979-.
Optimal execution of real-options in illiquid and incomplete markets.
Degree: PhD, Management, 2016, Rutgers University
URL: https://rucore.libraries.rutgers.edu/rutgers-lib/50521/
► This dissertation, consists of three essays on the problem of quantifying optimal stopping policies for a multi-period investment, where transition probabilities and the investment value…
(more)
▼ This dissertation, consists of three essays on the problem of quantifying optimal stopping policies for a multi-period investment, where transition probabilities and the investment value itself are uncertain. These models are applicable to entrepreneurs in the technology sector and any investment where option based approach can be taken. In the first chapter, I convert the multi-period investment into a partially observable Markov decision process model with bayesian learning. I assume that the core process of the investment value is not observable during the multi-period investment process but can be observed only in its final state if the decision to exploit the investment is made. I assume that the probability distribution between the observed demand levels and the underlying value is known. Since this POMDP model is difficult to solve with dynamic programming because of the size of the possible states, we introduce a heuristic based on marginal profit gains at each state. With the marginal profit heuristic we can calculate the minimum probability threshold of the unobservable state, in a 2-state model, that is the optimal stopping for the process. In the second chapter, I drop the assumption of knowing the probability distribution between the observable demand and unobservable underlying value of the state to the investment, and replace it with a second type of demand level that when observed together with the first demand level imply certain values of the underlying investment. I introduce an algebraic logistic function that has the characteristics of a sigmoid distribution, to serve as an approximation of the probability of the underlying state, based on the observations of the two demand levels but the ratio between them quantify the probability, not a known distribution. Since this model has no defined transition matrix, I develop a best case heuristic, for the 2-state model, that finds a local optimal range, without the use of the Lambert function, and therefore optimal stopping point when a local optimal range does not exist. For the n-state model we define least-case heuristic, similar to the best-case heuristic, except m-local optimal ranges are defined, where m<n and corresponds to the number of states with a positive return. In the third chapter, using the algebraic sigmoid function from the second chapter, I develop a policy approximation problem for the N-state model, where I define an optimal policy that maps the probability of the states of the underlying value of the investments, to an action at each period. In addition, I apply the best-case heuristic from chapter 2 in aggregating the N-state into a M state decision problem.
Advisors/Committee Members: Katehakis, Michael (chair), Boros, Endre (internal member), Alizadeh, Farid (internal member), Papadimitriou, Spiros (internal member), Papakonstantinou, Periklis (internal member), Schreider, Sergei (outside member).
Subjects/Keywords: Real options (Finance); Management accounting
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APA ·
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Export
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Manager
APA (6th Edition):
Gilani, Wajahat H., 1. (2016). Optimal execution of real-options in illiquid and incomplete markets. (Doctoral Dissertation). Rutgers University. Retrieved from https://rucore.libraries.rutgers.edu/rutgers-lib/50521/
Chicago Manual of Style (16th Edition):
Gilani, Wajahat H., 1979-. “Optimal execution of real-options in illiquid and incomplete markets.” 2016. Doctoral Dissertation, Rutgers University. Accessed January 27, 2021.
https://rucore.libraries.rutgers.edu/rutgers-lib/50521/.
MLA Handbook (7th Edition):
Gilani, Wajahat H., 1979-. “Optimal execution of real-options in illiquid and incomplete markets.” 2016. Web. 27 Jan 2021.
Vancouver:
Gilani, Wajahat H. 1. Optimal execution of real-options in illiquid and incomplete markets. [Internet] [Doctoral dissertation]. Rutgers University; 2016. [cited 2021 Jan 27].
Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/50521/.
Council of Science Editors:
Gilani, Wajahat H. 1. Optimal execution of real-options in illiquid and incomplete markets. [Doctoral Dissertation]. Rutgers University; 2016. Available from: https://rucore.libraries.rutgers.edu/rutgers-lib/50521/
Pontifical Catholic University of Rio de Janeiro
15.
MAURICIO SANT ANNA DOS SANTOS.
[en] A EVOLUTIONARY REAL OPTION GAME WITH THE OPTION TO
DEFER INVESTMENT.
Degree: 2016, Pontifical Catholic University of Rio de Janeiro
URL: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26402
► [pt] O objetivo desta dissertação é demonstrar que mesmo em ambientes em que a decisão do individuo não segue a racionalidade, podemos obter uma estratégia…
(more)
▼ [pt] O objetivo desta dissertação é demonstrar que
mesmo em ambientes em que a decisão do individuo não segue a
racionalidade, podemos obter uma estratégia ótima. Com o auxilio do
equilíbrio evolucionariamente estável (ESS), conseguimos analisar
casos diferentes da literatura usual de teoria dos jogos em que
mesmo com escolhas sem racionalidade, encontramos a melhor
estratégia, para tal usaremos a metodologia do jogo de opções,
união entre a teoria dos jogos e a metodologia de opções reais,
juntamente com o conceito de equilíbrio evolucionariamente estável
(ESS). Isso é demonstrado através da modelagem de um mercado
duopolista assimétrico, sujeito a incertezas. Neste trabalho as
firmas são diferentes, existe um duopólio assimétrico. Aqui as
empresas são não homogêneas porque uma empresa tem custo
operacional mais baixo do que a outra para o mesmo investimento.
Isto significa que uma empresa tem vantagem competitiva sobre a
rival. Os resultados do modelo mostram que, dependendo do tipo de
estratégia assumida pela empresa, é possível que a empresa de baixo
custo se torne líder como na literatura usual e em alguns casos
encontramos que diferente da expectativa usual é possível que a
empresa de alto custo venha a se tornar líder e demonstra que a
premissa de racionalidade não é necessária para a escolha inicial
da empresa utilizando o conceito de ESS para definir o equilíbrio
assim como foi feito no trabalho de Xiao e Yu (2006).
[en] The objective of this dissertation is show that
even in environments where the decision of the individual not
follow rationality, we can get a optimal strategy. with the help of
evolutionarily stable strategy, we analyze different cases of the
usual literature on game theory that even with choices without
rationality, we find the best strategy, for that we will use the
option game methodology, which is the union between gaming theory
methodology and option game methodology, with the concept of
evolutionarily stable strategy (ESS). This is demonstrated through
modeling of a duopolistic market, with uncertainties, in this
dissertation firms are different. Here companies has no-Homogeneous
cost because a company has lower operating costs than the other for
the same investment. This means that a company has competitive
advantage over rival. The model results show that, depending on the
strategy assumed by the company it is possible that the low-cost
company to become leader as usual in the literature and in some
cases also shows that is possible to the high cost company to
become leader and demonstrates that the premise of rationality are
not necessary for choosing initial strategy, the company can find
equilibrium using the concept of ESS to set the balance as was done
in the paper of Xiao and YU (2006).
Advisors/Committee Members: ANDRE BARREIRA DA SILVA ROCHA, ANDRE BARREIRA DA SILVA ROCHA.
