Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/76636
Autoren: 
Flåm, Sjur Didrik
Ermoliev, Yuri
Datum: 
2004
Schriftenreihe/Nr.: 
CESifo Working Paper No. 1191
Zusammenfassung: 
This paper explores some cooperative aspects of investments in uncertain, real options. Key production factors are assumed transferable. They may reflect property or user rights. Emission of pollutants and harvest of renewable resources are cases in point. Of particular interest are alternative projects or technologies that provide inferior but anti-correlated returns. Any such project stabilizes the aggregate proceeds. Therefore, given widespread risk exposure and aversion, that project's worth may embody an extra bonus. The setting is formalized as a stochastic production game. Granted no economies of scale such games are quite tractable in analysis, computation, and realization. A core imputation comes in terms of contingent shadow prices that equilibrate competitive, endogenous markets. The said prices emerge as optimal dual solutions to coordinated production programs, featuring pooled resources - and also via adaptive procedures. Extra value - or an insurance premium - adds to any project whose yield is negatively associated with the aggregate.
Schlagwörter: 
investment
risk attitudes
insurance
covariance-pricing
cooperative games
core
stochastic optimization
Dokumentart: 
Working Paper

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