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Sensitivity analysis methods in uncertainty environment

Author

Listed:
  • Alexandru MANOLE

    (Universitatea „ARTIFEX” din Bucuresti)

  • Constantin ANGHELACHE

    (Universitatea „ARTIFEX” din Bucuresti, Academia de Studii Economice, Bucuresti)

  • Madalina Gabriela ANGHEL

    (Universitatea „ARTIFEX” din Bucuresti)

  • Andreea MARINESCU

    (Academia de Studii Economice, Bucuresti)

Abstract

The realization of the sensitivity analysis in the practice of investments is a determinant element in the choice of optimum variance. In practice, the variables and data taken into consideration when determining the investment happen to modify. There must be interpreted the variables considered also from the viewpoint of each one’s sensitivity. For the control of the investment process, it is mandatory to realize feasibility studies, by taking into account the complexity of the business environment, the change of the influences of some factos or even the occurrence of some that have not been initially considered. The model used in the elaboration of the feasibility study must outline the factorial variables of sensitivity, specifical to uncertainty.Among the models used for sensitivity analysis, we have emphasized the Monte Carlo simulation model, because it takes into account all posibilities to combine the influence factors on the Net Value Added (VAN). The steps in using the Monte Carlo simulation model are thoroughly presented and explained by precise case studies. Also, we have presented the decision tree method and others, likewise effective.

Suggested Citation

  • Alexandru MANOLE & Constantin ANGHELACHE & Madalina Gabriela ANGHEL & Andreea MARINESCU, 2016. "Sensitivity analysis methods in uncertainty environment," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(8), pages 59-69, August.
  • Handle: RePEc:rsr:supplm:v:64:y:2016:i:8:p:59-69
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    References listed on IDEAS

    as
    1. Grenadier, Steven R. & Wang, Neng, 2007. "Investment under uncertainty and time-inconsistent preferences," Journal of Financial Economics, Elsevier, vol. 84(1), pages 2-39, April.
    2. Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2014. "Volatility, the Macroeconomy, and Asset Prices," Journal of Finance, American Finance Association, vol. 69(6), pages 2471-2511, December.
    3. Constantin Anghelache & Alexandru Manole & Madalina Gabriela Anghel, 2015. "Analysis of Final Consumption, Gross Investment, the Changes in Inventories and Net Exports Influence of GDP Evolution, by Multiple Regression," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 5(3), pages 66-70, July.
    4. Saman, Corina, 2010. "Macroeconomic Uncertainty and Investment – Empirical Analysis for Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 155-164, July.
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