Although dynamic strategies can substantially improve project value, they are rarely used by industry. There are two reasons for this: the complexity of the algorithms used to make optimal equential decisions under uncertainty, and difficulties in visualising the optimal strategies. Decision-makers in industry need a way to graphically display the results obtained to facilitate understanding and present results to others. An intuitive display of the boundaries between regions of different optimal decisions (switching boundaries) would greatly assist industry with optimal sequential decision-making under uncertainty.
Conventional asset allocation strategies commonly used in the asset management industry are normally categorised as: 1). defensive, 2). conservative, 3) balanced, 4) growth, and 5) high growth. These passive portfolio strategies are formulated to cater to the varying degrees of risk preferences of investors. Such passive strategies can bear significant downside risk when the market […]
Mission To develop optimal decision strategies under uncertainty, to deliver application modules in the financial markets, and energy, mining, agriculture sectors. The Risk-Lab real-option valuation platform is used to deliver unique and insightful outcomes for major investment decisions when longer-term uncertainties dominate, e.g. the infrastructure sector. Risk-Lab enables decision-makers to effectively quantify risk and to […]
CSIRO is developing methodologies and software for determining the switching boundaries to help mineral companies to make optimal sequential decisions under economic and geological uncertainties[1-3]. The methodology is based on novel regression Monte Carlo techniques ; it requires the optimal control solution constructed using large number of Monte Carlo simulations of the main uncertainties (e.g. commodity prices, interest rates, exchange rates, […]