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Optimization of early stage investment process
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This work has been carried out to optimize the operations of a venture capital investor. The main parts evaluated include screening of the deal flow, valuation of the projects and selection of the portfolio to maximize the expected return. Real option valuation approach has been used to value the full potential of every project and provide a decision support system for investors. Modeling of options with implied probability binomial lattice had significant improvement on the projections. Portfo-­‐‑ lio rebalancing has been solved through dynamical programming, to pick the combination that provides highest potential at every time period. The process has shown on improved time efficiency at the sponsor organization, compared to the previous situation. The process makes it possible to use real option approach in the decision-­‐‑making, defining all the required steps to be carried out and automating the process flow. Assessment of the real data is needed to study portfolio risk levels and to optimize the length of the time period for the infor-­‐‑ mation update and rebalancing of the portfolio

Place, publisher, year, edition, pages
Trita-MAT. OS, ISSN 1401-2294 ; S194
National Category
URN: urn:nbn:se:kth:diva-103728OAI: diva2:561542
Educational program
Master of Science - Mathematics
Physics, Chemistry, Mathematics
Available from: 2012-10-19 Created: 2012-10-19 Last updated: 2012-10-19Bibliographically approved

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