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Yatırım Projelerinin Net Bugünkü Riske Maruz Riske Değer Göstergesi Kullanılarak Karşılaştırılması

Journal Name:

  • Çankaya University Journal of Science and Engineering

Publication Year:

  • 2010

Key Words:

Keywords (Original Language):

Author NameUniversity 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]).
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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): 
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  • 2
155-167
  • Turkish

REFERENCES

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