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

摘要

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.