| تعداد نشریات | 60 |
| تعداد شمارهها | 2,039 |
| تعداد مقالات | 16,469 |
| تعداد مشاهده مقاله | 43,649,422 |
| تعداد دریافت فایل اصل مقاله | 24,820,898 |
Robust net present value with infinite lifetime | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 1، شماره 1، خرداد 2021، صفحه 9-26 اصل مقاله (405.92 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2020.53929.1006 | ||
| نویسندگان | ||
| Payam Hanafizadeh* 1؛ Hadiseh Salmani* 2 | ||
| 1Department of Industrial Management, Faculty of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran | ||
| 2Department of Industrial Engineering, School of Engineering, the University of Science and Culture, Tehran, Iran | ||
| چکیده | ||
| In this study, Robust Net Present Value (RNPV) has been developed for evaluation of projects with infinite life. In this method, the changes of uncertain net incomes in a financial cash flow are postulated in a convex, continuous, and closed region. It has been indicated that RNPV, in the infinite life horizon, is calculable only when the net incomes are uncorrelated. Compared to traditional methods, this study considers the variance matrix of net incomes, takes uncertainty into account during the evaluation of investment projects with infinite life period. One important finding when using this method is that one does not need to calculate the covariance matrix in the evaluation of projects with infinite life. The only requirement is to estimate the value of maximum variance for the given financial cash flow. The proposed method is also easy to both calculate and understand in practice. MATLAB software is used for implementation. Lastly, the features of the developed method have been analyzed using some numerical examples for a project with infinite lifetime. | ||
| کلیدواژهها | ||
| Robust net present value؛ Robust approach؛ Project with infinite life؛ Economic evaluation of investment projects | ||
| مراجع | ||
|
[1] Damodaran A., The dark side of valuation, valuing old tech, new tech, and new economy companies, Prentice-Hall, Upper Saddle River, NJ, 2001. [2] John Anderson and Andy Fennell, Calculate nancial indicators to guide investments, Chemical Engineering Progress, Sept (2013), 34{40. [3] Esra Bas, A robust approach to the decision rules of npv and irr for simple projects, Applied Mathematics and Computation 219 (2013), no. 11, 5901{5908. [4] Tarquin A. Blank L., Engineering economy, sixth edition, McGraw- Hill, NewYork, 2004. [5] Leland Blank and Anthony Tarquin, Basics of engineering economy, sixth edition, McGraw- Hill, New York, 2013. [6] Patricia Chadwell-Hat eld, Bernard Goitein, Philip Horvath, and Allen Webster, Financial criteria, capital budgeting techniques, and risk analysis of manufacturing rms, Journal of Applied Business Research (JABR) 13 (1997), no. 1,95{104. [7] Eyler R Coates and Michael E Kuhl, Using simulation software to solve engineering economy problems, Computers & industrial engineering 45 (2003), no. 2,285{294. [8] Payam Hana zadeh and Vahideh Latif, Robust net present value, Mathematical and Computer Modelling 54 (2011), no. 1-2, 233{242. [9] Jonathan E Ingersoll, Theory of nancial decision making, vol. 3, Rowman & Little eld, 1987. [10] Petar Jovanovic, Application of sensitivity analysis in investment project evaluation under uncertainty and risk, International Journal of project management 17 (1999), no. 4, 217{222. [11] Soulaymane Kachani and Jerome Langella, A robust optimization approach to capital rationing and capital budgeting, The Engineering Economist 50 (2005),no. 3, 195{229. [12] Brendan McSweeney, Net present value: the illusion of certainty, Strategic Change 15 (2006), no. 1, 47{51. [13] Andras Nabradi and Laszlo Sz^oll^osi, Key aspects of investment analysis, APSTRACT: Applied Studies in Agribusiness and Commerce 1 (2007), no. 1033-2016-84010, 53{56. [14] Donald S Remer and Armando P Nieto, A compendium and comparison of 25 project evaluation techniques. part 1: Net present value and rate of return methods, International journal of production economics 42 (1995), no. 1, 79{96. [15] Willem JH Van Groenendaal, Estimating npv variability for deterministic models, European Journal of Operational Research 107 (1998), no. 1, 202{213. [16] Thomas A Weber, On the (non-) equivalence of irr and npv, Journal of Mathematical Economics 52 (2014), 25{39. [17] Chonggang Xu and George Zdzislaw Gertner, Uncertainty and sensitivity analysis for models with correlated parameters, Reliability Engineering & System Safety 93 (2008), no. 10, 1563{1573. | ||
|
آمار تعداد مشاهده مقاله: 686 تعداد دریافت فایل اصل مقاله: 686 |
||