Holistic investment assessment: optimization, risk appraisal and decision making

Georgios Tziralis, Konstantinos Kirytopoulos, Athanasios Rentizelas and Ilias Tatsiopoulos
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Georgios Tziralis: Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece, Postal: Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece
Konstantinos Kirytopoulos: Department of Financial and Management Engineering, University of the Aegean, Fostini, Chios, Greece, Postal: Department of Financial and Management Engineering, University of the Aegean, Fostini, Chios, Greece
Athanasios Rentizelas: Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece, Postal: Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece
Ilias Tatsiopoulos: Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece, Postal: Sector of Industrial Management and Operational Research, School of Mechanical Engineering, National Technical University of Athens, Athens, Greece

Managerial and Decision Economics, 2009, vol. 30, issue 6, pages 393-403

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.

Date: 2009
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