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Joint Treatment of Imprecision and Randomness in the Appraisal of the Effectiveness and Risk of Investment Projects

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Information Systems Architecture and Technology: Proceedings of 37th International Conference on Information Systems Architecture and Technology – ISAT 2016 – Part IV

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 524))

Abstract

This paper proposes a new method for evaluating the effectiveness and risk of investment projects in the presence of both fuzzy and stochastic uncertainty. The main novelty of the proposed approach is the ability to take into account dependencies between uncertain model parameters. Thanks to this extra feature, the results are more accurate. The method combines non-linear programming with stochastic simulation, which are used to model dependencies between stochastic parameters, and interval regression, which is used to model dependencies between fuzzy parameters (possibility distributions). To illustrate the general idea and the effectiveness of the proposed method, an example from metallurgical industry is provided.

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Authors and Affiliations

  1. Faculty of Managementul, AGH University of Science and Technology, Gramatyka 10, 30-067, Kraków, Poland

    Bogdan Rębiasz, Bartłomiej Gaweł & Iwona Skalna

Authors
  1. Bogdan Rębiasz
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  2. Bartłomiej Gaweł
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  3. Iwona Skalna
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Corresponding author

Correspondence to Bogdan Rębiasz .

Editor information

Editors and Affiliations

  1. Department of Management Systems,Faculty of Computer Science and Management, Wrocław University of Technology, Wrocła Department of Management Systems, Wrocław, Poland

    Zofia Wilimowska

  2. Department of IT and Management, Wrocław University of Technology Department of IT and Management, Wrocław, Poland

    Leszek Borzemski

  3. Department of Computer Science, Wrocław University of Technology Department of Computer Science, Wrocław, Poland

    Adam Grzech

  4. Department of Computer Science, Wrocław University of Technology Department of Computer Science, Wrocław, Poland

    Jerzy Świątek

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Rębiasz, B., Gaweł, B., Skalna, I. (2017). Joint Treatment of Imprecision and Randomness in the Appraisal of the Effectiveness and Risk of Investment Projects. In: Wilimowska, Z., Borzemski, L., Grzech, A., Świątek, J. (eds) Information Systems Architecture and Technology: Proceedings of 37th International Conference on Information Systems Architecture and Technology – ISAT 2016 – Part IV. Advances in Intelligent Systems and Computing, vol 524. Springer, Cham. https://doi.org/10.1007/978-3-319-46592-0_2

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  • DOI: https://doi.org/10.1007/978-3-319-46592-0_2

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-46591-3

  • Online ISBN: 978-3-319-46592-0

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