Subjects/Keywords: [pt] OPCOES REAIS; [en] REAL OPTIONS; [pt] TEORIA DOS JOGOS; [en] GAME THEORY; [pt] JOGOS DE OPCOES REAIS; [en] REAL OPTION GAMES; [pt] EQUILIBRIO EVOLUCIONARIAMENTE ESTAVEL - ESS; [pt] DUOPOLIO ASSIMETRICO
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Export
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Manager
APA (6th Edition):
SANTOS, M. S. A. D. (2016). [en] A EVOLUTIONARY REAL OPTION GAME WITH THE OPTION TO
DEFER INVESTMENT. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26402
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
SANTOS, MAURICIO SANT ANNA DOS. “[en] A EVOLUTIONARY REAL OPTION GAME WITH THE OPTION TO
DEFER INVESTMENT.” 2016. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed January 27, 2021.
http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26402.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
SANTOS, MAURICIO SANT ANNA DOS. “[en] A EVOLUTIONARY REAL OPTION GAME WITH THE OPTION TO
DEFER INVESTMENT.” 2016. Web. 27 Jan 2021.
Vancouver:
SANTOS MSAD. [en] A EVOLUTIONARY REAL OPTION GAME WITH THE OPTION TO
DEFER INVESTMENT. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2016. [cited 2021 Jan 27].
Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26402.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
SANTOS MSAD. [en] A EVOLUTIONARY REAL OPTION GAME WITH THE OPTION TO
DEFER INVESTMENT. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2016. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26402
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Indian Institute of Science
16.
Shelke, Sunil Sitaram.
A Novel Game Theoretic And Voting Mechanism Based Approach For Carbon Emissions Reduction.
Degree: MSc Engg, Faculty of Engineering, 2014, Indian Institute of Science
URL: http://etd.iisc.ac.in/handle/2005/2361
► Global warming is currently a major challenge facing the world. There are widespread ongoing efforts in the form of summits, conferences, etc., to find satisfactory…
(more)
▼ Global warming is currently a major challenge facing the world. There are widespread ongoing efforts in the form of summits, conferences, etc., to find satisfactory ways of surmounting this challenge. The basic objective of all such efforts can be summarized as conception and formation of protocols to reduce the pace of global carbon levels.
Game theory and mechanism design provide a natural modeling tool for capturing the strategic dynamics involved in global warming related problems. This dissertation explores for the first time the use of voting mechanisms in the context of solving the central problems, namely, allocation of emission caps and reduction quotas to strategic emitting agents (countries).
The contribution of this dissertation is two-fold. The first contribution is to develop an elegant
game theoretic model that accurately captures the strategic interactions among different emitting agents in a global warming setting. This model facilitates a convenient way of exploring a mechanism design approach for solving important allocation problems in the global warming context. The second contribution is to propose and explore a novel approach, based on voting mechanisms, to solve two problems: (1) allocating emission caps and (2) allocating reduction quotas to strategic agents.
Our work investigates the use of voting mechanisms that satisfy four desirable properties:
(1) non-dictatorship, (2) strategy-proofness, (3) efficiency, and (4) anonymity. In particular, we explore the median selection, maximum order statistic selection, and general Kth order statistic selection voting mechanisms. Our results clearly show that only trivial allocations satisfy all the above properties simultaneously. We next investigate the use of voting mechanisms for the dual problem, namely, allocation of emission reductions to emitting agents. Here, we show that non-trivial allocations are possible, however an important property, individual rationality, might be compromised.
The investigations in the thesis bring out certain limitations in applying voting mechanisms that satisfy all the four properties above. Nevertheless, the insights obtained provide valuable guidelines for solving emission allocation related problems in a principled and informed way.
Advisors/Committee Members: Narahari, Y (advisor).
Subjects/Keywords: Game Theory; Carbon Emissions; Global Warming - Game Theoretic Model; Global Warming - Voting Mechanism; Carbon Emissions - Allocation and Reduction; Game Theoretic Approach; Game Theoretic Model; Computer Science
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APA (6th Edition):
Shelke, S. S. (2014). A Novel Game Theoretic And Voting Mechanism Based Approach For Carbon Emissions Reduction. (Masters Thesis). Indian Institute of Science. Retrieved from http://etd.iisc.ac.in/handle/2005/2361
Chicago Manual of Style (16th Edition):
Shelke, Sunil Sitaram. “A Novel Game Theoretic And Voting Mechanism Based Approach For Carbon Emissions Reduction.” 2014. Masters Thesis, Indian Institute of Science. Accessed January 27, 2021.
http://etd.iisc.ac.in/handle/2005/2361.
MLA Handbook (7th Edition):
Shelke, Sunil Sitaram. “A Novel Game Theoretic And Voting Mechanism Based Approach For Carbon Emissions Reduction.” 2014. Web. 27 Jan 2021.
Vancouver:
Shelke SS. A Novel Game Theoretic And Voting Mechanism Based Approach For Carbon Emissions Reduction. [Internet] [Masters thesis]. Indian Institute of Science; 2014. [cited 2021 Jan 27].
Available from: http://etd.iisc.ac.in/handle/2005/2361.
Council of Science Editors:
Shelke SS. A Novel Game Theoretic And Voting Mechanism Based Approach For Carbon Emissions Reduction. [Masters Thesis]. Indian Institute of Science; 2014. Available from: http://etd.iisc.ac.in/handle/2005/2361
17.
Attelan, Stéfanie.
Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry.
Degree: Docteur es, Sciences économiques - EM2C, 2014, Cergy-Pontoise
URL: http://www.theses.fr/2014CERG0731
► Dans la mesure où les environnements économiques et financiers sont régis par de nombreux aléas, la prise de décision en matière d'investissement immobilier s'avère de…
(more)
▼ Dans la mesure où les environnements économiques et financiers sont régis par de nombreux aléas, la prise de décision en matière d'investissement immobilier s'avère de plus en plus complexe.Le premier chapitre commence par présenter les méthodes traditionnelles d'évaluation des choix d'investissement dans le secteur immobilier. La notion d'option réelle est ensuite introduite au travers du lien entre les options réelles et les options financières. Le deuxième chapitre s'intéresse à différents cas de recours aux options réelles dans le secteur immobilier en faisant systématiquement référence à la littérature qui leur est consacrée. Le troisième chapitre présente des analyses de mesure de la performance et de dynamique des rendements et de volatilité sur les marchés européens et américains.
As the economic and financial environments are governed by many uncertainties, decision-making on real estate investments is becoming increasingly complex.The first chapter begins by presenting the traditional methods to value real estate investments. The concept of real options is then introduced through the link between real options and financial options. The second chapter focuses on different use cases of real options in the real estate industry by referring to the literature devoted to them. The third chapter presents a performance measurement analysis and a study of the dynamics of returns and volatility in European and American markets.
Advisors/Committee Members: Prigent, Jean-Luc (thesis director), Lévyne, Olivier (thesis director).
