Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time

Autores
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio
Año de publicación
2015
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
The valuation of real assets is a complex problem which influences the strategic decision making in companies, such as decisions to differing or selling a project. Uncertainty takes over the manager when defining the attributes of the density function representing values that could assume the asset in the future. In this issue, we include not only its mean and variance, but also stochastic higher moments of this function (asymmetry and kurtosis). This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns in continuous time. This technique permits the expansion’s coefficient to depend also on the higher moments, either the original distribution or the approach one. Therefore, we obtained theoretical solutions to asset valuations that would have been impossible to solve.
Fil: Milanesi, Gastón. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina
Fil: Pesce, Gabriela. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina
Fil: El Alabi, Emilio. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina
Materia
ASYMMETRY
KURTOSIS
EDGEWORTH EXPANSION
CONTINUOUS TIME
REAL OPTION
FIRM VALUATION
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/116183
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous timeMilanesi, GastónPesce, GabrielaEl Alabi, EmilioASYMMETRYKURTOSISEDGEWORTH EXPANSIONCONTINUOUS TIMEREAL OPTIONFIRM VALUATIONhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5The valuation of real assets is a complex problem which influences the strategic decision making in companies, such as decisions to differing or selling a project. Uncertainty takes over the manager when defining the attributes of the density function representing values that could assume the asset in the future. In this issue, we include not only its mean and variance, but also stochastic higher moments of this function (asymmetry and kurtosis). This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns in continuous time. This technique permits the expansion’s coefficient to depend also on the higher moments, either the original distribution or the approach one. Therefore, we obtained theoretical solutions to asset valuations that would have been impossible to solve.Fil: Milanesi, Gastón. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; ArgentinaFil: Pesce, Gabriela. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; ArgentinaFil: El Alabi, Emilio. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; ArgentinaDimitrie Cantemir Christian University2015-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/116183Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio; Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time; Dimitrie Cantemir Christian University; Academic Journal of Economic Studies; 1; 1; 3-2015; 91-1042393-49132457-5836CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://ideas.repec.org/a/khe/scajes/v1y2015i1p91-104.htmlinfo:eu-repo/semantics/altIdentifier/url/http://www.ajes.ro/wp-content/uploads/AJES_article_1_7.pdfinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T09:54:32Zoai:ri.conicet.gov.ar:11336/116183instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 09:54:32.52CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time
title Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time
spellingShingle Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time
Milanesi, Gastón
ASYMMETRY
KURTOSIS
EDGEWORTH EXPANSION
CONTINUOUS TIME
REAL OPTION
FIRM VALUATION
title_short Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time
title_full Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time
title_fullStr Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time
title_full_unstemmed Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time
title_sort Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time
dc.creator.none.fl_str_mv Milanesi, Gastón
Pesce, Gabriela
El Alabi, Emilio
author Milanesi, Gastón
author_facet Milanesi, Gastón
Pesce, Gabriela
El Alabi, Emilio
author_role author
author2 Pesce, Gabriela
El Alabi, Emilio
author2_role author
author
dc.subject.none.fl_str_mv ASYMMETRY
KURTOSIS
EDGEWORTH EXPANSION
CONTINUOUS TIME
REAL OPTION
FIRM VALUATION
topic ASYMMETRY
KURTOSIS
EDGEWORTH EXPANSION
CONTINUOUS TIME
REAL OPTION
FIRM VALUATION
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv The valuation of real assets is a complex problem which influences the strategic decision making in companies, such as decisions to differing or selling a project. Uncertainty takes over the manager when defining the attributes of the density function representing values that could assume the asset in the future. In this issue, we include not only its mean and variance, but also stochastic higher moments of this function (asymmetry and kurtosis). This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns in continuous time. This technique permits the expansion’s coefficient to depend also on the higher moments, either the original distribution or the approach one. Therefore, we obtained theoretical solutions to asset valuations that would have been impossible to solve.
Fil: Milanesi, Gastón. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina
Fil: Pesce, Gabriela. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina
Fil: El Alabi, Emilio. Universidad Nacional del Sur. Departamento de Ciencias de la Administración; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina
description The valuation of real assets is a complex problem which influences the strategic decision making in companies, such as decisions to differing or selling a project. Uncertainty takes over the manager when defining the attributes of the density function representing values that could assume the asset in the future. In this issue, we include not only its mean and variance, but also stochastic higher moments of this function (asymmetry and kurtosis). This paper proposes to valuate this type of entrepreneurships using real options theory making adjustments that allow us to abandon the assumption of normal returns in continuous time. This technique permits the expansion’s coefficient to depend also on the higher moments, either the original distribution or the approach one. Therefore, we obtained theoretical solutions to asset valuations that would have been impossible to solve.
publishDate 2015
dc.date.none.fl_str_mv 2015-03
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/116183
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio; Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time; Dimitrie Cantemir Christian University; Academic Journal of Economic Studies; 1; 1; 3-2015; 91-104
2393-4913
2457-5836
CONICET Digital
CONICET
url http://hdl.handle.net/11336/116183
identifier_str_mv Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio; Strategic asset valuation: A model including asymmetry and kurtosis in its distribution in continuous time; Dimitrie Cantemir Christian University; Academic Journal of Economic Studies; 1; 1; 3-2015; 91-104
2393-4913
2457-5836
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://ideas.repec.org/a/khe/scajes/v1y2015i1p91-104.html
info:eu-repo/semantics/altIdentifier/url/http://www.ajes.ro/wp-content/uploads/AJES_article_1_7.pdf
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Dimitrie Cantemir Christian University
publisher.none.fl_str_mv Dimitrie Cantemir Christian University
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.13397

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