1-2(81) 2014 MANAGEMENT, COMPUTER ENGINEERING AND INFORMATICS
E.V. Danko, N.M. Oskorbin
The Optimization Model for n-Phase Investment Expertise Parameters
This paper presents a mathematical formalization of n- phase investment expertise model and its validation on a numerical example. Investment project implementation processes under uncertainty are investigated. Project profitability is presented by the NPV parameter with arandom value that lies within the range of NPV Є [NPV1;NPV2]. Decision-making process becomes complicated when the segment [NPV1;NPV2] includes the zero value. The NPV1;NPV2 values can be defined more accurately by an investor providing the n-phase expertise research. In this paper, the n-phase expertise is supposed to be performed a priori. The decision-making process in this kind of situation is examined thoroughly for further successful model elaboration. The decision utilities before and after performing the n-phase expertise are evaluated and proved to be necessary for the estimation of the n-phase expertise effect. Functions of expected utility depend on b≥0 — fear of financial losses and γ>0 — regret of profit loss. The proposed model is verified on the numerical example. All computations are performed in the MS Excel spreadsheet application.
DOI 10.14258/izvasu(2014)1.2-13
Key words: mathematical model of an expertise, expertise of investment projects, evaluation of an expertise utility
Full text at PDF, 648Kb. Language: Russian.
|