Subjects/Keywords: Options réelles; Immobilier; Valorisation; Real options; Real estate; Valuation
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Manager
APA (6th Edition):
Attelan, S. (2014). Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry. (Doctoral Dissertation). Cergy-Pontoise. Retrieved from http://www.theses.fr/2014CERG0731
Chicago Manual of Style (16th Edition):
Attelan, Stéfanie. “Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry.” 2014. Doctoral Dissertation, Cergy-Pontoise. Accessed January 27, 2021.
http://www.theses.fr/2014CERG0731.
MLA Handbook (7th Edition):
Attelan, Stéfanie. “Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry.” 2014. Web. 27 Jan 2021.
Vancouver:
Attelan S. Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry. [Internet] [Doctoral dissertation]. Cergy-Pontoise; 2014. [cited 2021 Jan 27].
Available from: http://www.theses.fr/2014CERG0731.
Council of Science Editors:
Attelan S. Stratégie d'investissement et méthodologie de valorisation dans le secteur immobilier : Investment strategies and valuation methodology in the real estate industry. [Doctoral Dissertation]. Cergy-Pontoise; 2014. Available from: http://www.theses.fr/2014CERG0731
NSYSU
18.
Wu, Guo-Ciang.
The Relationship between Strength of Embeddedness Ties in Strategic Networks and the Innovation Performance: The Perspectives on Cournot Duopoly Competitive Game and Real Options.
Degree: PhD, Business Management, 2005, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0604105-114654
► Prior research on the strength of embeddedness ties in strategic networks in influencing innovation performance has produced inconsistent conclusions. In this paper, drawing on an…
(more)
▼ Prior research on the strength of embeddedness ties in strategic networks in influencing innovation performance has produced inconsistent conclusions. In this paper, drawing on an investment perspective on firmsâ decision behavior, we argue that the âcontrol benefitsââanother characteristics of strategic networksâalso affects firmsâ innovation performance. According to previous research, we adopt the speed of âpatent applicationâ and âmarket introduction of a new productâ to measure innovation performance. Furthermore, we divide firmsâ innovation strategies into âapply for a patent and introduce the new product to market laterâ, âpatent the innovation and market introduction immediatelyâ as well as âintroduce the new product to market and apply for a patent laterâ.
We examine the relationship between the strength of enbeddedness ties and firmsâ innovation performance using the theoretical frames of
game theory and
real options. After the analysis of Cournot duopoly
game model and
real options approach, several findings are acquired as follows: (a) the higher the strength of embeddedness ties, the more likely the firm is to abandon the innovation strategy âapply for a patent and introduce the new product to market laterâ and adopt innovation strategies âpatent the innovation and market introduction immediatelyâ or âintroduce the new product to market and apply for a patent laterâ; (b) if the firm adopts the innovation strategy âapply for a patent and introduce the new product to market laterâ, then the strength of embeddedness ties has a positive effect on the speed of market introduction of the new product, but the relationship between the strength of embeddedness ties and the speed of patent application is not sure; (c) if the firm adopts innovation strategies âpatent the innovation and market introduction immediatelyâ or âintroduce the new product to market and apply for a patent laterâ, then the strength of embeddedness ties has both positive and negative impact on the speed of âpatent applicationâ and âmarket introduction of a new productâ, and therefore the relationship between the strength of embeddedness ties and the innovatorâs innovation performance is indeterminable. The research findings indicate that the innovator may delay the application for patent or postpone the launching of a new product because of the âcontrol benefitsâ derived from different strength of embeddedness ties. These results have broad implications for future research on strategic networks and innovation.
Advisors/Committee Members: Tong-Yuan Koo (chair), Hsien-Tang Tsai (chair), Iuan-Yuan Lu (committee member), Pao-Tiao Chuang (chair), Tsuang-Yih Kuo (chair).
Subjects/Keywords: Strength of Embedded Ties; Game Theory; Strategic Networks; Innovation Performance; Real Options
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Manager
APA (6th Edition):
Wu, G. (2005). The Relationship between Strength of Embeddedness Ties in Strategic Networks and the Innovation Performance: The Perspectives on Cournot Duopoly Competitive Game and Real Options. (Doctoral Dissertation). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0604105-114654
Chicago Manual of Style (16th Edition):
Wu, Guo-Ciang. “The Relationship between Strength of Embeddedness Ties in Strategic Networks and the Innovation Performance: The Perspectives on Cournot Duopoly Competitive Game and Real Options.” 2005. Doctoral Dissertation, NSYSU. Accessed January 27, 2021.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0604105-114654.
MLA Handbook (7th Edition):
Wu, Guo-Ciang. “The Relationship between Strength of Embeddedness Ties in Strategic Networks and the Innovation Performance: The Perspectives on Cournot Duopoly Competitive Game and Real Options.” 2005. Web. 27 Jan 2021.
Vancouver:
Wu G. The Relationship between Strength of Embeddedness Ties in Strategic Networks and the Innovation Performance: The Perspectives on Cournot Duopoly Competitive Game and Real Options. [Internet] [Doctoral dissertation]. NSYSU; 2005. [cited 2021 Jan 27].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0604105-114654.
Council of Science Editors:
Wu G. The Relationship between Strength of Embeddedness Ties in Strategic Networks and the Innovation Performance: The Perspectives on Cournot Duopoly Competitive Game and Real Options. [Doctoral Dissertation]. NSYSU; 2005. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0604105-114654
NSYSU
19.
Lin, Liang-Hung.
A Study of Innovation and Quality in the Automotive Industry.
Degree: PhD, Business Management, 2004, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1221104-003130
► Over the past decade, new approaches to innovation management have become prime drivers of various industries. Considering product quality, product innovation and service innovation in…
(more)
▼ Over the past decade, new approaches to innovation management have become prime drivers of various industries. Considering product quality, product innovation and service innovation in the automotive industry, this study tries to adopt
game theory and
real option models to analyze competing and consuming behavior among high- quality firms, low-quality firms and rational consumers. With an argument that firms will undertake innovation activities if they produce high-quality products, this study wishes to demonstrate that high quality products will induce both product and service innovations simultaneously.
To achieve the research objective, this study divides innovation into product and service innovations, and then, discusses qualityâs impacts on product and service innovations separately.
Game theory models concerning quality and product innovation indicate that the fixed cost of innovation, the barrier to a firmâs engaging in innovative activities, is overcome only if a firm produces high-quality products. Moreover, another dynamic
game also shows the strong relationship between product quality and service innovation. Applying
real options models to evaluate service innovations in the automotive industry, including half-price purchase warranty and extended test drive service, also verify that effective service innovations might increase consumer willing-to-buy and enlarge the sales and profits for the innovative firms. Besides quality, this study also reveals that consumer preference to new product or service is another key successful factor for business innovation management. Successful innovation management depends on continuously improving product and service, concerning the status of expected market, and understanding the needs of potential consumers.
