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Holistic investment assessment: optimization, risk appraisal and decision making

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  • Georgios Tziralis

    (Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece)

  • Konstantinos Kirytopoulos

    (Department of Financial and Management Engineering, University of the Aegean, Fostini, Chios, Greece)

  • Athanasios Rentizelas

    (Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece)

  • Ilias Tatsiopoulos

    (Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece)

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    Abstract

    On deciding for the most appropriate investment when capital restrictions exist, investors define their alternatives and analyze each one of them. Traditionally, the definition, appraisal and analysis stages are treated separately. Herein, an innovative holistic method is proposed for bridging these stages. Within this method, investment attributes definition occurs by genetic algorithm optimization, while the analysis of the investment is realized through simulation. The method also proposes the NPV Expected Shortfall and the NPV Risk Preference Index as investment evaluation criteria. An illustrative case study of two mutually exclusive renewable energy investment scenarios is also used for demonstration purposes. Copyright © 2008 John Wiley & Sons, Ltd.

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    File URL: http://hdl.handle.net/10.1002/mde.1458
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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal Managerial and Decision Economics.

    Volume (Year): 30 (2009)
    Issue (Month): 6 ()
    Pages: 393-403

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    Handle: RePEc:wly:mgtdec:v:30:y:2009:i:6:p:393-403

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    Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/7976

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    1. Savvakis C. Savvides, 2004. "Risk Analysis in Investment Appraisal," Finance 0409020, EconWPA.
    2. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    3. Yamai, Yasuhiro & Yoshiba, Toshinao, 2005. "Value-at-risk versus expected shortfall: A practical perspective," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 997-1015, April.
    4. Viktor K. Diamantas & Konstantinos A. Kirytopoulos & Vrassidas N. Leopoulos, 2007. "Project's duration prediction: traditional tools or simulation?," World Review of Entrepreneurship, Management and Sustainable Development, Inderscience Enterprises Ltd, vol. 3(3/4), pages 317-333.
    5. Jeffrey J. Reuer & Tony W. Tong, 2007. "Corporate investments and growth options," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 28(8), pages 863-877.
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