scholarly journals Reliability as Main Factor for Future Value Creation

2017 ◽  
Author(s):  
Aleksandras Vytautas Rutkauskas ◽  
Viktorija Stasytytė ◽  
Andrius Rutkauskas
Keyword(s):  
Stochastic Optimization ◽  
Utility Function ◽  
Optimal Allocation ◽  
Investment Decision ◽  
Value Added ◽  
Optimal Investment ◽  
Currency Markets ◽  
Reliability Management ◽  
Investment Decision Making ◽  
Optimal Resource

The main objective of the paper is to present the solution to the problem of possibilities’ reliability management, which is an important problem of uncertainty (risk) economics. Also, the paper aims to propose adequate methods of stochastic optimization and reveal their broad implementation possibilities. Along with that, the concept of utility function is being disclosed, when we take into account not only the possibilities of prices and costs, but also their reliability, in order to achieve the highest value added in this process. The original methods of stochastic optimization are used, while searching for the optimal allocation of invested capital among the investment assets. Adequate investment portfolio is treated as theoretically sound and practically effective instrument for investment decision-making in capital and currency markets, as well as for other problems related with optimal resource allocation. The adequate portfolio supplements the modern portfolio by adding the third portfolio parameter – the reliability of return. Also, the utility function based on return, reliability and risk is used to find the optimal investment possibility for particular investor. The formed portfolio solutions were tested in the markets of NYSE, UK and France.

scholarly journals European Option Based R&D Investment Decision Making under Uncertainties

2015 ◽  
Vol 2015 ◽  
pp. 1-6
Author(s):  
Qing Miao ◽  
Boyang Cao ◽  
Minghui Jiang
Keyword(s):  
Decision Making ◽  
Research And Development ◽  
Joint Venture ◽  
Investment Decision ◽  
Optimal Investment ◽  
European Option ◽  
Project Investment ◽  
Research Joint Venture ◽  
Investment Decision Making ◽  
D Investment

This paper establishes the payoff models of the European option for research and development (R&D) projects with two enterprises in a research joint venture (RJV). The models are used to assess the timing and payoffs of the R&D project investment under quantified uncertainties. After the option game, the two enterprises can make optimal investment decision for the R&D project investment in the RJV.

scholarly journals Long-Term Expansion Planning of the Transmission Network in India under Multi-Dimensional Uncertainty

Energies ◽  
2021 ◽  
Vol 14 (22) ◽  
pp. 7813
Author(s):  
Spyros Giannelos ◽  
Anjali Jain ◽  
Stefan Borozan ◽  
Paola Falugi ◽  
Alexandre Moreira ◽  
...  
Keyword(s):  
Energy Storage ◽  
Stochastic Optimization ◽  
Economic Benefit ◽  
Benders Decomposition ◽  
Investment Decision ◽  
Transport Sector ◽  
Transmission Network ◽  
Expansion Planning ◽  
Investment Decision Making ◽  
Wide Scale

Considerable investment in India’s electricity system may be required in the coming decades in order to help accommodate the expected increase of renewables capacity as part of the country’s commitment to decarbonize its energy sector. In addition, electricity demand is geared to significantly increase due to the ongoing electrification of the transport sector, the growing population, and the improving economy. However, the multi-dimensional uncertainty surrounding these aspects gives rise to the prospect of stranded investments and underutilized network assets, rendering investment decision making challenging for network planners. In this work, a stochastic optimization model is applied to the transmission network in India to identify the optimal expansion strategy in the period from 2020 until 2060, considering conventional network reinforcements as well as energy storage investments. An advanced Nested Benders decomposition algorithm was used to overcome the complexity of the multistage stochastic optimization problem. The model additionally considers the uncertainty around the future investment cost of energy storage. The case study shows that deployment of energy storage is expected on a wide scale across India as it provides a range of benefits, including strategic investment flexibility and increased output from renewables, thereby reducing total expected system costs; this economic benefit of planning with energy storage under uncertainty is quantified as Option Value and is found to be in excess of GBP 12.9 bn. The key message of this work is that under potential high integration of wind and solar in India, there is significant economic benefit associated with the wide-scale deployment of storage in the system.

scholarly journals The Efficiency Analysis of National R&D Planning for the Field of Precision Medicine in Korea

2018 ◽  
Vol 4 (3) ◽  
pp. 39 ◽  
Author(s):  
BangRae Lee ◽  
EunSoo Sohn ◽  
DongKyu Won ◽  
WoonDong Yeo ◽  
KwangHoon Kim ◽  
...  
Keyword(s):  
Precision Medicine ◽  
Relative Efficiency ◽  
High Efficiency ◽  
Investment Decision ◽  
Value Added ◽  
Efficiency Analysis ◽  
Government Investment ◽  
Technology Sector ◽  
Investment Decision Making ◽  
Input Variables

