Journal Name:
- Çankaya University Journal of Science and Engineering
Key Words:
Keywords (Original Language):
| Author Name | University of Author |
|---|---|
Abstract (2. Language):
The aim of this study is to compare and choose the most appropriate project
among investment projects giving similar results in terms of the evaluation criteria such
as investment amount, NPV, IRR (Internal Rate of Return), PI (Pro tability Index),
Payback Period (PP) etc., by using Net Present Value-at-Risk (NPV-at-Risk) parameter.
For that purpose, in addition to the basic project evaluation criteria, the NPV-at-Risk
values are calculated for a number of hypothetical investment projects, for which random
numbers for uncertainty factors such as amount of demand and variable costs are generated
via Monte Carlo simulation. VaR values received from yearly changes in simulated cashows are used to calculate NPV-at-Risk for di erent con dence levels. Finally, bubble
diagram is sketched to visualize and compare the projects in terms of their NPV-at-Risk
(NPV@R), size of the investments and Expected NPV (E[NPV]).
Bookmark/Search this post with
Abstract (Original Language):
Bu calsmada; net bugunku deger (NPV), ic verim oran (IRR), karllk endeksi
(PI), geri odeme suresi (PP), vb. temel proje degerlendirme kriterleri acsndan benzer
sonuclara sahip olan projelerin birbiriyle karslastrlabilmesi ve iclerinden en uygun
olann secilebilmesi icin Net Bugunku Riske Maruz Deger (NPV-at-Risk) gostergesi kullan
lmstr. Bu amacla, talep, degisken maliyet, faiz oran ve nakit akm gibi belirsizlik
iceren proje degiskenlerine yonelik Monte Carlo simulasyonu ile tesadu rakamlarn
uretildigi belli saydaki hipotetik yatrm projesi icin temel proje degerlendirme kriterlerine
ek olarak NPV-at-Risk degerleri de bulunmustur. NPV-at-Risk degerleri, simule edilmis
nakit akslarndaki yllk degisimlerin Riske Maruz Degerleri (VaR) uzerinden farkl guven
aralklar icin hesaplanmstr. Son olarak kabarck gra gi (bubble diagram) cizilerek projeler
gra k uzerinde goruntulenmis; NPV-at-Risk, yatrm buyuklugu ve Beklenen Net
Bugunku Riske Maruz Degerleri E[NPV] acsndan karslastrlabilmistir.
FULL TEXT (PDF):
- 2
155-167