Incorporating uncertainty in optimal investment decisions

Athanasios Rentizelas, Georgios Tziralis, Konstantinos Kirytopoulos

Research output: Contribution to journalArticle

12 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.
LanguageEnglish
Pages273-283
Number of pages11
JournalWorld Review of Entrepreneurship, Management and Sustainable Development
Volume3
Issue number3/4
DOIs
Publication statusPublished - 2007

Fingerprint

Risk analysis
Genetic algorithms
Uncertainty
Optimal investment
Investment decision
Acoustic waves
Specifications
Investors
Investment appraisal
Genetic algorithm
Monte Carlo simulation

Keywords

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

Cite this

@article{fd5e54ed061f48dbbf570554feb7929c,
title = "Incorporating uncertainty in optimal investment decisions",
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.",
keywords = "investment appraisal, genetic algorithms, Monte Carlo simulation, risk assessment, project management, uncertainty, investment decisions",
author = "Athanasios Rentizelas and Georgios Tziralis and Konstantinos Kirytopoulos",
year = "2007",
doi = "10.1504/WREMSD.2007.014046",
language = "English",
volume = "3",
pages = "273--283",
journal = "World Review of Entrepreneurship, Management and Sustainable Development",
issn = "1746-0573",
number = "3/4",

}

Incorporating uncertainty in optimal investment decisions. / Rentizelas, Athanasios; Tziralis, Georgios; Kirytopoulos, Konstantinos.

In: World Review of Entrepreneurship, Management and Sustainable Development, Vol. 3, No. 3/4, 2007, p. 273-283.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Incorporating uncertainty in optimal investment decisions

AU - Rentizelas, Athanasios

AU - Tziralis, Georgios

AU - Kirytopoulos, Konstantinos

PY - 2007

Y1 - 2007

N2 - 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.

AB - 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.

KW - investment appraisal

KW - genetic algorithms

KW - Monte Carlo simulation

KW - risk assessment

KW - project management

KW - uncertainty

KW - investment decisions

U2 - 10.1504/WREMSD.2007.014046

DO - 10.1504/WREMSD.2007.014046

M3 - Article

VL - 3

SP - 273

EP - 283

JO - World Review of Entrepreneurship, Management and Sustainable Development

T2 - World Review of Entrepreneurship, Management and Sustainable Development

JF - World Review of Entrepreneurship, Management and Sustainable Development

SN - 1746-0573

IS - 3/4

ER -