A SIMULATION BASED APPROACH FOR AN INVESTMENT PROJECT EVALUATION UNDER UNCERTAIN AND RISKY ENVIRONMENTS

Year 2010, Volume: 11 Issue: 1, 1 - 16, 24.09.2010

Özgür Armaneri Özgür Yalçınkaya

Abstract

Under high uncertainty and risky environments, the future estimations related to project proposals
cannot be certain and really materialized values. It is inevitable that there exists a deviation or gap between
forecasted values and actual values. Thus, project risk level of the proposal should be analyzed
in the assessment phase. Simulation based project evaluation approaches enables to make more reliable
investment decision since they permits including future uncertainty and risk in analyze process. In
addition, many times, project proposals are evaluated with more than one conflicted criteria. The aim
of this paper is to present a new approach that accounts for multiple objectives for evaluating risky
investment projects and determining projects risk level. With the proposed simulation based optimization
approach, necessity values for project parameters are determined to reach the expected profitability
of the investment with the minimum initial investment cost. Also, there is an illustrative example
given in this study as an application of the proposed approach.

Keywords

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BELİRSİZ VE RİSKLİ ORTAMLARDA YATIRIM PROJELERİNİN DEĞERLENDİRİLMESİNE YÖNELİK BENZETİM TABANLI BİR YAKLAŞIM

Abstract

Belirsizlik ve riskin yüksek olduğu ortamlarda, proje önerilerine ilişkin gelecek ile ilgili yapılacak tahminler kesin ve fiilen gerçekleşen değerler olamaz. Gerçekleşeceği tahmin edilen değerler ile fiilen gerçekleşen değerler arasında az ya da çok sapmalar olması kaçınılmazdır. Bundan dolayı, yatırım projeleri değerlendirilirken, proje önerisine ait risk düzeyinin de mutlaka analiz edilmesi gerekir. Benzetimi temel alan proje değerlendirme yaklaşımları, geleceğin belirsizliğini ve riskini analiz sürecine dahil etmeye izin verdiklerinden daha güvenilir yatırım kararlarının alınmasına olanak sağlar. Bununla birlikte, proje önerileri çoğu zaman birbiriyle çelişen birden fazla kriter göz önüne alınarak değerlendirilir. Bu çalışmanın amacı, riskli yatırım projelerinin değerlendirilmesine ve özellikle proje risk düzeyinin belirlenmesine yönelik birden çok proje amacını dikkate alan yeni bir yaklaşım önermektir. Önerilen bu benzetim tabanlı eniyileme yaklaşımıyla, karar vericinin yatırımdan beklediği hedef karlılık değerine en düşük ilk yatırım maliyeti ile ulaşabilmesi için proje parametre değerlerinin ne olması gerektiği belirlenecektir. Çalışmada ayrıca önerilen yaklaşımın nasıl uygulanacağı konusunda bir örnek yer almaktadır.

Keywords

Risk altında karar verme, Yatırım projelerinin değerlendirilmesi, Benzetim, Yanıt yüzeyi yöntemi, İstek fonksiyonları

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