实物期权决策的风险调整估值
Risk-Adjusted Valuation for Real Option Decisions
摘要：
我们使用不同的投资回报率对投资者异质性进行建模，并评估对投资估值的影响。通过假设在现金流上没有分歧，我们强调了风险偏好以及资本成本如何影响对现在投资或保留未来投资选择权的主观评估。我们提出一个风险调整的估值模型，以方便投资者的主观决策，以响应市场对投资机会的估值。投资者的主观评估源于他们对市场投资的错误估值，因此预测现金流使用代表投资者和市场观点的两种不同比率进行贴现。这使我们的模型从完美或不完美的对冲假设中解放出来，相反，我们能够说明当对风险溢价的看法出现分歧时，对冲对实物期权价值的影响。在危机期间，随着未来现金流的特殊风险增加，推迟投资变得更有价值，但当风险水平异常高时，决策者可能会急于投资。我们的模型验证了经典的实物期权估值模型建立的功能，并提供了许多新的见解，决策者的风险溢价建模分歧的重要性，特别是在危机时期。它也有许多实际的优势，因为它不需要更多的参数输入比基本的贴现现金流方法，如市场资产免责声明方法，但输出更丰富。他们允许成本和收入的不确定性之间的复杂的相互作用，以及一个简单的探索对冲和不可对冲的风险对实物期权价值的影响。此外，我们提供了完全可调的Python代码，其中所有参数值都可以由用户选择。
英文摘要：
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but also the costs of capital, influence a subjective evaluation of the decision to invest now or retain the option to invest in future. We propose a risk-adjusted valuation model to facilitate investors' subjective decision making, in response to the market valuation of an investment opportunity. The investor's subjective assessment arises from their perceived misvaluation of the investment by the market, so projected cash flows are discounted using two different rates representing the investor's and the market's view. This liberates our model from perfect or imperfect hedging assumptions and instead, we are able to illustrate the hedging effect on the real option value when perceptions of risk premia diverge. During crises periods, delaying an investment becomes more valuable as the idiosyncratic risk of future cash flows increases, but the decision-maker may rush to invest too quickly when the risk level is exceptionally high. Our model verifies features established by classical real-option valuation models and provides many new insights about the importance of modelling divergences in decision-makers risk premia, especially during crisis periods. It also has many practical advantages because it requires no more parameter inputs than basic discounted cash flow approaches, such as the marketed asset disclaimer method, but the outputs are much richer. They allow for complex interactions between cost and revenue uncertainties as well as an easy exploration of the effects of hedgeable and un-hedgeable risks on the real option value. Furthermore, we provide fully-adjustable Python code in which all parameter values can be chosen by the user.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
