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- Title
Valuación con opciones reales, transformación de Edgeworth y funciones isoelásticas de utilidad.
- Authors
Milanesi, Gastón S.
- Abstract
The new economics firms like start up, thecnological basis firms, R&D intangible, investments in innovatives strategies, among others, they caracterized by its dinamics and flexibility. For its valuation must be employ real options models. The model's main weakness reside in the complete markets assumptions, a difficult requierement to archive in emerging markets. For that is develop a model that combines the Edgeworth transformation and the isoelastic utility funtion (CRRA), incorporating the agent's degree risk aversion. Is use the cases analisys over a biofarmaceutical project with secuencial options, applying a sensibility analysis over the risk aversion coefficients and the option value. Is concludes about the advantajes of the model, particullary modeling the probabilty of extreme events beyond higher stochastic moments and risk attitudes.
- Subjects
RISK aversion; RISK assessment; EMERGING markets; INVESTMENT policy; UTILITY functions
- Publication
ODEON - Observatorio de Economía y Operaciones Numéricas, 2019, Issue 16, p123
- ISSN
1794-1113
- Publication type
Article
- DOI
10.18601/17941113.n16.06