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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

https://doi.org/10.24891/df.25.3.246

Lanchakov A.B. Moscow Institute of Physics and Technology (State University) (MIPT), Dolgoprudny, Moscow Oblast, Russian Federation 
ab5657171@yandex.ru

https://orcid.org/0000-0001-8563-7817
SPIN-код: отсутствует

Filin S.A. Plekhanov Russian University of Economics (PRUE), Moscow, Russian Federation 
Filin.SA@rea.ru

https://orcid.org/0000-0002-6054-6510
SPIN-код: отсутствует

Yakushev A.Zh. Plekhanov Russian University of Economics (PRUE), Moscow, Russian Federation 
Yakushev.AZH@rea.ru

https://orcid.org/0000-0003-0371-0289
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

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

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