Precision medicine has received a lot of attention in recent years and we have not yet found any research cases that apply Data Envelopment Analysis (DEA) to investment decision making in this area. The purpose of this study is to analyze the relative efficiency of candidate technology sectors in order to determine priorities for government investment in precision medicine. The results of the efficiency analysis can be used as an important reference for government policy makers to determine the amount of government investment in the next year for each candidate technology sector. The candidate technology for government investment in precision medicine was decided for 23 sectors based on the data analysis and the opinions of expert committees. This study applies the input-oriented DEA in regard to 23 technology sectors, which is widely used to analyze relative efficiency in terms of inputs versus outputs and to enhance efficiency through the propositional reduction of inputs. The input variables include the government’s research and development (R&D) investment and forward and backward industry linkage effects. The output variables are the employment creation effect, value-added effect, number of Korean patents, and number of Korean papers. Our analysis results show that the 23 technology sectors in precision medicine overall have a high efficiency, with the exception of the biobank technology sector. Therefore, since the Biobank technology sector has strong infrastructure characteristics, it seems to require continuous investment. The efficiency of DEA is high in most precision medicine sectors; therefore, overall, investing in these technologies is expected to yield good benefits.

Property investment decision making by Australian unlisted property funds

2016 ◽  
Vol 34 (5) ◽  
pp. 381-395 ◽  
Author(s):  
David Parker
Keyword(s):  
Decision Making ◽  
Optimal Allocation ◽  
Investment Decision ◽  
Decision Making Process ◽  
Descriptive Model ◽  
Normative Model ◽  
Content Type ◽  
Investment Decision Making ◽  
Prescriptive Model ◽  
Fund Investment

Purpose The purpose of this paper is to investigate the property investment decision-making process of Australian unlisted property funds. Design/methodology/approach Drawing on previous research into property investment decision making by Australian REITs, a normative model of the unlisted property fund investment decision-making process is proposed. Based on exploratory investigation through semi-structured interviews with senior Australian unlisted property fund decision makers, a descriptive model of the property investment decision-making process by Australian unlisted property funds is developed. The normative model and descriptive model are compared and a prescriptive model of the Australian unlisted property fund investment decision-making process proposed. Findings A four-stage, 20-step process proposed in the normative model was found to be generally supported by the descriptive model developed, potentially comprising a possible prescriptive model for the Australian unlisted property fund investment decision-making process. Research limitations/implications Further research is required to investigate risk-return issues, whether the prescriptive model is generalisable across other property investment decision-making groups or over time and whether it may lead to “good” decisions. Practical implications The prescriptive model proposed may contribute consistency and transparency to the decision-making process, if adopted by Australian unlisted property funds, potentially leading to better decisions. Social implications Greater consistency and transparency in property investment decision making by Australian unlisted property funds may lead to the optimal allocation of capital and greater investor confidence in the sector. Originality/value The findings comprise the first possible prescriptive model of the Australian unlisted property fund investment decision-making process, forming a basis for comparative investigation of that process adopted by other property investment decision-making groups such as Australian REITs and Australian retail property funds.

scholarly journals Property investment decision making by Australian REITs

2014 ◽  
Vol 32 (5) ◽  
pp. 456-473 ◽  
Author(s):  
David Parker
Keyword(s):  
Decision Making ◽  
Optimal Allocation ◽  
Investment Decision ◽  
Decision Making Process ◽  
Extensive Literature ◽  
Descriptive Model ◽  
Normative Model ◽  
Content Type ◽  
Investment Decision Making ◽  
Prescriptive Model

Purpose – The purpose of this paper is to investigate property investment decision making by Australian REITs. Design/methodology/approach – Through an extensive literature review, a normative model of the property investment decision-making process is proposed. Based on semi-structured interviews with senior Australian REIT decision makers, a descriptive model of the property investment decision-making process by Australian REITs is developed. The normative model and descriptive model are compared and a prescriptive model of the Australian REIT property investment decision-making process proposed. Findings – With the four stage, 20-step process proposed in the normative model found to be generally supported by the descriptive model developed, this may potentially comprise an effective prescriptive model for the Australian REIT property investment decision-making process. Research limitations/implications – Further research is required to investigate if the prescriptive model is generalisable across other property investment decision-making groups or over time and whether it may lead to “good” decisions. Practical implications – The prescriptive model proposed may contribute consistency and transparency to the decision-making process, if adopted by Australian REITs, potentially leading to better decisions. Social implications – Greater consistency and transparency in property investment decision making by Australian REITs may lead to the optimal allocation of capital and greater investor confidence in the sector. Originality/value – The findings comprise the first prescriptive model of the Australian REIT property investment decision-making process, forming a basis for comparative investigation of that process adopted by other property investment decision-making groups.

