Optimal proportion decision-making for two stages investment

Liu, Yuhong; Jiang, I-Ming

doi:10.1016/j.najef.2018.08.002

Cited by 6 publications

(3 citation statements)

References 21 publications

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“…Applying the real option approach, Dias et al [34] evaluated the investment option value and considered discrete production scale. Considering the uncertainties and optimal timing, Liu and Jiang [35] focused on the investment proportion in two stages and presented a two-stage investment model. However, the total scale was fixed in this theoretical model.…”

Section: Literature Reviewmentioning

confidence: 99%

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Optimal Investment Timing and Scale Choice of Overseas Oil Projects: A Real Option Approach

et al. 2018

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This article presents a real option model for helping investors to determine the optimal investment timing and scale of overseas oil projects. The model is suitable for the highly uncertain environments in which many oil companies operate, where they have to suspend upstream investment, stop new oilfield construction, and wait for proper oil prices in order to avoid losses. Considering the uncertainty of oil prices and exchange rates, the results of analytical solutions presented in this paper show the critical oil price that can be seen as the investment threshold for triggering oilfield development as well as the optimal recoverable factor for every oil price level to indicate the optimal investment scale. Results of the case project show the critical oil price, which is 82.32 US dollar per barrel, and the selection of optimal investment scale. The article also demonstrates the impact of investment scale on investment timing in overseas oil projects. The policy implication from the case project is that investment decisions are finitely impacted by geological conditions. Besides, the existence of tax holiday directly contributes to a lower investment threshold. In addition, reducing unit operation cost can obviously enlarge optimal investment scale and initiate oil projects in a relatively low level of investment threshold.

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Section: Literature Reviewmentioning

confidence: 99%

“…The expressions of oil project value and government tax revenue are presented in the condition of existence of tax holiday. When there is no tax holiday, the oil project value and government tax revenue V HG are shown in Equations (35) and (36), respectively.…”

Section: Theoretical Analysis Of the Impact Of Tax Holiday On Oil Promentioning

confidence: 99%

Optimal Investment Timing and Scale Choice of Overseas Oil Projects: A Real Option Approach

et al. 2018

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“…This is also a natural instrument to assess the investor's risk resistance, or risk tolerance. Thus, the mentioned scheme becomes a key component of the risk management instruments' complex during the extremely risky process -investment decision search (Ortner et al, 2017;Liu & Jiang, 2019).…”

Section: Introductionmentioning

confidence: 99%

Stochastic Informative Expert System for Investment

Rutkauskas

Stasytytė

2020

Journal of Business Economics and Management

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The stochastic nature of investment process implies that it should be treated not unambiguously. Instead of concentrating only on possible return, it is worth analysing three parameters when we discuss the future investment results. These parameters are return possibility, reliability of this possibility, and the riskiness. The stochastic informative expert system for investment allows to analyse the behaviour of financial markets, forecasting the dynamics of stock prices and, along with that, rationally allocating investment resources. The proposed system is based on the adequate portfolio model, previously developed by the authors. Considering the real-time characteristics of financial markets, the system can be useful for individual investors, as well as for institutional investors, such as investment funds. Also, the authors propose the original risk tolerance determination methodology, which divides investors into three categories according their risk tolerance. The system can be applicable not only to capital markets, but also to other business or macroeconomic processes. As an example, a portfolio of the interaction of macroeconomic indicators with USA, UK, and Lithuanian data is developed. Such results could be useful for economists and governments in order to attain the higher value added in a particular country.

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