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Modeling uncertainty and risk investment appraisal decisions : a Monte Carlo simulation approach
Journal of Economics and Business - SPOUDAI
View Archive Info| Field | Value | |
| Title |
Modeling uncertainty and risk investment appraisal decisions : a Monte Carlo simulation approach
Modeling uncertainty and risk investment appraisal decisions : a Monte Carlo simulation approach |
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| Creator |
Καλαντζόπουλος, Νικόλαος Α.
Χατζηγεωργίου, Αλέξανδρος Μ. Σπυρίδης, Θεόδωρος Κ. |
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| Subject |
Λήψη αποφάσεων; Επενδύσεις; Διαχείριση κινδύνου
Decision making; Investment analysis; Risk management |
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| Description |
The present paper deals with the implementation of risk analysis in engineering economic problems, using Monte Carlo simulation. The paper consists of two parts. After a short introduction about risk analysis methods used in engineering economic problems, the first part discusses the role of simulation, especially Monte Carlo simulation, in risk analysis and presents an extended review of studies, using either statistical techniques in general, or specifically Monte Carlo simulation in risk analysis. In the second part of the paper, we construct a model of a Monte Carlo simulation for the appraisal of a potential investment with uncertain annual revenues and costs, using Excel Spreadsheets and Visual Basic. The implementation and use of the model is demonstrated with a numerical example. The results obtained show that Monte Carlo simulation can prove a valuable technique in the decision making for the evaluation of a potential investment. |
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| Publisher |
University of Piraeus
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| Date |
2008-07-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://spoudai.unipi.gr/index.php/spoudai/article/view/1312
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| Source |
SPOUDAI - Journal of Economics and Business; Vol 58, No 3-4 (2008); 167-183
2241-424X 1105-8919 |
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| Language |
eng
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| Relation |
http://spoudai.unipi.gr/index.php/spoudai/article/view/1312/1391
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| Rights |
Copyright (c) 2008 SPOUDAI - Journal of Economics and Business
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