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Studio di un indicatore per la valutazione del rischio delprogetto nella metodologia dell’analisi costi benefici - Proposed risk indicators in the cost-benefit analisys methodology

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Abstract

Cost-benefit analysis allows to assess in advance the performance of investment projects through the calculation of appropriate indices, such as the NPV, the IRR, the B/C ratio. Performance indicators are, however, affected by the uncertainty inherent in the exercise of forecasting the future values of the physical and economic parameters generated by the project. Probability distribution of the expected values of each performance indicator can be determined, e.g., through Montecarlo simulations of the CBA model. Derived from the simulated probability distribution, the paper, starting from the definition of the loss function in the statistical decision theory, proposes a set of risk indicators (Index of absolute risk, Index of internal relative risk, Index of generalized relative risk), which include a "weight" function that models the level of aversion against the expected loss of the performance indices by the person who will bear the project risk.

Suggested Citation

  • Mario Genco, 2011. "Studio di un indicatore per la valutazione del rischio delprogetto nella metodologia dell’analisi costi benefici - Proposed risk indicators in the cost-benefit analisys methodology," Working Papers 201102, CSIL Centre for Industrial Studies.
  • Handle: RePEc:mst:wpaper:201102
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    File URL: https://www.csilmilano.com/docs/WP2011_02.pdf
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    Keywords

    risk analysis; risk adversion; Montecarlo simulation; cost benefit analysis - rischio; avversione al rischio; simulazione Montecarlo; analisi costi benefici;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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