Even though a general consensus on product and service innovations among different industries remains lacking, this study strongly supports the argument that firms producing high-quality products will be active in innovations. From the broader perspective of process management, total quality management, which increases product quality, undoubtedly supports innovation management.
Advisors/Committee Members: Chang-Yung Liu (chair), Hsien-Tang Tsai (chair), Pao-Tiao Chuang (chair), Yun-Cheng Huang (chair), Tsuang Kuo (chair), Tong-Yuan Koo (chair), Iuan-Yuan Lu (committee member).
Subjects/Keywords: Product Innovation; Product Quality; Service Innovation; Game Theory; Real Options
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APA ·
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Manager
APA (6th Edition):
Lin, L. (2004). A Study of Innovation and Quality in the Automotive Industry. (Doctoral Dissertation). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1221104-003130
Chicago Manual of Style (16th Edition):
Lin, Liang-Hung. “A Study of Innovation and Quality in the Automotive Industry.” 2004. Doctoral Dissertation, NSYSU. Accessed January 27, 2021.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1221104-003130.
MLA Handbook (7th Edition):
Lin, Liang-Hung. “A Study of Innovation and Quality in the Automotive Industry.” 2004. Web. 27 Jan 2021.
Vancouver:
Lin L. A Study of Innovation and Quality in the Automotive Industry. [Internet] [Doctoral dissertation]. NSYSU; 2004. [cited 2021 Jan 27].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1221104-003130.
Council of Science Editors:
Lin L. A Study of Innovation and Quality in the Automotive Industry. [Doctoral Dissertation]. NSYSU; 2004. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-1221104-003130
20.
Monteiro, João Carlos da Rocha e Cunha.
Managerial flexibility and competitive interaction in investment decisions : a discrete-time agency theoretic perspective.
Degree: 2016, RCAAP
URL: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/11897
► Doutoramento em Gestão Especialidade Métodos Quantitativos / JEL Classification System: C70; G31; G32.
This work intends to incorporate into a unified perspective three different fields…
(more)
▼ Doutoramento em Gestão Especialidade Métodos Quantitativos / JEL Classification System: C70; G31; G32.
This work intends to incorporate into a unified perspective three different fields of
corporate finance: the managerial flexibility present in investment projects through the
so-called real options models; the existence of agency costs as a result of financing
strategies that rely in a mix between equity and debt; the existence of competition
between firms, in non-purely competitive markets, through game theory. The aim of this
work is to produce an integrated perspective of analysis that constitutes a value added to
the literature, bringing new angles of approach to these issues. Indeed, to date, the link
between these different aspects that affect managerial decisions in competitive markets
is not yet established in a unified point of view. As such, we believe that the connection
established in the present research may contribute to an improved understanding of that
decision-making process.
The work comprises two fundamental components. First, a theoretical review of
concepts and latest developments in each of the different themes which are later
combined. After such review, a discrete-time model that makes the connection between
these theories is developed. Such model departs from the analysis of Mauer and Ott
(2000) and Smit and Trigeorgis (2004). Afterwards, a numerical simulation is
performed and the findings from such analysis are described. The results, from the
simulation performed show that the existence of competition in non-purely competitive
markets does produce a significant impact in managerial decisions.
Este trabalho pretende incorporar numa perspectiva unificada três diferentes
temáticas das finanças empresariais: a flexibilidade operacional presente em projectos
de investimento através dos denominados modelos de opções reais; a existência de
custos de agência em consequência de estratégias de financiamento que recorrem a
capitais próprios e a capitais alheios; a concorrência entre empresas, em mercados não
puramente concorrenciais, analisada através da teoria de jogos. Pretende-se com este
trabalho trazer uma perspectiva integradora de análise que constitua uma mais valia para
a literatura e que permite trazer novos prismas de abordagem a estas questões. Com
efeito, até ao presente, a ligação entre estes diferentes aspectos, que afectam a tomada
de decisões empresariais em mercados concorrenciais, ainda não se encontra
estabelecida de uma forma unificada. Como tal, julgamos que a ligação aqui
estabelecida pode contribuir para uma melhoria na compreensão dessa mesma tomada
de decisões.
O trabalho desenvolvido inicia-se com uma revisão teórica dos principais conceitos
e desenvolvimentos mais recentes em opções reais, teoria da agência e teoria dos jogos.
A seguir, desenvolve-se um modelo a tempo discreto que unifica essas mesmas teorias.
Tal modelo desenvolve-se a partir da análise de Mauer e Ott (2000) e da de Smit e
Trigeorgis (2004). Posteriormente, procede-se a uma simulação e apresenta-se…
Advisors/Committee Members: Filipe, José António Candeias Bonito.
Subjects/Keywords: Real options; Agency theory; Game theory and capital structure; Métodos quantitativos aplicados à gestão; Estratégias financeiras; Financiamento da empresa; Opções reais; Teoria dos jogos; Estrutura de capital
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Manager
APA (6th Edition):
Monteiro, J. C. d. R. e. C. (2016). Managerial flexibility and competitive interaction in investment decisions : a discrete-time agency theoretic perspective. (Thesis). RCAAP. Retrieved from https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/11897
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Monteiro, João Carlos da Rocha e Cunha. “Managerial flexibility and competitive interaction in investment decisions : a discrete-time agency theoretic perspective.” 2016. Thesis, RCAAP. Accessed January 27, 2021.
https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/11897.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Monteiro, João Carlos da Rocha e Cunha. “Managerial flexibility and competitive interaction in investment decisions : a discrete-time agency theoretic perspective.” 2016. Web. 27 Jan 2021.
Vancouver:
Monteiro JCdReC. Managerial flexibility and competitive interaction in investment decisions : a discrete-time agency theoretic perspective. [Internet] [Thesis]. RCAAP; 2016. [cited 2021 Jan 27].
Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/11897.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Monteiro JCdReC. Managerial flexibility and competitive interaction in investment decisions : a discrete-time agency theoretic perspective. [Thesis]. RCAAP; 2016. Available from: https://www.rcaap.pt/detail.jsp?id=oai:repositorio.iscte-iul.pt:10071/11897
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Brigham Young University
21.
Ostler, James O.
New Product Launch Decisions under Competition and Uncertainty: A Real Options and Game-Theoretic Approach to New Product Development.
Degree: MS, 2004, Brigham Young University
URL: https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=1230&context=etd
► New product development is central to many firms' future success. Not only as a means to continue to maintain their piece of the market,…
(more)
▼ New product development is central to many firms' future success. Not only as a means to continue to maintain their piece of the market, but product development can also be a strategic means for a company to diversify, and/or alter focus to adapt to changing market conditions.
Most of the research in new product development has been on how to do it cheaper and faster than the next guy. However, early commercialization does not guarantee a position of strength in the market. Failures of EMI in CT scanners and Xerox in personal computers illustrate that being first to market does not ensure success or even survival. There are two main factors that inhibit managers from making educated decisions on when to introduce a new product. First, firms do not exist in a vacuum and any action they take will be countered by their competition. Second, with new products the only certainty is uncertainty.
