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Real options valuation principle in the multi-period base-stock problem
11 references·2 citing·44 second hop
Real options valuation principle in the multi-period base-stock problem (2006)Real options valuation principle in the m…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The Effects of Financial Risks on Inventory Policy (2005)The Effects of Financial Risk…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…The Equity Premium (2002)The Equity PremiumThe single-period (news-vendor) problem: literature review and suggestions for future research (1999)The single-period (news-vendo…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Theoretical versus applied models: The newsboy problem (1991)Theoretical versus applied mo…Optimality Criteria and Risk in Inventory Models: The Case of the Newsboy Problem (1987)Optimality Criteria and Risk …The equity premium: A puzzle (1985)The equity premium: A puzzleTHE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSCost-Volume-Profit Analysis, Uncertainty and Capital Market Equilibrium (1975)Cost-Volume-Profit Analysis, …Coordinating operational policy with financial hedging for risk-averse firms (2015)Coordinating operational poli…Hedging strategic flexibility in the distribution optimization problem (2008)Hedging strategic flexibility…Criteria for Choice Among Risky Ventures (1959)An Intertemporal Capital Asset Pricing Model (1973)The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money (1989)Why do people pay taxes? (1992)Economic foundations of cost-effectiveness analysis (1997)Inequality, Social Insurance, and Redistribution (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)The multi‐product multi‐constraint newsboy problem: Applications, formulation and solution (1995)Optimal Control and Hedging of Operations in the Presence of Financial Markets (2006)Multi-product newsvendor problem with value-at-risk considerations (2008)Analysis of Inventory Systems. (1964)Optimal Lot Sizing, Process Quality Improvement and Setup Cost Reduction (1986)Inventory management and production planning and scheduling (1999)A Newsvendor’s Procurement Problem when Suppliers Are Unreliable (2007)Strategic Customer Behavior, Commitment, and Supply Chain Performance (2008)The newsvendor problem: Review and directions for future research (2010)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Multiechelon Procurement and Distribution Policies for Traded Commodities (2011)OM Forum—Operations and Finance Interactions (2014)Optimal Energy Procurement in Spot and Forward Markets (2014)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting returns with financial ratios (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Dissecting green returns (2022)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Management Accounting — A Survey Paper (1984)Output Decision Under Demand Uncertainty with Stochastic Production Function: A Contingent Claims Approach (1990)Pareto analysis of supply chain contracts under satisficing objectives (2011)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2002The Equity Premium1,331 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 1999The single-period (news-vendor) problem: literature review and suggestions for future research910 cited
  • 1987Optimality Criteria and Risk in Inventory Models: The Case of the Newsboy Problem108 cited
  • 2005The Effects of Financial Risks on Inventory Policy66 cited
  • 1975Cost-Volume-Profit Analysis, Uncertainty and Capital Market Equilibrium44 cited
  • 1991Theoretical versus applied models: The newsboy problem22 cited

Cited by

  • 2015Coordinating operational policy with financial hedging for risk-averse firms17 cited
  • 2008Hedging strategic flexibility in the distribution optimization problem16 cited

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