Por favor, use este identificador para citar o enlazar este ítem: http://repositoriodigital.uns.edu.ar/handle/123456789/4258
Título : Strategic asset valuation: A model Including asymmetry and kurtosis in Its distribution in continuous time
Autor(es) : Milanesi, Gastón S.
Pesce, Gabriela
El Alabi, Emilio
Fecha de publicación : 2015
Editorial : Faculty of Finance, Banking and Accountancy
Referencia bibliográfica : Milanesi, G., Pesce, G., El Alabi, Emilio (2015). Strategic asset valuation: A model Including asymmetry and kurtosis in Its distribution in continuous time. Academic Journal of Economic Studies. vol. 1, no. 1, pp. 91-104. Disponible en: http://repositoriodigital.uns.edu.ar/handle/123456789/4258
Resumen : The valuation of real assets is a complex problem which influences the strategic decision making in companies, such as decisions to differing or selling a project. Uncertainty takes over the manager when defining the attributes of the density function representing values that could assume the asset in the future. In this issue, we include not only its mean and variance, but also stochastic higher moments of this function (asymmetry and kurtosis). This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns in continuous time. This technique permits the expansion’s coefficient to depend also on the higher moments, either the original distribution or the approach one. Therefore, we obtained theoretical solutions to asset valuations that would have been impossible to solve.
URI : http://repositoriodigital.uns.edu.ar/handle/123456789/4258
Aparece en las colecciones: Artículos Científicos

Ficheros en este ítem:
Fichero Descripción Tamaño Formato  
Strategic asset valuation.pdf554,81 kBAdobe PDFVisualizar/Abrir