Risk Assessment of Innovative Projects Based on Fuzzy Modeling

Samokhvalov, Yuri

doi:10.1007/978-3-030-54215-3_17

Cited by 2 publications

(1 citation statement)

References 13 publications

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“…Monte Carlo simulation is used in decision-making in combination with other methods as well. For instance, Samokhvalov [26] combined fuzzy estimates and the Monte Carlo simulation in risk assessment of innovative projects. Kannan et al [27] applied Monte Carlo simulation to analyse sensitivity of a multicriteria decision method.…”

Section: Introductionmentioning

confidence: 99%

Selection of Optimal Investment Variant Based on Monte Carlo Simulations

Janeková¹,

Fabianová²,

Kádárová³

2021

Int. j. simul. model.

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This paper presents a methodology for the selection of an optimal investment variant using Monte Carlo simulation and OptQuest optimization. The decision-making process also includes risk analysis. Investment variants involve renewal and development of production equipment. Two approaches to investment decision making are introduced. The first approach is based on the analysis of the distribution function of Net Present Value (NPV), and the rule of mean value and coefficient of variation is used as the decision criterion for determining the profitability of investment variants. The second approach, based on the cumulative probability distribution of NPV, provides a comparative assessment of the investment variants using stochastic dominance rules. Both approaches lead to the choice of the same investment variant. In order to increase the profitability of the selected investment variant and reduce its risk, OptQuest optimization is subsequently implemented. The introduced approaches can be a useful support tool in investment decision-making.

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Section: Introductionmentioning

confidence: 99%

Selection of Optimal Investment Variant Based on Monte Carlo Simulations

Janeková¹,

Fabianová²,

Kádárová³

2021

Int. j. simul. model.

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Formalization of risk analysis in software products for calculating the effectiveness of investment projects

Zhichkin

Nosov

Zhichkina

et al. 2021

J. Phys.: Conf. Ser.

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Simulation is the process of transforming real processes in a mathematical form using computer technology. The main type of quantitative risk analysis is the calculation of stability analyzes, among which there is main type - sensitivity analysis (analysis of overall project sustainability). The purpose of the study is to improve the methodology for formalized risk assessment in the simulation of investment projects. It includes the following tasks: -analysis of existing approaches to risk assessment in simulation; - identification of the problems of calculating the level of risk in the simulation models of investment projects; -improvement of existing software products for calculating the effectiveness of investment projects. Sensitivity analysis finds out the reaction of the project to changes in its main parameters. One-way sensitivity analysis, implemented in almost all software products, provides limited information. Therefore, it is proposed to supplement the possibilities of programs by introducing a two-way sensitivity analysis into the structure of the section to study the effect on the result of simultaneous changes in two significant environmental factors. The calculation results will be presented in tabular and graphical form to expand the analysis capabilities. On the graph, by separating the zone with negative values and marking it with a contrasting color, the zone with unacceptable values (which correspond to ineffective design options) is very clearly visible.

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Risk Assessment of Innovative Projects Based on Fuzzy Modeling

Cited by 2 publications

References 13 publications

Selection of Optimal Investment Variant Based on Monte Carlo Simulations

Selection of Optimal Investment Variant Based on Monte Carlo Simulations

Formalization of risk analysis in software products for calculating the effectiveness of investment projects

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