Construction d'un portefeuille sous-jacent virtuel

Sophie Pardo (), Robert Kast and André Lapied ()

Revue économique, 2004, vol. 55, issue 3, 407-418

Abstract: Real option theory, used for valuing investments or solve optimal time schedule problems, is based on the existence of a relevant underlying security. However, in most applied works, there is no obvious asset connected with the risk to value. One of the main difficulty, in applying real option theory to public investments, is to determine a relevant underlying asset. In this paper, we propose a method for constructing a virtual underlying security as a portfolio of marketed assets, optimizing the functional correlation coefficient. We propose two examples using real data concerning copper industry. Classification JEL : C13, C14, D81, G12, G13.

JEL-codes: C13 C14 D81 G12 G13 (search for similar items in EconPapers)
Date: 2004
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