Fuzzy Capital Budgeting: Investment Project Evaluation and Optimization
msra(2006)
摘要
Capital budgeting is based on the analysis of some financial parameters of considered investment projects. It is clear that
estimation of investment efficiency, as well as any forecasting, is rather an uncertain problem. In a case of stock investment
one can to some extent predict future profits using stock history and statistical methods, but only in a short time horizon.
In the capital investment one usually deals with a business-plan which takes a long time — as a rule, some years — for its
realization. In such cases, a description of uncertainty within a framework of traditional probability methods usually is
impossible due to the absence of objective information about probabilities of future events. This is a reason for the growing
for the last two decades interest in applications of interval and fuzzy methods in budgeting. In this paper a technique for
fuzzy-interval evaluation of financial parameters is presented. The results of technique application in a form of fuzzy-interval
and weighted non-fuzzy values for main financial parameters NPV and IRR as well as the quantitative estimation of risk of an investment are presented.Another problem is that one usually must consider
a set of different local criteria based on financial parameters of investments. As its possible solution, a numerical method
for optimization of future cash-flows based on the generalized project’s quality criterion in a form of compromise between
local criteria of profit maximisation and financial risk minimisation is proposed.
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关键词
risk minimisation,profit maximisation.,capital budgeting,fuzzy-interval evaluation,investment project optimisation
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