Carol Alexander
University of Sussex, Finance, Faculty Member
- Peking University HSBC School of Business, Oxford Campus, Faculty Memberadd
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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... 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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... "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... 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. ...
Research Interests:
Research Interests: Finance and Mathematics
Research Interests: Information Systems, Marketing, Computer Science, Information Technology, Project Management, and 12 moreOperations Research, Production, Logistics, Management Science, Forecasting, Scheduling, Operational Research, Investment, Mathematical Sciences, Reliability, Location, and Communications Technology
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Page 1. MARKET RISK ANALYSIS [jv] CAROL ALEXANDER VALUE-AT-RISK MODELS
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Standard methods of calculating value at risk for portfolios of cash, futures, or forwards are based on the assumption that AP is conditionally normally distributed with mean p and variance 02. This gives' ... A lOO(1 - a)%... more
Standard methods of calculating value at risk for portfolios of cash, futures, or forwards are based on the assumption that AP is conditionally normally distributed with mean p and variance 02. This gives' ... A lOO(1 - a)% h-period vultre ut risk measure is the nominal amount C such ...
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... with George Brintalos Barclays Capital, London, UK and Leonardo Nogueira ISMA Centre, University of Reading, UK ... Director: Professor Brian Scott-Quinn, ISMA Chair in Investment Banking The ISMA Centre is supported by the... more
... with George Brintalos Barclays Capital, London, UK and Leonardo Nogueira ISMA Centre, University of Reading, UK ... Director: Professor Brian Scott-Quinn, ISMA Chair in Investment Banking The ISMA Centre is supported by the International Securities Market Association ...
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Research Interests: Information Systems, Marketing, Computer Science, Information Technology, Project Management, and 12 moreOperations Research, Production, Logistics, Management Science, Forecasting, Scheduling, Operational Research, Investment, Mathematical Sciences, Reliability, Location, and Communications Technology
Research Interests:
Research Interests:
... Prof. CO Alexander, Februrary 2000 1 A Primer on the Orthogonal GARCH Model ProfessorCarol Alexander ISMA Centre, The Business School for Financial Markets, University of Reading First Version: April 1999 This Version: March 2001 ...
With institutional investors increasingly involved in alternative investments, portfolio optimisation within a large universe of hedge funds has become a key area for research. This paper develops a portfolio construction model that is... more
With institutional investors increasingly involved in alternative investments, portfolio optimisation within a large universe of hedge funds has become a key area for research. This paper develops a portfolio construction model that is specifically designed for funds of hedge funds, incorporating specific controls for operational limitations, data biases and incompleteness. Absolute performance is targeted by selecting funds according to their
Research Interests:
Research Interests:
Research Interests: Finance and Mathematics
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Publikationsansicht. 8801010. Market Models : A Guide to Financial Data Analysis / C. Alexander. (2001). Alexander, Carol. Details der Publikation. Download, http://148.201.96.14/ dc/ver.aspx?ns=000134262. Herausgeber, Chichester,... more
Publikationsansicht. 8801010. Market Models : A Guide to Financial Data Analysis / C. Alexander. (2001). Alexander, Carol. Details der Publikation. Download, http://148.201.96.14/ dc/ver.aspx?ns=000134262. Herausgeber, Chichester, Inglaterra : Wiley. ...