Stochastic Modeling in Economics and Finance

Dupačová, Jitka; Hurt, Jan; Štěpán, Josef

doi:10.1007/b101992

Cited by 16 publications

(5 citation statements)

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“…The use of approximation by Fourier series (7), (8) of periodic political component of discount coefficient is proposed. These approaches significantly expand the flexibility of the process of forecasting the effectiveness of an investment business project by more accurately taking into account the influence of factors of the external economic environment compared to traditional methods [18,19].…”

Section: Discussion Of Research Results On the Application Of The Dev...mentioning

confidence: 99%

“…Present value (NPV) -net present value. Traditionally, it is calculated according to the PV determination scheme [18][19][20] as follows:…”

Section: Definition and Justification Of Financial And Eco Nomic Indi...mentioning

confidence: 99%

“…The next input parameter for the prediction unit is the discount factor r. It is advisable to represent it as an additive quantity consisting of several components [19,21]. Thus, according to previous studies [21], one of the main components of the discount coefficient is the political risk component.…”

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confidence: 99%

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Development and justification of the system methodological approach to assessing the investment business project implementation efficiency under conditions of the external market environment factors impact

Kabachenko

Lapkhanov

2023

EEJET

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Evaluating the effectiveness of the implementation of an investment project is a key issue when making management decisions both at the stage of setting up a startup and for expanding an existing business. This paper reports a systematic approach to building a mathematical model to solve the task of forecasting the effectiveness of business projects, taking into account the influence of factors of the external economic environment. Proposed factors include the impact of supply and demand on the price of goods, political and industry risks, the volume of commodity supply and sales. In view of this, a method for calculating the political component of the discount coefficient using the Fourier series has been proposed. Using the theory of differential equations, correlation and regression analysis, a mathematical model for forecasting indicators of efficiency of business project implementation taking into account the influence of factors of the external economic environment has been constructed. Based on it, a generalized algorithm for applying a mathematical model to predict the effectiveness of investment projects in various business sectors has been developed. The results from applying differential equations and variable discount coefficient showed a decrease in NPV by 14 %, and PI by 5.1 %, due to more accurate consideration of the political component in calculating the discount factor. Also, with the influence of supply and demand on the price of goods and nonlinear cash flows, it was found that the payback period does not clearly indicate the effectiveness of the implementation of an investment business project. Determining these factors provides more accurate information to the investor or business owner when forecasting the stability of a business project for making management decisions on its implementation

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Section: Discussion Of Research Results On the Application Of The Dev...mentioning

confidence: 99%

“…Present value (NPV) -net present value. Traditionally, it is calculated according to the PV determination scheme [18][19][20] as follows:…”

Section: Definition and Justification Of Financial And Eco Nomic Indi...mentioning

confidence: 99%

See 1 more Smart Citation

Development and justification of the system methodological approach to assessing the investment business project implementation efficiency under conditions of the external market environment factors impact

Kabachenko

Lapkhanov

2023

EEJET

View full text Add to dashboard Cite

show abstract

“…To produce results about the sensitivity of the solution distance with respect to the tree distance, we propose three portfolio models very well known in the literature that discusses stochastic optimization applied to financial problems, see e. g. [2,5,6,19]. The three models are: the maximization of the average value-at-risk (AV@R), the maximization of the expected wealth and the minimization of the difference between the expected wealth and its AV@R. In particular, the third model has recently been studied in [6] and [4].…”

Section: Portfolio Selection Modelsmentioning

confidence: 99%

“…When the stochastic random variable and the optimal decision evolve along a sequence of temporal stages, the framework becomes a multistage stochastic optimization, see [17]. Financial problems require models that very well interface with multistage stochastic optimization because they typically need to find an optimal portfolio allocation in financial assets whose future return is uncertain, see [2,3,5,6,19]. Therefore, the implementation of a multistage stochastic model follows the characterization of the stochastic environment in which the problem is defined.…”

Section: Introductionmentioning

confidence: 99%