IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/fd2a2307-0812-4543-8151-77111469269a.html
   My bibliography  Save this paper

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

Author

Listed:
  • van Groenendaal, W.J.H.

    (Tilburg University, School of Economics and Management)

  • Kleijnen, J.P.C.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/201533/assessme.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Anderson, J.R., 1989. "Forecasting, uncertainty, and public project appraisal," Policy Research Working Paper Series 154, The World Bank.
    2. Eduardo Fernández-Arias & Ricardo Hausmann & Ugo Panizza, 2020. "Smart Development Banks," Journal of Industry, Competition and Trade, Springer, vol. 20(2), pages 395-420, June.
    3. Simon Eckermann & Andrew R. Willan, 2016. "Expected Value of Sample Information with Imperfect Implementation," Medical Decision Making, , vol. 36(3), pages 282-283, April.
    4. Birgitte Grøgaard & Asmund Rygh & Gabriel R. G. Benito, 2019. "Bringing corporate governance into internalization theory: State ownership and foreign entry strategies," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 50(8), pages 1310-1337, October.
    5. Rausser, Gordon C. & de Janvry, Alain & Schmitz, Andrew & Zilberman, David D., 1980. "Principal issues in the evaluation of public research in agriculture," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt74v9m7dh, Department of Agricultural & Resource Economics, UC Berkeley.
    6. Reinhard Mechler & Stefan Hochrainer & Asbjørn Aaheim & Håkon Salen & Anita Wreford, 2010. "Modelling economic impacts and adaptation to extreme events: Insights from European case studies," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 15(7), pages 737-762, October.
    7. Kleijnen, Jack P. C., 2005. "An overview of the design and analysis of simulation experiments for sensitivity analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 287-300, July.
    8. S. Cucurachi & E. Borgonovo & R. Heijungs, 2016. "A Protocol for the Global Sensitivity Analysis of Impact Assessment Models in Life Cycle Assessment," Risk Analysis, John Wiley & Sons, vol. 36(2), pages 357-377, February.
    9. Nathalie Berta, 2016. "On the definition of externality as a missing market," Post-Print halshs-01277990, HAL.
    10. Kleijnen, J.P.C., 1995. "Statistical validation of simulation models : A case study," Other publications TiSEM 4da192cf-c3f4-40a4-aea4-5, Tilburg University, School of Economics and Management.
    11. Cristiano Antonelli, 2017. "The derived demand for knowledge," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 26(1-2), pages 183-194, February.
    12. Klein, Martin & Deissenroth, Marc, 2017. "When do households invest in solar photovoltaics? An application of prospect theory," Energy Policy, Elsevier, vol. 109(C), pages 270-278.
    13. Bruno CRUZ & Aude POMMERET, 2002. "Does public investment reduce private investment risk ? A real option approach," LIDAM Discussion Papers IRES 2002039, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    14. Tirelli, Mario, 2006. "The evaluation of public investments under uncertainty," Research in Economics, Elsevier, vol. 60(4), pages 188-198, December.
    15. Borgonovo, E., 2010. "Sensitivity analysis with finite changes: An application to modified EOQ models," European Journal of Operational Research, Elsevier, vol. 200(1), pages 127-138, January.
    16. Gollier, Christian, 2016. "Gamma discounters are short-termist," Journal of Public Economics, Elsevier, vol. 142(C), pages 83-90.
    17. Edward C. F. Wilson & Miranda Mugford & Garry Barton & Lee Shepstone, 2016. "Efficient Research Design," Medical Decision Making, , vol. 36(3), pages 335-348, April.
    18. Gray, Richard S., 1990. "The Role of Learning in Investment Decisions," 1990 Annual meeting, August 5-8, Vancouver, Canada 261490, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    19. Carsten Helm, 1998. "International Cooperation Behind the Veil of Uncertainty – The Case of Transboundary Acidification," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 12(2), pages 185-201, September.
    20. Yuri Biondi, 2009. "Capital budgeting under relational contracting: optimal ranking and duration criteria for schemes of concession, project-financing and public-private partnership," Post-Print hal-00404305, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:fd2a2307-0812-4543-8151-77111469269a. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.