To allow such decisions to become "gut feeling" decisions puts a company's future at unnecessary risk. This is evidenced by the many firms that have had devastating results because of poor decisions with regard to launching a new product.
While high level quantitative tools have recently begun to be used to evaluate corporate strategy, these tools are still mainly confined to research groups within large corporations. Both real options (to handle uncertainty) and game theory (to capture the effects of the competitions actions) have been evaluated and used by these groups. However, they have not been adequately integrated together in the academic world, let alone in industry. This thesis help bridge the gap between strategic decision making, and the theoretical world of economic decision analysis creating a prescriptive model companies can use to evaluate strategically important new product launches.
To bridge this gap a method that is able to handle the integration of game-theoretic and options-theoretic reasoning to the strategic analysis of new product introduction is developed. Not only was a method developed that could incorporate the two methods it was done in a way that is accessible and useful outside of the academic world.
Subjects/Keywords: Real Options; Game Theory; New Product Development; Construction Engineering and Management; Manufacturing; Marketing
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Manager
APA (6th Edition):
Ostler, J. O. (2004). New Product Launch Decisions under Competition and Uncertainty: A Real Options and Game-Theoretic Approach to New Product Development. (Masters Thesis). Brigham Young University. Retrieved from https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=1230&context=etd
Chicago Manual of Style (16th Edition):
Ostler, James O. “New Product Launch Decisions under Competition and Uncertainty: A Real Options and Game-Theoretic Approach to New Product Development.” 2004. Masters Thesis, Brigham Young University. Accessed January 27, 2021.
https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=1230&context=etd.
MLA Handbook (7th Edition):
Ostler, James O. “New Product Launch Decisions under Competition and Uncertainty: A Real Options and Game-Theoretic Approach to New Product Development.” 2004. Web. 27 Jan 2021.
Vancouver:
Ostler JO. New Product Launch Decisions under Competition and Uncertainty: A Real Options and Game-Theoretic Approach to New Product Development. [Internet] [Masters thesis]. Brigham Young University; 2004. [cited 2021 Jan 27].
Available from: https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=1230&context=etd.
Council of Science Editors:
Ostler JO. New Product Launch Decisions under Competition and Uncertainty: A Real Options and Game-Theoretic Approach to New Product Development. [Masters Thesis]. Brigham Young University; 2004. Available from: https://scholarsarchive.byu.edu/cgi/viewcontent.cgi?article=1230&context=etd
Anna University
22.
Vetrivelan P.
Game theoretic and weightedranking approaches for
seamless vertical handover in 4g heterogeneous networks; -.
Degree: Information and communication
engineering, 2014, Anna University
URL: http://shodhganga.inflibnet.ac.in/handle/10603/54061
Abstract available
Reference p.231-240 and publication
p.241-243
Advisors/Committee Members: Narayanasamy, P.Subjects/Keywords: Game; Heterogeneous; Theoretic; Weightedranking
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Manager
APA (6th Edition):
P, V. (2014). Game theoretic and weightedranking approaches for
seamless vertical handover in 4g heterogeneous networks; -. (Thesis). Anna University. Retrieved from http://shodhganga.inflibnet.ac.in/handle/10603/54061
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
P, Vetrivelan. “Game theoretic and weightedranking approaches for
seamless vertical handover in 4g heterogeneous networks; -.” 2014. Thesis, Anna University. Accessed January 27, 2021.
http://shodhganga.inflibnet.ac.in/handle/10603/54061.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
P, Vetrivelan. “Game theoretic and weightedranking approaches for
seamless vertical handover in 4g heterogeneous networks; -.” 2014. Web. 27 Jan 2021.
Vancouver:
P V. Game theoretic and weightedranking approaches for
seamless vertical handover in 4g heterogeneous networks; -. [Internet] [Thesis]. Anna University; 2014. [cited 2021 Jan 27].
Available from: http://shodhganga.inflibnet.ac.in/handle/10603/54061.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
P V. Game theoretic and weightedranking approaches for
seamless vertical handover in 4g heterogeneous networks; -. [Thesis]. Anna University; 2014. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/54061
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Anna University
23.
Vetrivelan P.
Game theoretic and weighted ranking Approaches for
seamless Vertical handover in 4g Heterogeneous networks;.
Degree: Game theoretic and weighted ranking Approaches for
seamless Vertical handover in 4g Heterogeneous
networks, 2015, Anna University
URL: http://shodhganga.inflibnet.ac.in/handle/10603/49592
► Fourth Generation 4G or Next Generation Wireless Networks newline NGWN enables the integration and interworking of current wireless newlineSystems With 4G NGWNs user demands various…
(more)
▼ Fourth Generation 4G or Next Generation Wireless
Networks newline NGWN enables the integration and interworking of
current wireless newlineSystems With 4G NGWNs user demands various
levels of broadband newlineservices voice data and multimedia
across different wireless networks and newlineoperators for
seamless roaming at vehicular speeds The process of automatic
newlineswitching across different networks without any interruption
is known as newlinevertical handover The existing system lacks
standard handover interfaces and newlinescalability I e it does not
provide seamless roaming across different newlineoperators and
different networks Therefore it has limited QoS during
newlineheterogeneous handover It is inefficient and impractical to
consider received newlinesignal strength RSS as the sole criterion
for heterogeneous handover So newlinemore complex metrics like
momentary cost bandwidth power consumption newlinenetwork
conditions and user preferences are also considered for vertical
newlinehandover decision newlineAlthough the existing network
selection mechanisms ensure the newlinemaximal user s Quality of
Experience QoE by taking into account of user s newlinepreferences
and network conditions the multi dimensional decision problem
newlineis not addressed in the existing system newline
newline
Reference p.131-240
Advisors/Committee Members: Narayanasamy P.
Subjects/Keywords: 4g Heterogeneous; Game theoretic; Information and communication engineering
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APA (6th Edition):
P, V. (2015). Game theoretic and weighted ranking Approaches for
seamless Vertical handover in 4g Heterogeneous networks;. (Thesis). Anna University. Retrieved from http://shodhganga.inflibnet.ac.in/handle/10603/49592
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
P, Vetrivelan. “Game theoretic and weighted ranking Approaches for
seamless Vertical handover in 4g Heterogeneous networks;.” 2015. Thesis, Anna University. Accessed January 27, 2021.
http://shodhganga.inflibnet.ac.in/handle/10603/49592.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
P, Vetrivelan. “Game theoretic and weighted ranking Approaches for
seamless Vertical handover in 4g Heterogeneous networks;.” 2015. Web. 27 Jan 2021.
Vancouver:
P V. Game theoretic and weighted ranking Approaches for
seamless Vertical handover in 4g Heterogeneous networks;. [Internet] [Thesis]. Anna University; 2015. [cited 2021 Jan 27].
