REAALIOPTIOT OSANA PÄÄOMASIJOITTAJAN PÄÄTÖKSENTEKOPROSESSIA

Tutkielman päätavoitteena oli selvittää kuinka pääomasijoittajat käyttävät tai voivat käyttää reaalioptioajattelua päätöksenteon apuna. Tutkielma jakaantui teoria- ja empiriaosaan. Teoriaosassa käytettiin tutkimusmetodologiana käsiteanalyyttista tutkimusotetta. Empiriaosa tehtiin kvalitatiivisena tutkimuksena, jossa teema-haastatteluna haastateltiin kahdeksaa pääomasijoittajaa. Tutkielman teoriaosassa tutkittiin alan tutkimusten avulla pääomasijoittajan päätöksentekoprosessia sekä niitä kriteereitä, jotka vaikuttavat sijoituspäätökseen. Lisäksi esiteltiin optiohinnoittelumalli, jonka avulla pääomasijoittaja voi laskea kohdeyrityksen tulevaisuuden arvon. Teoriaosassa tutkittiin myös reaalioptiota. Ulkomaisten sekä kotimaisen tutkimusten avulla selvitettiin miten yleisiä perinteiset investointilaskelmat ovat sekä mitä puutteita niissä on verrattuna reaalioptioihin. Haastatteluissa keskityttiin päätöksentekoprosessin kuvaamiseen sekä kriteereihin, joita pääomasijoittajat arvioivat ennen sijoituspäätöksen tekoa. Lisäksi kartoitettiin reaalioptioiden käyttöä. Pääomasijoittajat eivät käytä reaalioptioanalyysiä hyväksi sijoituskohteiden arvon määrittämisessä. Reaalioptioita sisältyy pääomasijoitustoimintaan ja reaalioptioanalyysi sopii pääomasijoitusten arvottamiseen. Sitä tulisikin käyttää muiden menetelmien rinnalla.

Strategisten reaalioptioiden mallintaminen Monte Carlo -simulointimenetelmällä, case Voest Alpine Stahl Ag

Tutkielman päätavoitteena oli selvittää, miten Monte Carlo –simulointi soveltuu strategisten reaalioptioiden arvonmääritykseen. Tutkielman teoriaosuudessa käytiin läpi reaalioptioteoriaa ja Monte Carlo –simulointimenetelmää toiminta-analyyttisella tutkimusotteella. Tuloksena todettiin, että simulointimenetelmää on reaalioptioiden yhteydessä yleensä käytetty, kun muu menetelmä ei ole ollut mahdollinen. Tutkielman pääpaino on tapaustutkimukseen pohjautuvassa empiriaosuudessa, jossa rakennettiin päätöksentekometodologista tutkimusotetta seuraten simulointimalli, jolla tutkittiin Voest Alpine Stahl Ag:n vaihtoehtoisten hinnoittelustrategioiden taloudellista vaikutusta. Mallin rakentaminen perustui yrityksen tilinpäätösaineistoon. Havaittiin, ettei yritys ole valitsemansa strategian vuoksi juurikaan menettänyt tuottoja, mutta toisaalta pelkkä tilinpäätösaineisto ei riitä kovin luotettavaan tarkasteluun. Vuosikertomusten antaman tiedon pohjalta analysoitiin lisäksi yrityksen toiminnassa havaittuja reaalioptioita. Monte Carlo –simulointimenetelmä sopii reaalioptioiden arvonmääritykseen, mutta kriittisiä tekijöitä ovat mallin rakentaminen ja lähtötietojen oikeellisuus. Numeerisen mallin rinnalla on siksi aiheellista suorittaa myös laadullista reaalioptioanalyysia.

