+7(495) 989 9610
ИД «Финансы и кредит»







Реферирование и индексирование

Referativny Zhurnal VINITI RAS
Google Scholar

Электронные версии в PDF

East View Information Services
University Library Online

Лицензия Creative Commons
Это произведение доступно по лицензии Creative Commons «Attribution» («Атрибуция») 4.0 Всемирная.

Evaluating a portfolio of projects through the real options analysis

т. 25, вып. 3, сентябрь 2020

PDF  PDF-версия статьи

Получена: 19.03.2020

Получена в доработанном виде: 03.04.2020

Одобрена: 23.04.2020

Доступна онлайн: 29.09.2020

Рубрика: Инновации и инвестиции

Коды JEL: G19

Страницы: 246–260


Lanchakov A.B. Moscow Institute of Physics and Technology (State University) (MIPT), Dolgoprudny, Moscow Oblast, Russian Federation 

SPIN-код: отсутствует

Filin S.A. Plekhanov Russian University of Economics (PRUE), Moscow, Russian Federation 

SPIN-код: отсутствует

Yakushev A.Zh. Plekhanov Russian University of Economics (PRUE), Moscow, Russian Federation 

SPIN-код: отсутствует

Subject. The article analyzes the expected effect of a portfolio of projects in the face of risk and uncertainty, when using real options.
Objectives. The purpose is to offer a more objective formula to assess the expected impact of a portfolio of projects for real investment objects under risk and uncertainty, using real options, and provide recommendations for improving the portfolio efficiency.
Methods. The study draws on methods of real options and evaluation of investment projects through the real option value, the cash flow discounting method, synthesis, and mathematical modeling.
Results. We systematized the main types of real options and developed a formula for calculating the expected effect of project portfolio implementation. The said formula shows that considering the additional long-term costs embedded in a portfolio of real options, which are associated with the use of these real options, and, therefore, reducing the overall risk of projects and the entire portfolio, permit to improve the objectivity of such calculations.
Conclusions. When analyzing real options that have real assets as underlying instruments, it is often impossible to apply the computational formulae for financial options, as they differ significantly. The systematization of the main types of real options helps expand the range of application of management solutions. The offered formula enables to improve the efficiency of project insurance under risk and uncertainty and to use additional opportunities for effective development of the company.

Ключевые слова: investment portfolio, innovative project, real options method, expected effect

Список литературы:

  1. Baranov A.O., Muzyko E.I. [The concept of real options as an innovative method of assessing the effectiveness of investment projects in industry]. Vestnik Novosibirskogo gosudarstvennogo universiteta. Ser.: Sotsial'no-ekonomicheskie nauki = Vestnik NSU. Ser.: Social and Economic Sciences, 2015, vol. 15, no. 1, pp. 32–51. URL: Link (In Russ.)
  2. Vitvitskii M.V. [Application of real options in the process of investment project evaluation]. Upravlencheskii uchet i finansy, 2015, no. 1, pp. 70–79. (In Russ.)
  3. Malyuga K.A. [Specific features of using the real options method in investment projects]. Nauchnoe obozrenie = Science Review, 2015, no. 2, pp. 229–235. (In Russ.)
  4. Sedash T. [The real options method to evaluate investment projects in the field of energy conservation]. Finansovaya zhizn' = Financial Life, 2014, no. 3, pp. 62–65. (In Russ.)
  5. Fedorova E.A. [Evaluation of investment projects in electrical power engineering using real options]. Ekonomicheskii analiz: teoriya i praktika = Economic Analysis: Theory and Practice, 2015, no. 14, pp. 2–10. URL: Link (In Russ.)
  6. Tsarenko V.A. [Use real options as a tool to the effectiveness evaluation of investment projects in the conditions of uncertainty and management flexibility]. T-Comm: Telekommunikatsii i transport = T-Comm, 2014, vol. 8, no. 7, pp. 87–91. URL: Link (In Russ.)
  7. Menassa C., Peña Mora F., Pearson N. Study of Real Options with Exogenous Competitive Entry to Analyze Dispute Resolution Ladder Investments in Architecture, Engineering and Construction Projects. Journal of Construction Engineering and Management, 2010, vol. 136, iss. 3, pp. 377–390. URL: LinkCO.1943-7862.0000132
  8. Kokin A.S., Oskolkov I.M. [Theory of real options as acceptance paradigm investment decisions]. Audit i finansovyi analiz = Audit and Financial Analysis, 2015, no. 4, pp. 237–240. (In Russ.)
  9. Krychowski C., Quélin B. Real Options and Strategic Investment Decisions: Can They Be of Use to Scholars? Academy of Management Perspectives, 2010, vol. 24, iss. 2, pp. 65–78. URL: Link
  10. Ying Fan, Lei Zhu. A Real Options Based Model and Its Application to China's Overseas Oil Investment Decisions. Energy Economics, 2010, vol. 32, iss. 3, pp. 627–637. URL: Link
  11. Agafonov A.A. [Usage of real options in the implementation of hedging project financing risks]. Nauchnoe obozrenie = Science Review, 2015, no. 11, pp. 269–276. (In Russ.)
  12. Filin S.A. Strakhovanie i khedzhirovanie riskov investitsionnoi deyatel'nosti [Insurance against risks and risk hedging in investment activities]. Moscow, Ankil Publ., 2009, 407 p.
  13. Yakushev A.Zh. [Analysis of effectiveness and economic security of the project of construction water channel Caspian – Black/Azov Sea]. Natsional'nye interesy: prioritety i bezopasnost' = National Interests: Priorities and Security, 2012, no. 43, pp. 14–20. URL: Link (In Russ.)
  14. Schilling M.A. Strategic Management of Technological Innovation. NY, Mcgraw-Hill Education, 2012, 336 p.
  15. Kuznetsov D.V. [Real options in the formation of effective system of lease financing]. Den'gi i kredit = Russian Journal of Money and Finance, 2014, no. 2, pp. 54–58. (In Russ.)
  16. Filin S.A. Upravlenie investitsiyami v innovatsionnoi sfere ekonomiki v usloviyakh riska i neopredelennosti: monografiya [Management of investments in the innovative sphere of economy in conditions of risk and uncertainty: a monograph]. Moscow, INITs Rospatenta Publ., 2014, 474 p.
  17. Kaneva M.A. [Forecasting the scope of exotic options on the basis of the economic knowledge categories using the option methodology]. Vestnik Novosibirskogo gosudarstvennogo universiteta. Ser.: Sotsial'no-ekonomicheskie nauki = Vestnik NSU. Ser.: Social and Economic Sciences, 2008, vol. 8, no. 4, pp. 145–151. URL: Link (In Russ.)
  18. Bukhvalov A.V. [Real options in management: Introduction to the problem]. Rossiiskii zhurnal menedzhmenta = Russian Management Journal, 2004, no. 2, pp. 3–32. URL: Link (In Russ.)

Посмотреть другие статьи номера »


ISSN 2311-9438 (Online)
ISSN 2073-8005 (Print)

Свежий номер журнала

т. 26, вып. 3, сентябрь 2021

Другие номера журнала