實質選擇權與策略投資

Real Options and Strategic Investment

學期

109-1

學分

3 學分

當期課號

5555

永久課號

IOF5063

開課單位

資訊管理與財務金融系財務金融碩博士班

授課教師

黃星華

校區

光復

類別

選修

上課時間表

節	週四
8 16:30–17:20	實質選擇權與策略投資 M101 3 節連堂
9 17:30–18:20
A 18:30–19:20

* 根據陽明交大上課時間表所列

概述

1. This is the class about the valuation of an investment project or a company. 2. The course first reviews the traditional discounted-cash-flow (DCF) or net-present-value (NPV) methods. 3. This class then introduces some real-options concepts to value an investment project or a company. This new approach is called an expanded NPV method. 4. Finally, some basic game-theory concepts will be further employed into the expanded NPV method to consider the strategic action by competitors. 5. By introducing lots of numerical examples, practical cases and applications, this course will train students and provide them the ability to value an investment project or a company by themselves.

先修科目

1. Elementary Investment (undergraduate level) 2. Elementary Statistics (undergraduate level) 3. Elementary Futures and Options (undergraduate level)

教學方式

Please note that this course will be lectured in Chinese. References and Resources: 1. Valuation: Measuring and Managing the Value of Companies, McKinsey & Company, Marc Goedhart, Tim Koller and David Wessels, Wiley, 4th edition, 2005. 2. Real Options: A Practitioner's Guide, Tom Copeland and Vladimir Antikarov, W. W. Norton & Company, 1st edition, 2001. 3. Strategic Investment: Real Options and Games, Han Smit and Lenos Trigeorgis, Princeton University Press, 2004. 4. Playing at Acquisitions (Behavioral Option Games), Han Smith and Thras Moraitis, Princeton Unniversity Press, 2015. 5. Related newspapers and journal articles.

評分方式

Midterm Project 30% Midterm Exam 30% Final Term Project 40%

週次計畫

週次	主題
第 1 週	Introduction to the course (Lecture 1)  What real options is and why it matters  What game theory is and why it matters  An options game example: Innovation Race
第 2 週	DCF/NPV method (Lecture 1)  Review traditional DCF/NPV method  Case Study 1 (DCF Exercise): Valuing CHT  Case Study 2 (DCF Exercise): Valuing Secure Mail
第 3 週	Corporate real options (1) (Lecture 2)  Introduction of derivatives  Basic nature of options  From financial to real options valuation  There is NO free lunch  Binomial option valuation  Real options example: Valuing Project Sable  Binomial real options example: A license by high-tech firm
第 4 週	Corporate real options (1) (Lecture 2)  Overview of common real options  Valuing an R&D investment decision and mine concession license
第 5 週	Corporate real options (2) (Lecture 3)  Case Study 3 (Binomial Real Options Exercise): Offshore oil concessions in the Netherlands
第 6 週	Midterm Project Presentation (NPV project)
第 7 週	Corporate real options (2) (Lecture 3)  Case Study 4 (DCF + Real Options Exercise): Aqua Bounty
第 8 週	Corporate real options (2) (Lecture 3)  Case Study 5 (Real options application): A real option in a jet engine maintenance contract
第 9 週	Corporate real options (2) (Lecture 3)  Case Study 6 (Real options application): A practical method for valuing real options: The Boeing approach
第 10 週	Games and strategic decisions (Lecture 4)  The rules of the game  E-commerce auctions and the winner’s curse  Mixed strategies: game theory and sports
第 11 週	Games and strategic decisions (Lecture 4)  Types of basic games  Two-Stage Games: Strategic Value of Early Commitment
第 12 週	Midterm Exam (Lecture 2 and 4)
第 13 週	Simple strategic investment games (Lecture 5)  One-stage strategic investment: Licensing problem of high-tech firms (Digital vs. Sony)  Two-stage strategic investment: proprietary R&D case (Hewlett-Packard vs. Microsoft)
第 14 週	Simple strategic investment games (Lecture 5)  Two-stage investments with endogenous competition (IBM vs. Toshiba, GE vs. Toyota)  Cooperation in the first stage: joint R&D ventures (Philips and Sony vs. Toshiba and Matsushita)
第 15 週	Final project presentation (Real option project)
第 16 週	Real options game applications (Lecture 6)  Options and Games analysis at Merck & Co.  Competition between AMD and Intel  Strategic games in consumer electronics (Sony, JVC and Philips)
第 17 週	Real options game applications (Lecture 7)  Acquisition strategies as option games
第 18 週	Portfolio Planning of Growth Opportunities (Lecture 8) (optional)  Boston consulting group (BCG) matrix  Real-options growth (ROG) matrix

教科書

No Textbook. Lecture will be uploaded on New E3 system.

Office Hours

地點: TBA
時間: TBA
聯絡方式: hhhuang@nctu.edu.tw