METHODS FOR ASSESSING LOW PROFITABILITY RISKS OF AN INVESTMENT PROJECT IN CONDITIONS OF UNCERTAINTY

Autores/as

  • Tatiana Tikhomirova Plekhanov Russian Economic University
  • Nikolay Tikhomirov Plekhanov Russian Economic University

DOI:

https://doi.org/10.20397/2177-6652/2024.v24i2.2845

Palabras clave:

Investment project, Efficiency, Net present value, Random variable, Distribution law, Risk, Quantile, Dispersion, Taylor series

Resumen

The article discusses the methodological approach and methods for assessing the risks of decreasing the net present value (NPV) compared to its expected value, based on the NPV representation as a complex random variable with known parameters of its distribution. It is substantiated that this NPV representation is a consequence of random conditions for the implementation of investment projects, their financial inflows and outflows, as well as discounts. According to the law of large numbers, it is advisable to consider the NPV distribution as normal. Based on the NPV expansion into the Taylor series at the point of its mathematical expectation (expected value), an analytical expression for the NPV dispersion is obtained as a function of the expected values and dispersions of financial flows and discounts. The authors of the article discuss the possibilities of assessing these NPV characteristics based on available project statistics and expert data. Depending on the attitude to risk, possible indicators of the risks of an investment project can be the average risk of a decrease in the NPV or any quantile of its decrease with due regard to the distribution parameters of this indicator limited from above by its mathematical expectation. The proposed approach to assessing the risks of reducing the efficiency of investment projects is characterized by less subjectivity compared to its analogs based on the methods of varying the discount rate and reliable equivalents

Citas

Batkovskii, A. M., Semenova, E. G., Trofimets, V. Ya., & Trofimets, E. N. (2015). Otsenka riskov investitsionnykh proektov na osnove imitatsionnogo statisticheskogo modelirovaniya [The risk assessment of investment projects based on statistical simulation modeling]. Voprosy radioelektroniki, 4, 204-222.

Bekimbetova, G. M., & Shaturaev, Zh. N. (2021). Osnovnoi pokazatel effektivnosti investitsionnykh proektov raschet chistoi tekushchei stoimosti [The main indicator of the effectiveness of investment projects is the calculation of net present value]. The Scientific Heritage, 77-3, 14-21. https://doi.org/10.24412/9215-0365-2021-77-3-14-21

Kovalev, P. P. (2017). Osobennosti otsenki riskov investitsionnykh proektov [The risk assessment of investment projects]. Ekonomika: Vchera, segodnya, zavtra, 7(5A), 251-260.

Kovalev, V. V. (2003). Metody otsenki investitsionnykh proektov [Methods for evaluating investment projects]. Moscow: Finansy i statistika, 144 p.

Livshits, V. N., Mironova, I. A., & Shvetsov, A. N. (2019). Otsenka effektivnosti investitsionnykh proektov v razlichnykh usloviyakh [Assessing the effectiveness of investment projects in various conditions]. Ekonomika promyshlennosti, 12(1), 29-43. https://doi.org/10.17073/2072-1633-2019-1-29-43

Platon, V., & Constantinescu, A. (2014). Monte Carlo Method in risk analysis for investment projects. Procedia Economics and Finance, 15, 393-400. http://dx.doi.org/10.1016/S2212-5671(14)00463-8

Sazonov, S. P., Penkov, P. E., & Mamedov, F. N. (2014). Otsenka ekonomicheskoi effektivnosti investitsionnykh proektov [Assessing the economic efficiency of investment projects]. Biznes. Obrazovanie. Pravo, 4(29), 24-27.

Sharp, U. F., Aleksandrov, G. D., & Beili, D. V. (2018). Investitsii [Investments]. Moscow: Infra-M, 1028 p.

Shvetsova, O. A., Rodionova, E. A., & Epstein, M. Z. (2018). Evaluation of investment projects under uncertainty: Multi-criteria approach using interval data. Entrepreneurship and Sustainability Issues, 5(4), 914-928. http://dx.doi.org/10.9770/jesi.2018.5.4(15)

Sirotkin, S. A., & Kelchevskaya, N. R. (2022). Ekonomicheskaya otsenka investitsionnykh proektov [The economic assessment of investment projects]. Moscow: Infra-M, 274 p.

Tikhomirov, N. P., & Tikhomirova, T. M. (2020). Teoriya riska [Risk theory]. Moscow: YuNITI-DANA, 308 p.

Troitskaya, N. N. (2020). Upravlenie riskami investitsionnogo proekta [Investment project risk management]. Industrialnaya ekonomika, 2, 27-31.

Vilenskii, P. L., Livshits, V. N., & Smolyak, S. A. (2015). Otsenka effektivnosti investitsionnykh proektov. Teoriya i praktika [Evaluating the effectiveness of investment projects. Theory and practice]. Moscow: Poli Print Servis, 1300 p.

Zimin, V. A. (2013). Investitsionnyi proekt: Ego finansirovanie i effektivnost [Investment project: Its financing and effectiveness]. Teoriya i praktika obshchestvennogo razvitiya, 3, 209-211.

Descargas

Publicado

2024-04-23

Cómo citar

Tikhomirova, T., & Tikhomirov, N. (2024). METHODS FOR ASSESSING LOW PROFITABILITY RISKS OF AN INVESTMENT PROJECT IN CONDITIONS OF UNCERTAINTY. Revista Gestão & Tecnologia, 24(2), 244–257. https://doi.org/10.20397/2177-6652/2024.v24i2.2845

Número

Sección

ARTIGO