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Methodology for economic analysis of highly uncertain innovative projects of improbability type
Babkin, Aleksandr; Kvasha, Nadezhda; Demidenko, Daniil; … - In: Risks : open access journal 11 (2023) 1, pp. 1-20
ensures that the flexible risk response concept under conditions of improbable uncertainty is taken into account when …
Persistent link: https://www.econbiz.de/10014232403
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Optimal investment under cost uncertainty
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...
Persistent link: https://www.econbiz.de/10011811536
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Imbalance market real options and the valuation of storage in future energy systems
Moriarty, John; Palczewski, Jan - In: Risks : open access journal 7 (2019) 2/39, pp. 1-30
As decarbonisation progresses and conventional thermal generation gradually gives way to other technologies including intermittent renewables, there is an increasing requirement for system balancing from new and also fast-acting sources such as battery storage. In the deregulated context, this...
Persistent link: https://www.econbiz.de/10012019299
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Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation
Hillman, Timothy; Zhang, Nan; Zhuo, Jin - In: Risks : open access journal 6 (2018) 2, pp. 1-20
We extend an existing numerical model (Grasselli (2011)) for valuing a real option to invest in a capital project in an incomplete market with a finite time horizon. In doing so, we include two separate effects: the possibility that the project value is partly describable according to a...
Persistent link: https://www.econbiz.de/10011866522
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A compound up-and-in call like option for wind projects pricing
Bufalo, Michele; Di Bari, Antonio; Villani, Giovanni - In: Risks : open access journal 11 (2023) 5, pp. 1-13
Wind energy projects represent, currently, a valid opportunity to support United Nations Sustainable Development Goal 7. However, these projects can appear financially unattractive considering the unfavorable meteorological conditions, uncertain electricity market price, uncertain market demand,...
Persistent link: https://www.econbiz.de/10014332155
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Optimal consumption and investment with labor income and European/American capital guarantee
Kronborg, Morten Tolver - In: Risks : open access journal 2 (2014) 2, pp. 171-194
We present the optimal consumption and investment strategy for an investor, endowed with labor income, searching to maximize utility from consumption and terminal wealth when facing a binding capital constraint of a European (constraint on terminal wealth) or an American (constraint on the...
Persistent link: https://www.econbiz.de/10010399774
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Intellectual capital and innovation performance : systematic literature review
Ali, Mostafa A.; Hussin, Nazimah; Haddad, Hossam; … - In: Risks : open access journal 9 (2021) 9, pp. 1-19
Over the years, several studies have been conducted to identify the impact of various intellectual capital components on the organizational performances. However, most of these works greatly replicated the applications and uses of different intellectual capital components (human, structural,...
Persistent link: https://www.econbiz.de/10012632029
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The outlines of a possible pension system funded with human capital
Banyár, József - In: Risks : open access journal 9 (2021) 4, pp. 1-32
The broadly used pay-as-you-go (PAYG) pension system is intrinsically wrong. The essence of the problem is that the PAYG system distributes the yield of raising children, i.e., of human capital investment (which is essentially the pension contribution), in such a way that it disregards the...
Persistent link: https://www.econbiz.de/10012508684
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A comparison of competing asset pricing models : empirical evidence from Pakistan
Thalassinos, Eleftherios; Khan, Naveed; Ahmed, Shakeel; … - In: Risks : open access journal 11 (2023) 4, pp. 1-24
investors and academicians seeking to assess these markets in terms of risk inheritance. Therefore, this study aims to explore … considerably higher returns than big portfolios (large-size companies). Ultimately, the risk associated with portfolio returns is … the regression output, the CAPM was found to be valid for explaining the market risk premium above the risk-free rate …
Persistent link: https://www.econbiz.de/10014303660
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Risk information in non-financial disclosure
Fijałkowska, Justyna; Hadro, Dominika - In: Risks : open access journal 10 (2022) 1, pp. 1-18
This paper aims to research the topics related to risk included in non-financial disclosure (NFD) of companies listed … on the Warsaw Stock Exchange (WSE) and explore factors that influence the risk topics ratio in NFD. We applied a content … analysis using topic modeling to discover latent risk topics in NFD. Next, with Ward's clustering, we identified four groups of …
Persistent link: https://www.econbiz.de/10012805397