Selected essays in financial economics / von Sebastian Stöckl
VerfasserStöckl, Sebastian
Betreuer / BetreuerinHanke, Michael ; Walzl, Markus
Umfang89, XIX Bl. : graph. Darst.
HochschulschriftInnsbruck, Univ., Diss., 2015
Datum der AbgabeJanuar 2015
Bibl. ReferenzOeBB
Schlagwörter (DE)Risk Index / Global Portfolio / Private Investor / Mahalanobis Distance / Financial Turbulence / Portfolio Turbulence / Multivariate Distance / Real Options Analysis / Black-Scholes Model / Assumptions / Characteristics of IT Projects / Multidisciplinary Literature Review / Business Value of IT Investment Projects / Simulation Model / IT Investment Project Decisions / Characteristics of IT Investment Projects
Schlagwörter (GND)Finanzwirtschaft / Aufsatzsammlung / Risikokennzahl / Index / Private Investition / Multivariate Analyse / Realoption / Informationstechnik / Simulation
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Zusammenfassung (Deutsch)

This doctoral dissertation consists of four essays in the field of Financial Economics. The first essay is entitled "PRIX - A Risk Index for Global Private Investors". In this essay we develop a risk index (the "PRIX") for global private investors. This is motivated by the fact that such an index, intended to accurately and timely reflect the overall portfolio risk for global private investors, does not yet exist despite the clear benefits it would provide. All available indices either focus on one asset class or cater to the needs of other financial market participants.

The second essay, entitled "Financial Applications of the Mahalanobis Distance", takes a closer look at properties and possible applications of the Mahalanobis distance, the risk measure behind the PRIX. We describe its properties and classify three such applications, giving examples to indicate their usefulness for financial market participants.

In the third essay, "Towards a Well-Founded Valuation of Real Options Embedded in Uncertain IT Projects", we discuss the assumptions underlying standard financial option pricing models such as the Black-Scholes model (BSM) in the context of real options on IT investment projects (ITIPs). Based on a multidisciplinary literature review, we argue for relaxed assumptions that better represent the characteristics of ITIPs. Moreover, we discuss existing real option approaches from the fields of Information Systems (IS), Finance and Economics regarding a more accurate representation of the characteristics of ITIPs.

The fourth and final essay is entitled "Decision Support for Uncertain IT Investment Projects - A Real Option Approach Based on Relaxed Assumptions". After a discussion of the assumptions of the Black-Scholes model (BSM), we derive relaxed assumptions for the context of real options in ITIPs and develop a Real Option Analysis (ROA) approach based on a simulation model that enables a more accurate valuation of real options in ITIPs.