Available from: http://shodhganga.inflibnet.ac.in/handle/10603/49592.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
P V. Game theoretic and weighted ranking Approaches for
seamless Vertical handover in 4g Heterogeneous networks;. [Thesis]. Anna University; 2015. Available from: http://shodhganga.inflibnet.ac.in/handle/10603/49592
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Adelaide
24.
Otumawu-Apreku, Kofi.
Matters of management, sustainability, and efficiency: essays in fisheries.
Degree: 2013, University of Adelaide
URL: http://hdl.handle.net/2440/83828
► This thesis addresses three main issues in fisheries management: monitoring and enforcement; profit efficiency; and factors determining profit efficiency. The overall objective is to provide…
(more)
▼ This thesis addresses three main issues in fisheries management: monitoring and enforcement; profit efficiency; and factors determining profit efficiency. The overall objective is to provide broad theoretical and empirical analysis of fisheries management issues that seek to address sustainability and efficiency questions in the industry. The first issue investigated is whether monitoring and enforcement, as management policy instruments, can lower illegal harvesting and therefore preserve fish stocks. Using a
game theoretic approach the strategic interaction between management and fishers, in the presence of illegal, unreported, and unregulated (IUU), is examined. Results of the analysis show that equilibrium compliance strategies of fishers affect stocks over time. It is further observed that increasing the cost of engaging in illegal activities, through punishment, may be sound economic policy. The second issue examined is efficiency in the South Australian Rock Lobster Fishery. To do this a new approach, in the context of fisheries, is used to overcome the small sample sizes and negative profit challenges inherent in fisheries. Specifically, the Nerlovian and Directional Distance Function methods are used to decompose profits of the fisheries into technical and allocative efficiencies. In addition, the meta-frontier efficiency technique is used to compare the Northern and Southern Zones, the two fisheries in the South Australian Rock Lobster Fishery. Results show that profit inefficiency in this fishery can be largely attributed to allocative inefficiency. Further, it is observed that there is significant variability between efficiency levels in the Northern and Southern Zones. The final issue considered is the natural question of what factors, besides technical and allocative inefficiency, may possibly explain profit inefficiencies in the South Australian Rock Lobster Fishery. To answer this question we investigate the effects of incorporating a fixed input on equilibrium profits and biomass. We first set up a theoretical model with an input that is fixed in the short-run (vessel size) but that can be used with a variable input at sub-optimal capacity. We use this model to get predictions for the impact on profits of exogenous changes in biomass, output price and vessel size. These give us interesting theoretical insights into why it is important to incorporate fixed inputs into profit analysis. We then conduct an empirical investigation to gain an understanding of the effects of these non-discretionary factors on profit efficiency. In particular, we apply a truncated regression with bootstrap methodology to data on individual firm profit efficiency from the South Australian Rock Lobster Fishery. We find empirical support for our predictions that increased biomass and smaller vessel length are associated with higher profits. An additional empirical result is that individual quota management is positively associated with profit efficiency.
Advisors/Committee Members: McWhinnie, Stephanie Faye (advisor), Kvasov, Dmitriy (advisor), Findlay, Christopher Charles (advisor), School of Economics (school).
Subjects/Keywords: violation; compliance; game-theoretic efficiency; Nerlovian; truncation; bootstrap
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Manager
APA (6th Edition):
Otumawu-Apreku, K. (2013). Matters of management, sustainability, and efficiency: essays in fisheries. (Thesis). University of Adelaide. Retrieved from http://hdl.handle.net/2440/83828
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Otumawu-Apreku, Kofi. “Matters of management, sustainability, and efficiency: essays in fisheries.” 2013. Thesis, University of Adelaide. Accessed January 27, 2021.
http://hdl.handle.net/2440/83828.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Otumawu-Apreku, Kofi. “Matters of management, sustainability, and efficiency: essays in fisheries.” 2013. Web. 27 Jan 2021.
Vancouver:
Otumawu-Apreku K. Matters of management, sustainability, and efficiency: essays in fisheries. [Internet] [Thesis]. University of Adelaide; 2013. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/2440/83828.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Otumawu-Apreku K. Matters of management, sustainability, and efficiency: essays in fisheries. [Thesis]. University of Adelaide; 2013. Available from: http://hdl.handle.net/2440/83828
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
25.
Zavareh, Alireza.
Analytical and Numerical methods for a Mean curvature flow equation with applications to financial Mathematics and image processing.
Degree: 2012, , School of Engineering
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:bth-2132
► This thesis provides an analytical and two numerical methods for solving a parabolic equation of two-dimensional mean curvature flow with some applications. In analytical…
(more)
▼ This thesis provides an analytical and two numerical methods for solving a parabolic equation of two-dimensional mean curvature flow with some applications. In analytical method, this equation is solved by Lie group analysis method, and in numerical method, two algorithms are implemented in MATLAB for solving this equation. A geometric algorithm and a step-wise algorithm; both are based on a deterministic game theoretic representation for parabolic partial differential equations, originally proposed in the genial work of Kohn-Serfaty [1].
+46-767165881
Subjects/Keywords: Mean curvature flow; Lie group analysis; Parabolic equation; Deterministic game theoretic
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APA ·
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Manager
APA (6th Edition):
Zavareh, A. (2012). Analytical and Numerical methods for a Mean curvature flow equation with applications to financial Mathematics and image processing. (Thesis). , School of Engineering. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:bth-2132
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Zavareh, Alireza. “Analytical and Numerical methods for a Mean curvature flow equation with applications to financial Mathematics and image processing.” 2012. Thesis, , School of Engineering. Accessed January 27, 2021.
http://urn.kb.se/resolve?urn=urn:nbn:se:bth-2132.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Zavareh, Alireza. “Analytical and Numerical methods for a Mean curvature flow equation with applications to financial Mathematics and image processing.” 2012. Web. 27 Jan 2021.
Vancouver:
Zavareh A. Analytical and Numerical methods for a Mean curvature flow equation with applications to financial Mathematics and image processing. [Internet] [Thesis]. , School of Engineering; 2012. [cited 2021 Jan 27].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:bth-2132.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Zavareh A. Analytical and Numerical methods for a Mean curvature flow equation with applications to financial Mathematics and image processing. [Thesis]. , School of Engineering; 2012. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:bth-2132
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Texas – Austin
26.
-1709-7032.
Resource allocation in service and logistics systems.
