High Speed rail transport valuation and conjuncture shocks

Bibliographic Details
Main Author: Couto, Gualter
Publication Date: 2011
Other Authors: Nunes, Cláudia, Pimentel, Pedro
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.3/4975
Summary: In the present paper we derive the optimal investment policy of investment in the high speed rail (HSR) project, under uncertainty, using the real options analysis (ROA) framework. We assume that the HSR demand, the main source of uncertainty, follows a geometric brownian motion with random jumps, complying with abrupt change of level caused by random events. The occurrence of such events is caused by external shocks. We assess the impact of these shocks in the HSR demand threshold, along with the investment opportunity value, and the option to differ. We consider several distributions for these jumps, and we compare with the base-line case (where exogeneous jumps are not considered).
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spelling High Speed rail transport valuation and conjuncture shocksHigh Speed RateInvestmentReal OptionsUncertainty TimingIn the present paper we derive the optimal investment policy of investment in the high speed rail (HSR) project, under uncertainty, using the real options analysis (ROA) framework. We assume that the HSR demand, the main source of uncertainty, follows a geometric brownian motion with random jumps, complying with abrupt change of level caused by random events. The occurrence of such events is caused by external shocks. We assess the impact of these shocks in the HSR demand threshold, along with the investment opportunity value, and the option to differ. We consider several distributions for these jumps, and we compare with the base-line case (where exogeneous jumps are not considered).Universidade dos AçoresRepositório da Universidade dos AçoresCouto, GualterNunes, CláudiaPimentel, Pedro2019-01-25T10:28:34Z2011-012011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.3/4975enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-07T10:07:19Zoai:repositorio.uac.pt:10400.3/4975Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T00:38:24.024972Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv High Speed rail transport valuation and conjuncture shocks
title High Speed rail transport valuation and conjuncture shocks
spellingShingle High Speed rail transport valuation and conjuncture shocks
Couto, Gualter
High Speed Rate
Investment
Real Options
Uncertainty Timing
title_short High Speed rail transport valuation and conjuncture shocks
title_full High Speed rail transport valuation and conjuncture shocks
title_fullStr High Speed rail transport valuation and conjuncture shocks
title_full_unstemmed High Speed rail transport valuation and conjuncture shocks
title_sort High Speed rail transport valuation and conjuncture shocks
author Couto, Gualter
author_facet Couto, Gualter
Nunes, Cláudia
Pimentel, Pedro
author_role author
author2 Nunes, Cláudia
Pimentel, Pedro
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade dos Açores
dc.contributor.author.fl_str_mv Couto, Gualter
Nunes, Cláudia
Pimentel, Pedro
dc.subject.por.fl_str_mv High Speed Rate
Investment
Real Options
Uncertainty Timing
topic High Speed Rate
Investment
Real Options
Uncertainty Timing
description In the present paper we derive the optimal investment policy of investment in the high speed rail (HSR) project, under uncertainty, using the real options analysis (ROA) framework. We assume that the HSR demand, the main source of uncertainty, follows a geometric brownian motion with random jumps, complying with abrupt change of level caused by random events. The occurrence of such events is caused by external shocks. We assess the impact of these shocks in the HSR demand threshold, along with the investment opportunity value, and the option to differ. We consider several distributions for these jumps, and we compare with the base-line case (where exogeneous jumps are not considered).
publishDate 2011
dc.date.none.fl_str_mv 2011-01
2011-01-01T00:00:00Z
2019-01-25T10:28:34Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.3/4975
url http://hdl.handle.net/10400.3/4975
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade dos Açores
publisher.none.fl_str_mv Universidade dos Açores
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833600629496348672

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