A Fuzzy Approach to Risk Aversion in Real Option Valuation

摘要：

Real options are the extension and application of ˉnancial options. There are two shortages in classic real option theory. First, real option approach cant formulate the genuine uncertainty in market. Second, the risk aversion level of managers is neglected. Along the line of Carlsson and Full.er3, we adopt fuzzy number to analyze the risk aversion level of managers. We obtain the result that the managers of ˉrms with di.erent risk aversion level will have di.erent real option premium and select di.erent investment strategies.

关键词： Finance investment strategies real option fuzzy number risk aversion level

作者: Jian Ping WAN Xu Chen

作者单位: Department of Mathematics,Huazhong University of Science & Technology

会议类型: 国际会议

会议名称: 工业工程与系统管理2007年国际会议(International Conference on Industrial Engineering and Systems Management)(IESM 2007)

会议地点: 北京

会议语种:英文

在线出版日期: 2007-05-30（万方平台首次上网日期，不代表论文的发表时间）