Degree: PhD, Operations Research & Industrial Engineering, 2016, University of Texas – Austin
URL: http://hdl.handle.net/2152/47042
► Resource allocation is a problem commonly encountered in strategic planning, where a typical objective is to minimize the associated cost or maximize the resulting profit.…
(more)
▼ Resource allocation is a problem commonly encountered in strategic planning, where a typical objective is to minimize the associated cost or maximize the resulting profit. It is studied analytically and numerically for service and logistics systems in this dissertation, with the major resource being people, services or trucks. First, a staffing level problem is analyzed for large-scale single-station queueing systems. The system manager operates an Erlang-C queueing system with a quality-of-service (QoS) constraint on the probability that a customer is queued. However, in this model, the arrival rate is uncertain in the sense that even the arrival-rate distribution is not completely known to the manager. Rather, the manager has an estimate of the support of the arrival-rate distribution and the mean. The goal is to determine the number of servers needed to satisfy the quality of service constraint. Two models are explored. First, the constraint is enforced on an overall delay probability, given the probability that different feasible arrival-rate distributions are selected. In the second case, the constraint has to be satisfied by every possible distribution. For both problems, asymptotically optimal solutions are developed based on Halfin-Whitt type scalings. The work is followed by a discussion on solution uniqueness with a joint QoS constraint and a given arrival-rate distribution in multi-station systems. Second, an extension to Naor’s analysis on the joining or balking problem in observable M=M=1 queues and its variant in unobservable M=M=1 queues is presented to incorporate parameter uncertainty. The arrival-rate distribution is known to all, but the exact arrival rate is unknown in both cases. The optimal joining strategies are obtained and compared from the perspectives of individual customers, the social optimizer and the profit maximizer, where differences are recognized between the results for systems with deterministic and stochastic arrival rates. Finally, an integrated ordering and inbound shipping problem is formulated for an assembly plant with a large number of suppliers. The objective is to minimize the annual total cost with a static strategy. Potential transportation modes include full truckload shipping and less than truckload shipping, the former of which allows customized routing while the latter does not. A location-based model is applied in search of near-optimal solutions instead of an exact model with vehicle routing, and numerical experiments are conducted to investigate the insights of the problem.
Advisors/Committee Members: Hasenbein, John J. (advisor), Kutanoglu, Erhan (advisor), Bickel, James E. (committee member), Khajavirad, Aida (committee member), Morrice, Douglas J. (committee member).
Subjects/Keywords: Staffing service systems; Parameter uncertainty; Game-theoretic queueing; Inbound shipping
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APA ·
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Manager
APA (6th Edition):
-1709-7032. (2016). Resource allocation in service and logistics systems. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/47042
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Chicago Manual of Style (16th Edition):
-1709-7032. “Resource allocation in service and logistics systems.” 2016. Doctoral Dissertation, University of Texas – Austin. Accessed January 27, 2021.
http://hdl.handle.net/2152/47042.
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
MLA Handbook (7th Edition):
-1709-7032. “Resource allocation in service and logistics systems.” 2016. Web. 27 Jan 2021.
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Vancouver:
-1709-7032. Resource allocation in service and logistics systems. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2016. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/2152/47042.
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Council of Science Editors:
-1709-7032. Resource allocation in service and logistics systems. [Doctoral Dissertation]. University of Texas – Austin; 2016. Available from: http://hdl.handle.net/2152/47042
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
University of Newcastle
27.
Brady, Nathan D.
An analysis of the effects of risk biases on real options pricing.
Degree: DBA, 2015, University of Newcastle
URL: http://hdl.handle.net/1959.13/1063061
► Research Doctorate - Doctor of Business Administration (DBA)
Over the past two decades, a significant amount of academic knowledge has been created on how to…
(more)
▼ Research Doctorate - Doctor of Business Administration (DBA)
Over the past two decades, a significant amount of academic knowledge has been created on how to apply real options analysis to business investments. Despite the many apparent advantages of using real options to value projects, the approach has not found favor with managers in practice. Some critics claim that the method is untrustworthy and might encourage too much risk taking. This dissertation provides an exploration of risk biases, viewed through the lens of prospect theory, as a potential cause for the mistrust toward real options. Using evidence from a survey of 67 business school students, the results showed that participants generally evaluated options in a manner consistent with prospect theory’s S-shaped utility function. This research agrees with prior findings that buyers will price options at a discount and adds to the literature by confirming a new hypotheses that call options are consistently discounted more than put options of similar expected value. Additionally, evidence is provided that, in agreement with prospect theory, small probabilities cause distortions in options pricing. In general, pricing biases were found to be dependent on the framing of the scenario as either a gain or a loss and whether or not there were small probabilities involved. These findings bring into question the applicability of standard risk measures, such as discount rates derived from opportunity costs, to options scenarios.
Advisors/Committee Members: University of Newcastle. Faculty of Business & Law, Newcastle Business School.
Subjects/Keywords: real options; prospect theory; expected utility; options pricing; risk aversion
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APA ·
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Manager
APA (6th Edition):
Brady, N. D. (2015). An analysis of the effects of risk biases on real options pricing. (Doctoral Dissertation). University of Newcastle. Retrieved from http://hdl.handle.net/1959.13/1063061
Chicago Manual of Style (16th Edition):
Brady, Nathan D. “An analysis of the effects of risk biases on real options pricing.” 2015. Doctoral Dissertation, University of Newcastle. Accessed January 27, 2021.
http://hdl.handle.net/1959.13/1063061.
MLA Handbook (7th Edition):
Brady, Nathan D. “An analysis of the effects of risk biases on real options pricing.” 2015. Web. 27 Jan 2021.
Vancouver:
Brady ND. An analysis of the effects of risk biases on real options pricing. [Internet] [Doctoral dissertation]. University of Newcastle; 2015. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/1959.13/1063061.
Council of Science Editors:
Brady ND. An analysis of the effects of risk biases on real options pricing. [Doctoral Dissertation]. University of Newcastle; 2015. Available from: http://hdl.handle.net/1959.13/1063061
University of Southern California
28.
Wang, Tong.
Three essays in derivatives, trading and liquidity.
Degree: PhD, Business Administration, 2013, University of Southern California
URL: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459
► The work in Chapter 1 shows that hedging by option writers has a large and significant destabilizing effect on the stock market. We demonstrate that…
(more)
▼ The work in Chapter 1 shows that hedging by option
writers has a large and significant destabilizing effect on the
stock market. We demonstrate that weekly return reversals are
significantly stronger surrounding option expiration days. Our
evidence suggests that the hedging pressure that drives weekly
reversals mainly comes from index
options rather than individual
stock
options. We find in addition that index option hedging
appears to have an impact on the aggregate market, and that the
strength this aggregate impact is highly related to the degree of
cross-sectional reversal. We also find that index option prices
tend to be high before option expiration, suggesting that option
hedgers are attempting to unwind written positions that might be
difficult to hedge due to price impact on the underlying stocks.
Collectively, the evidence we present strongly supports the
conclusion that option trading causes significant price
displacements in stocks and in the market as a whole. ❧ Chapter 2
investigates the relationship between the slope of the implied
volatility (IV) term structure and future option returns. A
strategy that buys straddles with high IV slopes and short sells
straddles with low IV slopes returns seven percent per month, with
an annualized Sharpe ratio just less than two. Surprisingly, we
find no relation between IV slopes and the returns on longer-term
straddles, even though the correlation between the returns on
portfolios of short-term and long-term straddles generally exceeds
0.9. Our evidence suggests that the return predictability we
document is unrelated to systematic risk premia. We believe that
our results point to two possible explanations. One is that
temporary hedging pressure pushes option prices away from efficient
levels. The other is that short-term
options are more likely to be
mispriced by noise traders than long-term
options. ❧ Chapter 3
shows that the positive correlation between stock-level trading
activity and market betas remains strong even using the Dimson
(1979} method to correct for non-synchronous trading. This finding
suggests that controlling for non-synchronous trading alone does
not provide unbiased inferences regarding the effects of events on
market betas. Instead, it is necessary to control for changes in
trading activity explicitly. We show that controlling for trading
activity significantly changes the estimated impact of seasoned
equity offerings and share repurchases on market
betas.
