Friday, January 6, 2012

Some questions about investment policies

Cláudia Nunes
(IST, Mathematics Department and CEMAT)

Abstract: In this talk we present some problems concerning optimal investment policies, that we propose to analyse using a real options approach.We start by a brief look on real options models, questions and tools and then we illustrate this technique with three examples. In the first situation we suggest a model to determine the optimal investment policy for a company that has an established product in the market and wants to launch a distinct, more appealing and innovative product. In the second situation we derive the optimal investment policy of investment in the TGV project. Finally, the third situation contributes to the literature of technology adoption. In most of models it is assumed that after the arrival of a new technology the probability of the next arrival is constant. We extend this approach by assuming that after the last technology jump the probability of a new arrival can change. These topics that we present in this talk are result of a joint work with members of the team of Research Project SANAF, students from the MMA (master degree in mathematics, from IST), Verena Hagspiel (from Tilburg University and from IST), Peter Kort (Tilburg University) and Kuno Huisman (Tilburg University).

Friday, January 6, 2012
Time: 11h00
Room: Sala Delta, Edificio Quelhas, ISEG