Deterministic versus stochastic sensitivity analysis in investment problems: An environmental case study
Sensitivity analysis in investment problems is an important tool to determine which factors can jeopardize the future of the investment.Information on the probability distribution of those factors that affect the investment is mostly lacking.In those situations the analysts have two options: (i) apply a method that does not require knowledge of that distribution, or (ii) make assumptions about the distribution.In both approaches sensitivity analysis should result in practical information about the actual importance of potential factors.For approach (i) we apply statistical design of experiments (DOE) in combination with regression analysis or meta-modeling.For approach (ii) we investigate five types of relationships between the model output and each individual factor; Pearson's p, Spearman's rank correlation, and location, dispersion, and statistical dependence.We introduce two distribution types popular with practitioners: uniform and triangular.In an environmental case study both approaches identify the same factors as important.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- van Groenendaal, Willem J. H., 1998.
"Estimating NPV variability for deterministic models,"
European Journal of Operational Research,
Elsevier, vol. 107(1), pages 202-213, May.
- van Groenendaal, W.J.H., 1998. "Estimating NVP variability for deterministic models," Other publications TiSEM 41e4909c-b876-46a4-8abd-5, Tilburg University, School of Economics and Management.
- Bettonvil, Bert & Kleijnen, Jack P. C., 1997. "Searching for important factors in simulation models with many factors: Sequential bifurcation," European Journal of Operational Research, Elsevier, vol. 96(1), pages 180-194, January.
- van Groenendaal, W.J.H., 1998. "The Economic Appraisal of Natural Gas Projects," Other publications TiSEM a0ff517c-2041-4457-adac-7, Tilburg University, School of Economics and Management.
- Kleijnen, J.P.C. & Bettonvil, B.W.M., 1997. "Searching for important factors in simulation models with many factors : Sequential bifurcation," Other publications TiSEM be826993-22f9-4cb3-89df-3, Tilburg University, School of Economics and Management.
When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:141:y:2002:i:1:p:8-20. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.