Reaalioptioajattelu tutkimus- ja tuotekehityshankkeita arvioitaessa

The exploitation of real option analysis and real options reasoning to the value of research and development programs was studied in the context of two companies listed and operating in Finland. The companies saw real option analysis as a complex tool to be used to value research and development programs. Materials which were analyzed by qualitative methods were collected using inquiries and interviews. Real options reasoning observed to be more feasible to analyze research and development programs lasting for a couple of years than real option analysis. Where an uncertain investment environment prevailed real options reasoning offer a strategic tool to the company and enable uniform evaluation of research and development programs. Real options reasoning offer a possibility to the companies to systematize and rationalize the management and valuation of technology options.

When to Quit Under Uncertainty? A real options approach to smoking cessation

This paper models the decision to quit smoking like an investment decision where the quitter incurs a sunk withdrawal cost today and forgoes their consumer surplus from cigarettes (invests) and hopes to reap an uncertain reward of better health and therefore higher utility in the future (return). We show that a risk-averse mature smoker who expects to benefit from quitting may still rationally choose to delay quitting until they are more confident that quitting is the right decision for them. Such a decision by the smoker is due to the value associated with keeping their option of whether or not to quit open as they learn more about the damage that smoking will have on their future utility. Policies which reduce a smoker’s uncertainty about the damage that smoking with have on their future utility is likely to make them quit earlier.

The Pay-Off Method as a Tool for Evaluating the Risk and Profitability of Public Real Estate Investments

Real option valuation, in particular the fuzzy pay-off method, has proven to be useful in defining risk and visualizing imprecision of investments in various industry applications. This study examines whether the evaluation of risk and profitability for public real estate investments can be improved by using real option methodology. Firstly, the context of real option valuation in the real estate industry is examined. Further, an empirical case study is performed on 30 real estate investments of a Finnish government enterprise in order to determine whether the presently used investment analysis system can be complemented by the pay-off method. Despite challenges in the application of the pay-off method to the case company’s large investment base, real option valuation is found to create additional value and facilitate more robust risk analysis in public real estate applications.

Capturing UK real estate volitility

Volatility, or the variability of the underlying asset, is one of the key fundamental components of property derivative pricing and in the application of real option models in development analysis. There has been relatively little work on volatility in real terms of its application to property derivatives and the real options analysis. Most research on volatility stems from investment performance (Nathakumaran & Newell (1995), Brown & Matysiak 2000, Booth & Matysiak 2001). Historic standard deviation is often used as a proxy for volatility and there has been a reliance on indices, which are subject to valuation smoothing effects. Transaction prices are considered to be more volatile than the traditional standard deviations of appraisal based indices. This could lead, arguably, to inefficiencies and mis-pricing, particularly if it is also accepted that changes evolve randomly over time and where future volatility and not an ex-post measure is the key (Sing 1998). If history does not repeat, or provides an unreliable measure, then estimating model based (implied) volatility is an alternative approach (Patel & Sing 2000). This paper is the first of two that employ alternative approaches to calculating and capturing volatility in UK real estate for the purposes of applying the measure to derivative pricing and real option models. It draws on a uniquely constructed IPD/Gerald Eve transactions database, containing over 21,000 properties over the period 1983-2005. In this first paper the magnitude of historic amplification associated with asset returns by sector and geographic spread is looked at. In the subsequent paper the focus will be upon model based (implied) volatility.

Real options and game theoretical approaches to real estate development projects: multiple equilibria and the implications of different tie-breaking rules

This paper contributes to a fast growing literature which introduces game theory in the analysis of real option investments in a competitive setting. Specifically, in this paper we focus on the issue of multiple equilibria and on the implications that different equilibrium selections may have for the pricing of real options and for subsequent strategic decisions. We present some theoretical results of the necessary conditions to have multiple equilibria and we show under which conditions different tie-breaking rules result in different economic decisions. We then present a numerical exercise using the in formation set obtained on a real estate development in South London. We find that risk aversion reduces option value and this reduction decreases marginally as negative externalities decrease.

