Probablistic risk analysis of financial investment decisions. A probabilistic analysis of the financial performance of'selected Colombian companies and banks for the period 1973-1977 with application to the investment decision process.

摘要

The thesis describes a stochastic procedure developed for assessingudrisk and reducing uncertainty inherent in the investment decision makingudprocess. It is proposed that the two most important profitabilityudfinancial ratios in relation to investment decisions are the return onudequity and the return on assets respectively. In order to exploit theiruduse as criteria for risk measurement and uncertainty reduction, a stochasticudformulation is adopted in which these ratios are expressed in probabilisticudterms. A density function to describe their behaviour is derived; itudis found that density distribution analysis for both ratios indicateudthat the Weibull distribution apart from being the most flexible andudadaptable model of all those considered, provides the best overall fitudto the data. It is accordingly used in the latter part of the researchudfor evaluating industrial sector and company investment risk.