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Multiple Criteria Decision Making in the Valuation of Real Options

100%
Targiel K.
Multiple Criteria Decision Making
|
2013
|
vol. 8
129-142
EN
Traditional project evaluation is based on discounted cash flow method (DCF) with Net Present Value (NPV) as the main measure. This approach sometimes leads to the abandonment of profitable projects, because the DCF method does not take into account the role of managerial flexibility. The Real Options Valuation (ROV) method takes into account future situations in the valuation, assuming that the project is properly managed. The Project Manager shall have the right to take action as appropriate. A widely used method for the valuation of real options is the binomial tree method (CRR), proposed by Cox, Ross and Rubinstein. It takes into account one state variable. In many real problems, however, many factors should be considered. This leads to a multi-criteria decision-making problem. This paper presents an extension of the CRR method for several state variables.
2
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The Use of Multi-State Real Options in Project Evaluation and Project Management

100%
Targiel K.
Studia Ekonomiczne
|
2013
|
vol. 137
183-194
EN
This paper presents the outline of the valuation method of development projects in which there are real option situations. The proposed method takes into account the dependence of the project as a result of two independent random economic factors, which are called state variables. Based on binomial trees, and uses multicriteria dynamic programming. Its use should allow not only to make the right decisions about the project, but also to support decision making during its implementation.
3
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Scheduling Resource Constrained Project Portfolios with the Principles of the Theory of Constraints

100%
Targiel K.
Studia Ekonomiczne
|
2013
|
vol. 137
195-205
EN
The paper presents a heuristic algorithm scheduling support project portfolios. It uses goal programming method, in order to identify critical resources within the meaning of E. Goldratt Theory of Constraints. Operation of heuristics is shown in a simple example. Its practical effectiveness can only be fully assessed until the computer implementation. It is planned in AIMMS environment.
4
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Modelowanie zmian zmiennych stanu w modelu dwumianowym do celów wyceny opcji realnych

100%
Targiel K.
Studia Ekonomiczne
|
2014
|
vol. 178
220-234
EN
The concept of real options mean the actual (real) opportunities arising in business processes. We are not obliged to use them. Noticing these capabilities creates added value of the project. Its use depends on quantitative measurement. It is assumed that this value is dependent on some economic size called state variable. Additional value is derived from the fact, that the state variable moves in a stochastic process, thus being able to achieve a advantageous level. Widely used method for the valuation of real options is binomial tree method (CRR - Cox, Ross and Rubinstein). The idea is to cover the future trajectory of the state variable with lattice. The size of the lattice depends on the nature of the stochastic process, which we can model the state variable changes. The presented work is devoted to determining, on the basis of past changes, the type of stochastic process which is best for modeling the state variable changes, and determine on this basis of the best lattice covering the future trajectory of this variable.
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Estymacja parametrów drzew dwumianowych dla celów wyceny opcji realnych

100%
Targiel K.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2012
|
issue 895
47-58
EN
Real options are a tool used in both strategic and project management, endowing companies and projects new value. Among the many valuation methods, of particular importance is binomial tree method, which assumes that the value of real options depends on what is called the state variable. Additional value stems from the fact that this variable occurs in the stochastic process, and is therefore able to achieve useful values. Binomial tree method consists of covering this process with a graph. The size of the growth and decline remains constant, but the problem is to adjust the values such that the whole tree, as best it can, will cover the future movements of the state variable. The paper presents how to estimate these parameters and assess their impact on the cover the future changes of a state variable with a binomial tree. To this end I introduce a measure of coverage quality.
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