Valuation of risky projects and other illiquid investments using portfolio selection models

• Main Authors: GUSTAFSSON, Janne, DE REYCK, Bert, DEGRAEVE, Zeger, SALO, Ahti
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Portfolio selection; investments; portfolio decision analysis; Operations and Supply Chain Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6773; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7768/viewcontent/valuation.pdf
• Institution: Singapore Management University

We develop a portfolio selection framework for the valuation of projects and other illiquid investments for an investor who can invest in a portfolio of private, illiquid investment opportunities as well as in securities in financial markets, but who cannot necessarily replicate project cash flows u...