A fuzzy sequential exchange option model to IT investment valuation and portfolio management

摘要：

Investment in the information technology project often has the characteristic of sequential exchange (compound) option in the firm. With its high uncertainty,it is very difficult to estimate the IT projects future value and investment costs in accurate figures. The fuzzy numbers can be used to describe the uncertainty. Based on the Carr sequential exchange option formula,this paper uses the trapezoidal fuzzy numbers to represent projects value and investment costs,and uses the fuzzy sequential exchange option model to valuate the information technology project. At last we use the fuzzy exchange option approach for IT projects portfolio selection.

关键词： IT project investment fuzzy sequential exchange option model trapezoidal fuzzy numbers portfolio management

作者: Guo Jian Wei Fa-Jie

作者单位: School of Economics and Management,Beihang University,Beijing 100083,China

会议类型: 国际会议

会议名称: The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)

会议地点: 上海

会议语种:英文

页码: 397-402

在线出版日期: 2007-06-04（万方平台首次上网日期，不代表论文的发表时间）