-  תקציר מפירסומי מרכז מחקר orif לשוק ההון  -

 Mean-Risk Efficiency Analysis of Optimal Investment in Operating Leverage under Real Option Framework

Optimal level of investment in fixed assets also determines the optimal Operating Leverage and the operating risk of the firm. NPV optimization with simultaneous adjustments of the discounting rate to risk is complicated, especially under the assumed Real Options framework that generates asymmetry. Eliminating the real risk by well prices financial hedging may not be available for most cases of real risks. This paper solves the problem by a mean-risk efficiency process that maximizes the slope of a line between a risk free asset and a risky alterative that contains optimal proportions of risky financial asset (market portfolio) and real investment in the firm. The paper also demonstrates the impact of the selected risk criterion on the optimal decision. Under the assumed asymmetrical returns (due to real options) the down-side risk measures such as VaR and Semi-variance perform much better than the conventional mean variance rule.
The analyses shed some insight on the potential conflicts between managers and stockholders.