Multivariate Analysis of Real Option Value based on Grey Relational Model

摘要：

Real option value is determined by a variety of uncertain factors. It is very important to assess the intensity and importance of these factors affecting the real option value for investment decision makers. In this paper, the real option value system is viewed as a grey system and grey relational model (GRM) is employed to analyze the factors affecting the real option value. In order to eliminate the systematic uncertainty, an optimization model is constructed to determine the weighs in GRM. Finally, the effectiveness and practicality of the proposed method is illuminated by an actual case study.

关键词： real option value multivariate analysis grey relational model optimization

作者: Zheng-Xin Wang Ling-ling Pei

作者单位: School of Economics and ManagementZhejiang Normal UniversityJinhua, China College of Economics and Management Nanjing University of Aeronautics and Astronautics Nanjing, Chin

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 134-137

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）