scholarly journals Optimal investment decision making on the model of production enterprise with limited resources

2018 ◽  
Vol 15 (4) ◽  
pp. 61-68 ◽  
Author(s):  
Tetiana Ivanenko ◽  
Viktor Hrushko ◽  
Anatolii Frantsuz
Keyword(s):  
Decision Making ◽  
Investment Decision ◽  
Investment Project ◽  
Optimal Investment ◽  
Project Selection ◽  
Payback Period ◽  
Rate Of Return ◽  
Investment Decision Making ◽  
Growth Selection ◽  
The One

Investments are among the most important factors of national economic growth. Selection of optimal investment project is the first priority for any enterprise with limited financial resources. This study is dedicated to a choice among mutually exclusive projects, which are impossible to complete partially, so, one project must be chosen and all others must be rejected. An investor must find among all possible projects the one that allows to better achieve all investor’s aims. A mathematical model of multi-purpose multi-criteria investor decision making is proposed for investment project selection problem. Efficiency and riskiness of studied projects are evaluated using such indicators as profit, rate of return, payback period, marginal cost of capital, also taking into account subjective characteristics, namely the investor’s attitude towards financial risks, importance assessment of decision making criteria, etc. Decision making assessment methods for the situations of risk and uncertainty are applied to resolve the problem of optimal project selection, such as Wald’s pessimistic criterion, maximax optimistic criterion, as well as Hurwicz’s, Laplace’s, Bayes- Laplace, Hodges-Lehmann criteria, and Savage’s minimax risk criterion. Calculations carried out and results obtained indicate that the best investment project chosen that way will provide the highest absolute profit, despite certain disadvantages such as lower rate of return, longer payback period and higher risk than other projects.

scholarly journals Application of Algorithms of Constrained Fuzzy Models in Economic Management

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Lingyan Meng ◽  
Dishi Zhu
Keyword(s):  
Decision Making ◽  
Investment Decision ◽  
Optimal Investment ◽  
Portfolio Performance ◽  
Portfolio Investment ◽  
Investment Strategies ◽  
Economic Management ◽  
Expected Return ◽  
Investment Decision Making ◽  
Human Thinking

Stochasticity and ambiguity are two aspects of uncertainty in economic problems. In the case of investments in risky assets, this uncertainty is manifested in the uncertainty of future returns. On the contrary, the complexity of the economic phenomenon itself and the ambiguity inherent in human thinking and judgment are characterized by indistinct boundaries. For the same problem, research from different perspectives can often provide us with more comprehensive and systematic information. Currently, the expected value of return or the variance representing risk is still used as a rational investment criterion for both single-stage portfolios and multistage portfolios. However, in general, the greater the expected return of an investor, the greater the risk he should take. Different investors have different requirements for profitability, but regardless of their expected return, they always hope to find a set of portfolios that maximize the probability of achieving the expected rate of return. In this paper, after analyzing the development of portfolio investment theory research, we take fuzzy information processing as the entry point and systematically discuss the theory and methods of fuzzy modeling of portfolio investment decision-making from the perspective of fuzziness around the portfolio investment decision-making process. The results of the empirical analysis show that the existence of basis constraints affects investors’ investment strategies as well as their final returns, but there is a limit to the influence of basis constraints on portfolio performance, and investors can obtain optimal investment returns by selecting a reasonable number of securities to form a portfolio based on the characteristics of different securities.

scholarly journals INVESTMENT STYLES OF REIT PROPERTY PORTFOLIOS

2021 ◽  
Vol 19 (17) ◽  
Author(s):  
Chor Heng Tan ◽  
Kien Hwa Ting
Keyword(s):  
Portfolio Management ◽  
Investment Decision ◽  
Value Added ◽  
Management Approach ◽  
Investment Style ◽  
The Real Estate ◽  
Qualitative Approaches ◽  
Investment Decision Making ◽  
Investment Portfolios ◽  
Investment Styles

Investment style, comprising generic-style and specific-style, is the real estate investment management approach adopted by REIT management in guiding the construction of their portfolios. These portfolios would have distinctive return and risk performance reflecting the stated risk and return underlying the investment vision. Using quantitative and qualitative approaches, this study identified the investment style of each M-REIT listed on Bursa Malaysia. Using the generic-style criteria and analysis, M-REITs are found to have pursued passive and value strategies aided by a top-down approach to their property portfolio management. Whilst results of the specific style analysis show that core portfolios have produced a lower risk-return ratio compared to value-added and opportunistic portfolios. These findings will benefit investors by guiding their investment decision making in constructing their investment portfolios and also in deciding ways to achieve diversification.

Sign in / Sign up

Export Citation Format

Share Document