Incorporating uncertainty in optimal investment decisions

Athanasios Rentizelas, Georgios Tziralis, Konstantinos Kirytopoulos

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

Investment decisions are now more crucial than ever. The investors
Investment decisions are now more crucial than ever. The investors are in need of sound arguments, which will be able to shape the investment
specifications and appraise their uncertain nature. This paper proposes an
innovative approach that merges optimisation and risk analysis in one single
method. The two-step investment appraisal approach reaches an optimum
through a Genetic Algorithm optimisation and then assesses the environment’s
risk through a Monte Carlo simulation. The approach, thus, offers the best
investment characteristics, as well as information about its implied risk.
The use of the method is illustrated through an extensive Case Study.
Original languageEnglish
Pages (from-to)273-283
Number of pages11
JournalWorld Review of Entrepreneurship, Management and Sustainable Development
Volume3
Issue number3/4
DOIs
Publication statusPublished - 2007

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Keywords

  • investment appraisal
  • genetic algorithms
  • Monte Carlo simulation
  • risk assessment
  • project management
  • uncertainty
  • investment decisions

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