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On the assessment of economic risk : Factorial design versus Monte Carlo methods

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  • van Groenendaal, W.J.H.

    (Tilburg University, School of Economics and Management)

  • Kleijnen, J.P.C.

    (Tilburg University, School of Economics and Management)

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  • van Groenendaal, W.J.H. & Kleijnen, J.P.C., 1997. "On the assessment of economic risk : Factorial design versus Monte Carlo methods," Other publications TiSEM fd2a2307-0812-4543-8151-7, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:fd2a2307-0812-4543-8151-77111469269a
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    References listed on IDEAS

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    1. Frederick S. Hillier, 1963. "The Derivation of Probabilistic Information for the Evaluation of Risky Investments," Management Science, INFORMS, vol. 9(3), pages 443-457, April.
    2. Jack P. C. Kleijnen, 1992. "Regression Metamodels for Simulation with Common Random Numbers: Comparison of Validation Tests and Confidence Intervals," Management Science, INFORMS, vol. 38(8), pages 1164-1185, August.
    3. Kleijnen, J.P.C. & Bettonvil, B.W.M. & van Groenendaal, W.J.H., 1996. "Validation of Simulation Models : Regression Analysis Revisited," Other publications TiSEM 4891f156-fe9c-4360-b82d-3, Tilburg University, School of Economics and Management.
    4. Ted G. Eschenbach, 1992. "Spiderplots versus Tornado Diagrams for Sensitivity Analysis," Interfaces, INFORMS, vol. 22(6), pages 40-46, December.
    5. Kenneth J. Arrow & Robert C. Lind, 1974. "Uncertainty and the Evaluation of Public Investment Decisions," Palgrave Macmillan Books, in: Chennat Gopalakrishnan (ed.), Classic Papers in Natural Resource Economics, chapter 3, pages 54-75, Palgrave Macmillan.
    6. Myers, Stewart C & Turnbull, Stuart M, 1977. "Capital Budgeting and the Capital Asset Pricing Model: Good News and Bad News," Journal of Finance, American Finance Association, vol. 32(2), pages 321-333, May.
    7. Bower, Richard S & Lessard, Donald R, 1973. "An Operational Approach to Risk-Screening," Journal of Finance, American Finance Association, vol. 28(2), pages 321-337, May.
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    Cited by:

    1. van Calker, K. J. & Berentsen, P. B. M. & de Boer, I. M. J. & Giesen, G. W. J. & Huirne, R. B. M., 2004. "An LP-model to analyse economic and ecological sustainability on Dutch dairy farms: model presentation and application for experimental farm "de Marke"," Agricultural Systems, Elsevier, vol. 82(2), pages 139-160, November.
    2. Janssen, Hans, 2013. "Monte-Carlo based uncertainty analysis: Sampling efficiency and sampling convergence," Reliability Engineering and System Safety, Elsevier, vol. 109(C), pages 123-132.
    3. Kleijnen, Jack P. C. & Sargent, Robert G., 2000. "A methodology for fitting and validating metamodels in simulation," European Journal of Operational Research, Elsevier, vol. 120(1), pages 14-29, January.
    4. Mike Hewitt & Janosch Ortmann & Walter Rei, 2022. "Decision-based scenario clustering for decision-making under uncertainty," Annals of Operations Research, Springer, vol. 315(2), pages 747-771, August.
    5. W C M van Beers & J P C Kleijnen, 2003. "Kriging for interpolation in random simulation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(3), pages 255-262, March.
    6. Zhang, X.L. & van Groenendaal, W.J.H., 2001. "The Role of Institutional Support in Energy Technology Diffusion in Rural China," Discussion Paper 2001-6, Tilburg University, Center for Economic Research.
    7. Van Groenendaal, Willem J. H. & Kleijnen, Jack P. C., 2002. "Deterministic versus stochastic sensitivity analysis in investment problems: An environmental case study," European Journal of Operational Research, Elsevier, vol. 141(1), pages 8-20, August.
    8. van Groenendaal, W.J.H., 2003. "Group decision support for public policy planning," Other publications TiSEM eecbe70b-1ce7-4885-903f-6, Tilburg University, School of Economics and Management.
    9. Borgonovo, Emanuele & Plischke, Elmar, 2016. "Sensitivity analysis: A review of recent advances," European Journal of Operational Research, Elsevier, vol. 248(3), pages 869-887.
    10. Patrizio, P. & Chinese, D., 2016. "The impact of regional factors and new bio-methane incentive schemes on the structure, profitability and CO2 balance of biogas plants in Italy," Renewable Energy, Elsevier, vol. 99(C), pages 573-583.
    11. Borgonovo, E. & Gatti, S. & Peccati, L., 2010. "What drives value creation in investment projects? An application of sensitivity analysis to project finance transactions," European Journal of Operational Research, Elsevier, vol. 205(1), pages 227-236, August.
    12. Jamal Ouenniche & Aristotelis Boukouras & Mohammad Rajabi, 2016. "An Ordinal Game Theory Approach to the Analysis and Selection of Partners in Public–Private Partnership Projects," Journal of Optimization Theory and Applications, Springer, vol. 169(1), pages 314-343, April.
    13. Vonk Noordegraaf, Antonie & Nielen, Mirjam & Kleijnen, Jack P. C., 2003. "Sensitivity analysis by experimental design and metamodelling: Case study on simulation in national animal disease control," European Journal of Operational Research, Elsevier, vol. 146(3), pages 433-443, May.
    14. Dennehy, C. & Lawlor, P.G. & Gardiner, G.E. & Jiang, Y. & Shalloo, L. & Zhan, X., 2017. "Stochastic modelling of the economic viability of on-farm co-digestion of pig manure and food waste in Ireland," Applied Energy, Elsevier, vol. 205(C), pages 1528-1537.
    15. Clazien J. De Vos & Helmut W. Saatkamp & Mirjam Nielen & Ruud B. M. Huirne, 2006. "Sensitivity Analysis to Evaluate the Impact of Uncertain Factors in a Scenario Tree Model for Classical Swine Fever Introduction," Risk Analysis, John Wiley & Sons, vol. 26(5), pages 1311-1322, October.

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