Dynamic Analysis of Management Strategies via Complex Real Options Theory
| Project/Area Number |
20530340
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Business administration
|
|---|
| Research Institution | Kyoto University |
|---|
Principal Investigator |
EGAMI Masahiko Kyoto University, 経済学研究科, 教授 (40467395)
|
|---|
| Project Period (FY) |
2008 – 2010
|
| Project Status |
Completed (Fiscal Year 2010)
|
| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2010: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2009: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2008: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
|
|---|
| Keywords | リアルオプション / ファイナンス工学 / 経営戦略 / ゲームオプション / 転換社債 / 最適スイッチ戦略 / 配当政策 / ジョブサーチ理論 / 再保険問題 / 設備投資問題 |
|---|
| Research Abstract |
In the framework of stochastic optimization problems of one-dimensional diffusion processes, we are able to solve complex real options problems where the firm has multiple options that could enhance its profitability. We characterize the value functions and associated optimal strategies in a rigorous manner so that we can systematically solve problems in a direct way. More specifically, we handled optimal switching problems (such as optimal plant utilization), optimal reinsurance problems and dividend payout problems under fixed cost and delay, optimal invest timing problems with convertible debt financing, and continuous-time job search problems. In each problem, we clarifies economic implications that the solution has and hence we make the solution more valuable when implementing the models in real-life problems. As a consequence, these papers are published in venerable refereed journals.
|
Report
(4 results)
Research Products
(32 results)