Le scelte di investimento delle aziende agricole e la PAC post-2013: valutazione di scenari mediante un modello real options

Negli ultimi decenni la Politica Agricola Comune (PAC) è stata sottoposta a diverse revisioni, più o meno programmate, che ne hanno modificato gli obiettivi operativi e gli strumenti per perseguirli. In letteratura economica agraria sono state eseguite diverse ricerche che affrontano analisi ex-ante sui possibili impatti delle riforme politiche, in particolare al disaccoppiamento, riguardo all’allocazione dei terreni alle diverse colture e all’adozione di tecniche di coltivazione più efficienti. Ma tale argomento, nonostante sia di grande importanza, non è stato finora affrontato come altri temi del mondo agricolo. Le principali lacune si riscontrano infatti nella carenza di analisi ex-ante, di modelli che includano le preferenze e le aspettative degli agricoltori. Questo studio valuta le scelte di investimento in terreno di un’azienda agricola di fronte a possibili scenari PAC post-2013, in condizioni di incertezza circa le specifiche condizioni in cui ciascuno scenario verrebbe a verificarsi. L’obiettivo è di ottenere indicazioni utili in termini di comprensione delle scelte di investimento dell’agricoltore in presenza di incertezza sul futuro. L’elemento maggiormente innovativo della ricerca consiste nell’applicazione di un approccio real options e nell’interazione tra la presenza di diversi scenari sul futuro del settore agricolo post-2013, e la componente di incertezza che incide e gravita su di essi. La metodologia adottata nel seguente lavoro si basa sulla modellizzazione di un’azienda agricola, in cui viene simulato il comportamento dell’azienda agricola in reazione alle riforme della PAC e alla variazione dei prezzi dei prodotti in presenza di incertezza. Mediante un modello di Real Option viene valutata la scelta della tempistica ottimale per investire nell’acquisto di terreno (caratterizzato da incertezza e irreversibilità). Dai risultati emerge come in presenza di incertezza all’agricoltore convenga rimandare la decisione a dopo il 2013 e in base alle maggiori informazioni disponibili eseguire l’investimento solo in presenza di condizioni favorevoli. La variazione dei prezzi dei prodotti influenza le scelte più dell’incertezza dei contributi PAC. Il Real Option sembra interpretare meglio il comportamento dell’agricoltore rispetto all’approccio classico del Net Present Value.

A robustness framework for monitoring real options under uncertainty

This paper presents a problem structuring methodology to assess real option decisions in the face of unpredictability. Based on principles of robustness analysis and scenario planning, we demonstrate how decision-aiding can facilitate participation in projects setting and achieve effective decision making through the use of real options reasoning. We argue that robustness heuristics developed in earlier studies can be practical proxies for real options performance, hence indicators of efficient flexible planning. The developed framework also highlights how to integrate real options solutions in firms’ strategic plans and operating actions. The use of the methodology in a location decision application is provided for illustration.

Cross-sensors analysis of multispectral Earth observation data for environmental monitoring

Time Series Analysis of multispectral satellite data offers an innovative way to extract valuable information of our changing planet. This is now a real option for scientists thanks to data availability as well as innovative cloud-computing platforms, such as Google Earth Engine. The integration of different missions would mitigate known issues in multispectral time series construction, such as gaps due to clouds or other atmospheric effects. With this purpose, harmonization among Landsat-like missions is possible through statistical analysis. This research offers an overview of the different instruments from Landsat and Sentinel missions (TM, ETM, OLI, OLI-2 and MSI sensors) and products levels (Collection-2 Level-1 and Surface Reflectance for Landsat and Level-1C and Level-2A for Sentinel-2). Moreover, a cross-sensors comparison was performed to assess the interoperability of the sensors on-board Landsat and Sentinel-2 constellations, having in mind a possible combined use for time series analysis. Firstly, more than 20,000 pairs of images almost simultaneously acquired all over Europe were selected over a period of several years. The study performed a cross-comparison analysis on these data, and provided an assessment of the calibration coefficients that can be used to minimize differences in the combined use. Four of the most popular vegetation indexes were selected for the study: NDVI, EVI, SAVI and NDMI. As a result, it is possible to reconstruct a longer and denser harmonized time series since 1984, useful for vegetation monitoring purposes. Secondly, the spectral characteristics of the recent Landsat-9 mission were assessed for a combined use with Landsat-8 and Sentinel-2. A cross-sensor analysis of common bands of more than 3,000 almost simultaneous acquisitions verified a high consistency between datasets. The most relevant discrepancy has been observed in the blue and SWIRS bands, often used in vegetation and water related studies. This analysis was supported with spectroradiometer ground measurements.