Advisors/Committee Members: Jones, Christopher S. (Committee Chair), Ogneva, Maria (Committee Member), Stathopoulos, Andreas (Committee Member), Solomon, David (Committee Member), Zapatero, Fernando (Committee Member).
Subjects/Keywords: liquidity; options; real options; seasoned equity offerings; term structure; trading
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APA ·
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Manager
APA (6th Edition):
Wang, T. (2013). Three essays in derivatives, trading and liquidity. (Doctoral Dissertation). University of Southern California. Retrieved from http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459
Chicago Manual of Style (16th Edition):
Wang, Tong. “Three essays in derivatives, trading and liquidity.” 2013. Doctoral Dissertation, University of Southern California. Accessed January 27, 2021.
http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459.
MLA Handbook (7th Edition):
Wang, Tong. “Three essays in derivatives, trading and liquidity.” 2013. Web. 27 Jan 2021.
Vancouver:
Wang T. Three essays in derivatives, trading and liquidity. [Internet] [Doctoral dissertation]. University of Southern California; 2013. [cited 2021 Jan 27].
Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459.
Council of Science Editors:
Wang T. Three essays in derivatives, trading and liquidity. [Doctoral Dissertation]. University of Southern California; 2013. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll3/id/320144/rec/7459
NSYSU
29.
Chen, Hsing-Lin.
A Study on High-Tech Innovation by Real Options Approach.
Degree: Master, Business Management, 2014, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040
► High-tech semiconductor industry has several important characteristics: high capital investment, technology intensive, rapid change and high competition, compared with traditional industry. Company cannot follow old…
(more)
▼ High-tech semiconductor industry has several important characteristics: high capital investment, technology intensive, rapid change and high competition, compared with traditional industry. Company cannot follow old rules in such high-risk/high-payoff industry. For sustainable operation, company has to innovate in order to increase its competitive advantage. Innovation is about finding a getter way of doing something, no matter products, processes, services, technologies or any ideas about organization or strategy.
However, we are in a rapid changing and competitive environment and limited resources. It is important to integrate all information and resources in limited time and resources to make right choice and keep the decision flexible in an innovation activities. We need an effective method for innovation management.
In this study, we use the concept of â
Real optionsâ theory to deliver an innovation management method with dynamic which keeps the decision flexible. We use several cases to analyze and illustrate that the method of innovation management can be used on high-risk/high-payoff innovation activities of high-tech semiconductor industry. The results can make companies more advantageous and competitive.
Advisors/Committee Members: Huei-Mei Liang (committee member), Rui-Hsin Kao (chair), Jen-Tsung Huang (chair).
Subjects/Keywords: Innovation management; Semiconductor; High-tech; Real options
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APA ·
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Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Chen, H. (2014). A Study on High-Tech Innovation by Real Options Approach. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Chen, Hsing-Lin. “A Study on High-Tech Innovation by Real Options Approach.” 2014. Thesis, NSYSU. Accessed January 27, 2021.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Chen, Hsing-Lin. “A Study on High-Tech Innovation by Real Options Approach.” 2014. Web. 27 Jan 2021.
Vancouver:
Chen H. A Study on High-Tech Innovation by Real Options Approach. [Internet] [Thesis]. NSYSU; 2014. [cited 2021 Jan 27].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Chen H. A Study on High-Tech Innovation by Real Options Approach. [Thesis]. NSYSU; 2014. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0620114-212040
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Georgia
30.
Womack, Kiplan Shea.
An empirical approach to measuring real options embedded within urban land values.
Degree: 2014, University of Georgia
URL: http://hdl.handle.net/10724/28167
► The central and unifying theme of this dissertation is the value of urban land and its effect on investments in durable capital. More specifically, because…
(more)
▼ The central and unifying theme of this dissertation is the value of urban land and its effect on investments in durable capital. More specifically, because structures are expensive to build, have an extensive construction time, and are long
lasting, investments in durable capital entail a significant degree of uncertainty and irreversibility. Therefore, models which explicitly account for these factors directly in the estimation process may contribute to a refined measurement and better
understanding of urban land values. One such model is the real options framework. Through the application of the principles of financial option pricing, this framework implies that land can be valued as the sum of the value of the land in its current use
plus the value of an option to change the land to its highest and best use. Accordingly, the first chapter in this dissertation examines the estimation of the redevelopment option and explores the spatial relationship between real options and land
values. Attaining the highest and best use of improved urban land often entails redevelopment of the physical capital. When a structure has depreciated to the point that the value of the existing bundle of structure and land, plus demolition costs, is
less than or equal to the price of vacant land, then redevelopment occurs through teardowns (in which the existing property is demolished and a new structure is built in its place). Other times, it might not be economically (or legally) feasible to
remove the structure, so partial redevelopment occurs through renovations (where the existing structure remains but the interior and/or exterior is substantially remodeled). Accordingly, the second chapter in this dissertation studies the determinants of
the mutual exclusive decision to redevelop physical capital either in whole (teardowns) or in part (renovations). Overall, results from this dissertation contribute to a better understanding of urban land values by providing evidence of the true
complexity of the urban spatial structure, providing new evidence that housing purchased for both teardowns and major renovations is valued only for the underlying land, and by capturing the spatial dynamics of real options as capitalized in urban land
values.
Subjects/Keywords: Real options; Land values; Redevelopment; Renovations
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APA ·
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Manager
APA (6th Edition):
Womack, K. S. (2014). An empirical approach to measuring real options embedded within urban land values. (Thesis). University of Georgia. Retrieved from http://hdl.handle.net/10724/28167
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Womack, Kiplan Shea. “An empirical approach to measuring real options embedded within urban land values.” 2014. Thesis, University of Georgia. Accessed January 27, 2021.
http://hdl.handle.net/10724/28167.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Womack, Kiplan Shea. “An empirical approach to measuring real options embedded within urban land values.” 2014. Web. 27 Jan 2021.
Vancouver:
Womack KS. An empirical approach to measuring real options embedded within urban land values. [Internet] [Thesis]. University of Georgia; 2014. [cited 2021 Jan 27].
Available from: http://hdl.handle.net/10724/28167.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Womack KS. An empirical approach to measuring real options embedded within urban land values. [Thesis]. University of Georgia; 2014. Available from: http://hdl.handle.net/10724/28167
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
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Open Access Theses and Dissertations
