Papers by Carol Alexander
Econometric Reviews
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Quantitative Finance
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Annals of Operations Research
We introduce a general decision-tree framework to value an option to invest/divest in a project, ... more We introduce a general decision-tree framework to value an option to invest/divest in a project, focusing on the model risk inherent in the assumptions made by standard real option valuation methods. We examine how real option values depend on the dynamics of project value and investment costs, the frequency of exercise opportunities, the size of the project relative to initial wealth, the investor’s risk tolerance (and how it changes with wealth) and several other choices about model structure. For instance, contrary to stylised facts from previous literature, real option values can actually decrease with the volatility of the underlying project value and increase with investment costs. And large projects can be more or less attractive than small projects (ceteris paribus) depending on the risk tolerance of the investor, how this changes with wealth, and the structure of costs to invest in the project.
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Http Dx Doi Org 10 3905 Jpm 2007 674793, May 11, 2009
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Mathematics and Computers in Simulation, Sep 1, 2012
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SSRN Electronic Journal, 2000
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Fabozzi/The Handbook, 2008
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SSRN Electronic Journal, 2000
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... "Risk Management and Analysis Volume 1 Measuring and Modelling Financial Risk Edited... more ... "Risk Management and Analysis Volume 1 Measuring and Modelling Financial Risk Edited byCarol Alexander In the two years since the ... In this volume Carol Alexander has gathered together nine articles concerned with different aspects of risk management and analysis. ...
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Journal of the Operational Research Society, Aug 1, 1992
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Page 1. MARKET RISK ANALYSIS [jv] CAROL ALEXANDER VALUE-AT-RISK MODELS
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Oxford Bull Econ Stat, 2009
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Papers by Carol Alexander