Real-time fieldbus communications using Profibus networks

This paper provides a comprehensive study on how to use Profibus fieldbus networks to support real-time industrial communications, that is, on how to ensure the transmission of real-time messages within a maximum bound time. Profibus is base on a simplified timed token (TT) protocol, which is a well-proved solution for real-time communication systems. However, Profibus differs with respect to the TT protocol, thus preventing the application of the usual TT protocol real-time analysis. In fact, real-time solutions for networks based on the TT protocol rely on the possibility of allocating specific bandwidth for the real-time traffic. This means that a minimum amount of time is always available, at each token visit, to transmit real-time messages, transversely, with the Profibus protocol, in the worst case, only one real-time message is processed per token visit. The authors propose two approaches to guarantee the real-time behavior of the Profibus protocol: (1) an unconstrained low-priority traffic profile; and (2) a constrained low-priority traffic profile. The proposed analysis shows that the first profile is a suitable approach for more responsive systems (tighter deadlines), while the second allows for increased nonreal-time traffic throughput

Real-Time Support in the Proposal for Fine-Grained Parallelism in Ada

Presented at Work in Progress Session, IEEE Real-Time Systems Symposium (RTSS 2015). 1 to 3, Dec, 2015. San Antonio, U.S.A..

Real-time Parallel Applications on Many-core Architectures

Presented at INForum - Simpósio de Informática (INFORUM 2015). 7 to 8, Sep, 2015. Portugal.

Urban containment: An effective tool for environmental protection?

This paper examines the effectiveness of urban containment policies to protect forestland from residential conversion and to increase the provision of forest public goods in the presence of irreversible investments and policy uncertainty. We develop a model of a single landowner that allows for switching between competing land uses (forestry and residential use) at some point in the future. Our results show that urban containment policies can protect (even if temporarily) forestland from being developed but must be supplemented with policies that influence the length and number of harvesting cycles if the goal is to increase nontimber benefits. The threat of a development prohibition creates incentives for preemptive timber harvesting and land conversion. In particular, threatened regulation creates an incentive to shorten rotation cycles to avoid costly land-use restrictions. However, it has an ambiguous effect on forestland conversion as the number of rotation cycles can also be adjusted to maximize the expected returns to land. Finally, in the presence of irreversibility, forestland conversion decisions should be done using real option theory rather than net present value analysis

Assessing Strategic IT Investments of Forest Industry by Means of the Real Options Approach, Case: Stora Enso

Tutkimuksen päämääränä oli tutkia miten reaalioptiomenetelmä soveltuu metsäteollisuuden strategisten informaatioteknologiainvestointien arvioimiseen. Tässä tutkimuksessa muodostettiin mukautettu reaalioptiosovelluskehys, esiteltyjen reaalioptiosovelluskehyksien perusteella. Valitut investointiehdotukset arvioitiin muodostetun sovelluskehyksen avulla. Tutkimus oli luonteeltaan kvalitatiivinen. Pääasiallisia tiedonlähteitä olivat lehtiartikkelit, GDSS -istunnot ja haastattelut. Tutkimuksen tuloksena selvisi, että reaalioptiomenetelmä sopii metsäteollisuudenstrategisten informaatioteknologiainvestointien arvioimiseen. On kuitenkin huomioitava, että investoinnin suunnitteluprosessin kypsyysaste vaikuttaa reaalioptiomenetelmän soveltamiseen. Tutkimuksessa arvioidut investoinnit ovat investoinnin suunnitteluvaiheen varhaisessa vaiheessa.