Yatırım Projelerinin Net Bugünkü Riske Maruz Değer Göstergesi Kullanılarak Karşılaştırılması

Authors : Dilan Karatepe, Fetih Yıldırım

Pages : 0-0

View : 19 | Download : 12

Publication Date : 2010-04-01

Article Type : Research Paper

Abstract :The aim of this study is to compare and choose the most appropriate project among investment projects giving similar results in terms of the evaluation criteria such as investment amount, NPV, IRR insert ignore into journalissuearticles values(Internal Rate of Return);, PI insert ignore into journalissuearticles values(Profitability Index);, Payback Period insert ignore into journalissuearticles values(PP); etc., by using Net Present Value-at-Risk insert ignore into journalissuearticles values(NPV-at-Risk); parameter. For that purpose, in addition to the basic project evaluation criteria, the NPV-at-Risk values are calculated for a number of hypothetical investment projects, for which random numbers for uncertainty factors such as amount of demand and variable costs are generated via Monte Carlo simulation. VaR values received from yearly changes in simulated cash flows are used to calculate NPV-at-Risk for different confidence levels. Finally, bubble diagram is sketched to visualize and compare the projects in terms of their NPV-at-Risk insert ignore into journalissuearticles values(NPV@R);, size of the investments and Expected NPV insert ignore into journalissuearticles values(E[NPV]);. 
Keywords : Value at Risk, Net Present Value at Risk, investment projects, Monte Carlo simulation