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|Title:||A dynamic programming approach for evaluating a portfolio of R&D projects with a budget|
Paixão, J. P.
|Keywords:||Stochastic dynamic programming|
|Publisher:||Scientific Online Publishing|
|Abstract:||The Real Options approach has proved to be a suitable methodology for capturing the flexibility in the investment decision process. This is very useful for the financial evaluation of R&D projects where there are several possible decisions concerning to the investment – delaying, improving or abandoning. Since the risk of an R&D project is usually due to singular characteristics of the project and is uncorrelated with the financial markets, the contingent claims analysis may be not adequate to value R&D projects. Based on a dynamic programming evaluation model, presented in Huchzermeier and Loch , we propose an approach to valuing a portfolio of R&D projects with a budget. Specifically, considering a budget constraint, we make an extension of the model mentioned above for assessing the projects in the portfolio simultaneously. To test the proposed evaluation procedure, we generated several R&D portfolios with different dimensions and characteristics. According to our computational experience, the main conclusions are presented.|
|Publisher version:||The definitive version is available online at: http://dx.doi.org/10.15764/am.2014.02012|
|Appears in Collections:||DMQGE-RI - Artigos em revistas internacionais com arbitragem científica|
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