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A scenario tree approach to multi-period project selection problem using real-option valuation method
16 references·0 citing·38 second hop
A scenario tree approach to multi-period project selection problem using real-option valuation method (2011)A scenario tree approach to multi-period …Stochastic Programming Models (2003)Stochastic Programming ModelsScenario reduction in stochastic programming (2003)Scenario reduction in stochas…Scenario Reduction Algorithms in Stochastic Programming (2003)Scenario Reduction Algorithms…Copeland, Tom/Antikarov, Vladimir, Real Options. A Practitioner’s Guide, Texere LLC, New York 2001, $ 59,95 (2002)Copeland, Tom/Antikarov, Vlad…Real Options: A Practitioner's Guide (2001)Real Options: A Practitioner'…Research and development project selection and resource allocation: a review of quantitative modelling approaches (1999)Research and development proj…An integrated framework for project portfolio selection (1999)An integrated framework for p…Project management: A managerial approach (1996)Project management: A manager…A decision model for interdependent information system project selection (1996)A decision model for interdep…Winning at New Products (1990)Winning at New ProductsProject management — A managerial approach (1989)Project management — A manage…Option pricing: A simplified approach (1979)Option pricing: A simplified …Capital Budgeting of Interrelated Projects: Survey and Synthesis (1966)Capital Budgeting of Interrel…Mathematical Programming and the Analysis of Capital Budgeting Problems. (1965)Mathematical Programming and …Mathematical Programming and the Analysis of Capital Budgeting Problems. (1964)Mathematical Programming and …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Mass Transportation Problems (1998)Scenarios for Multistage Stochastic Programs (2000)Evaluation of scenario-generation methods for stochastic programming (2003)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)Frameworks and Results in Distributionally Robust Optimization (2022)Robust Optimization of Large-Scale Systems (1995)The design of robust value-creating supply chain networks: A critical review (2009)Introduction to Stochastic Programming (2011)Distributionally Robust Convex Optimization (2014)Humanitarian logistics network design under mixed uncertainty (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Creating project plans to focus product development. (1992)Project portfolio selection through decision support (2000)The influence of business strategy on project portfolio management and its success — A conceptual framework (2010)Project portfolio management in practice and in context (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Scenario tree generation for multiperiod financial optimization by optimal discretization (2001)Quantitative Stability in Stochastic Programming: The Method of Probability Metrics (2002)Lectures on Stochastic Programming (2009)A new framework for determining critical success/failure factors in projects (1996)On Uncertainty, Ambiguity, and Complexity in Project Management (2002)No project is an island: linking projects to history and context (2003)What Is Not a Real Option: Considering Boundaries for the Application of Real Options to Business Strategy (2004)Common and fundamental factors in stock returns of Canadian oil and gas companies (2006)Stakeholder influence capacity and the variability of financial returns to corporate social responsibility (2007)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)Twenty years of linear programming based portfolio optimization (2013)Stage-gate systems: A new tool for managing new products (1990)Whence Consumer Loyalty? (1999)Product Development Decisions: A Review of the Literature (2001)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1989Project management — A managerial approach1,551 cited
  • 2003Scenario reduction in stochastic programming1,186 cited
  • 2001Real Options: A Practitioner's Guide1,053 cited
  • 2003Scenario Reduction Algorithms in Stochastic Programming983 cited
  • 1999An integrated framework for project portfolio selection911 cited
  • 1990Winning at New Products746 cited
  • 2003Stochastic Programming Models471 cited
  • 1964Mathematical Programming and the Analysis of Capital Budgeting Problems.407 cited
  • 1965Mathematical Programming and the Analysis of Capital Budgeting Problems.391 cited
  • 2002Copeland, Tom/Antikarov, Vladimir, Real Options. A Practitioner’s Guide, Texere LLC, New York 2001, $ 59,95375 cited
  • 1966Capital Budgeting of Interrelated Projects: Survey and Synthesis296 cited
  • 1999Research and development project selection and resource allocation: a review of quantitative modelling approaches220 cited
  • 1996A decision model for interdependent information system project selection217 cited

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1996
Project management: A managerial approach
215 cited

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