Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/16139
Title: A systems approach to R&D investment
Authors: NG CHU NGAH
Keywords: Decision (Tree) Analysis, Organizational Decision Support System, Real Options, Value-at-Risk, Extreme Value Theorem, Generalized Pareto Distribution
Issue Date: 25-May-2007
Source: NG CHU NGAH (2007-05-25). A systems approach to R&D investment. ScholarBank@NUS Repository.
Abstract: R&D projects carry huge risks which make the potential high payoffs illusive. This thesis aims to propose possible improvements to the selection and management process.Our work customizes the general structure of ODSS for R&D projects into three segments: (1) ONline R&D focus selection, (2) OFFline project valuation, and (3) ONline portfolio selection. At the online level, Real Options thinking is incorporated to deal with the option to defer and the trade-off of gaining competitive advantage. Other options can be examined using DA at the offline project valuation stage, but the use of subjective expert opinions remain a concern. Consequently, the common financial risk measure, VaR, and its associated coherent alternative, ETL, are proposed as a more objective aid to decision making. Our results show that the GPD method is preferred over the parametric method for both the upper and lower-bound VaR.
URI: http://scholarbank.nus.edu.sg/handle/10635/16139
Appears in Collections:Master's Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
NgCN.pdf1.83 MBAdobe PDF

OPEN

NoneView/Download

Page view(s)

256
checked on Dec 18, 2017

Download(s)

189
checked on Dec 18, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.