Pricing Related Projects

S. D. Flam () and H. I. Gassmann ()
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S. D. Flam: University of Bergen
H. I. Gassmann: Dalhousie University

A chapter in Coping with Uncertainty, 2006, pp 301-313 from Springer

Abstract: Abstract This paper deals with project evaluation from a portfolio perspective. The chief motivation stems from pricing bundles of related projects, all affected by uncertainty, when markets are imperfect or absent. Novelties come by construing single projects as “players” of a transferableutility, stochastic, cooperative game. Stochastic programming then provides statedependent Lagrange multipliers associated to coupling constraints. Granted concave payoff functions, these multipliers not only emulate market clearing and formation of contingent, Arrow-Debreu prices; they also generate core solutions and project evaluations.

Keywords: Cooperative Game; Shadow Price; Grand Coalition; Spot Market; Shadow Prex (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-540-35262-4_17

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DOI: 10.1007/3-540-35262-7_17

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