Holistic investment assessment: optimization,risk appraisal and decision making |
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| Authors: | Georgios Tziralis Konstantinos Kirytopoulos Athanasios Rentizelas Ilias Tatsiopoulos |
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| Institution: | 1. Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece;2. Department of Financial and Management Engineering, University of the Aegean, Fostini, Chios, Greece |
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| Abstract: | On deciding for the most appropriate investment when capital restrictions exist, investors define their alternatives and analyze each one of them. Traditionally, the definition, appraisal and analysis stages are treated separately. Herein, an innovative holistic method is proposed for bridging these stages. Within this method, investment attributes definition occurs by genetic algorithm optimization, while the analysis of the investment is realized through simulation. The method also proposes the NPV Expected Shortfall and the NPV Risk Preference Index as investment evaluation criteria. An illustrative case study of two mutually exclusive renewable energy investment scenarios is also used for demonstration purposes. Copyright © 2008 John Wiley & Sons, Ltd. |
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| Keywords: | investment assessment optimization risk appraisal decision making genetic algorithms Monte Carlo simulation |
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