The Normal Distribution Formalization for Investment Economic Project Evaluation Using the Monte Carlo Method

Bilenko, Daria; Lavrov, Ruslan; Onyshchuk, Natalia; Поляков, Б А; Kabenok, Yuliia

doi:10.14254/1800-5845/2019.15-4.12

Cited by 4 publications

(4 citation statements)

References 9 publications

(9 reference statements)

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“…To assess the real risk of failure associated with the investment, changes in the values of economic performance indicators deriving from the simultaneous change of several project variables had to be identified [11]. As stated by [12], one of the risk assessment tools is the Monte Carlo method, which combines and develops both sensitivity analysis, and scenario analysis, methods. In the resource material, Ref.…”

Section: Methodsmentioning

confidence: 99%

Risk Assessment of Large-Scale Infrastructure Projects—Assumptions and Context

Korytářová

Hromádka

2020

Applied Sciences

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This article deals with the partial outputs of large-scale infrastructure project risk assessment, specifically in the field of road and motorway construction. The Department of Transport spends a large amount of funds on project preparation and implementation, which however, must be allocated effectively, and with knowledge of the risks that may accompany them. Therefore, documentation for decision-making on project financing also includes their analysis. This article monitors the frequency of occurrence of individual risk factors within the qualitative risk analysis, with the support of the national risk register, and identifies dependent variables that represent part of the economic cash flows for determining project economic efficiency. At the same time, it compares these dependent variables identified by sensitivity analysis with critical variables, followed by testing the interaction of the critical variables’ effect on the project efficiency using the Monte Carlo method. A partial section of the research was focused on the analysis of the probability distribution of input variables, especially “the investment costs” and “time savings of infrastructure users” variables. The research findings conclude that it is necessary to pay attention to the setting of statistical characteristics of variables entering the economic efficiency indicator calculations, as the decision of whether or not to accept projects for funding is based on them.

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Section: Methodsmentioning

confidence: 99%

Risk Assessment of Large-Scale Infrastructure Projects—Assumptions and Context

Korytářová

Hromádka

2020

Applied Sciences

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“…This work is also interesting from the point of view of analyzing the positive impact of termination of inefficient enterprises on the economic situation in the state and reducing the burden on the state budget, in the aspect of the lack of need to maintain the economic activity of an insolvent and long-lasting unprofitable enterprise. And-Bilenko et al (2019) details the legal aspects of arbitration regulation and management in the process of passing the bankruptcy procedure of Ukrainian enterprises. Also, the legal aspects of recognition of bankruptcy and the rights of bankruptcy trustees are considered in detail in the work of Jarynko (2018).…”

Section: Research Focusmentioning

confidence: 99%

The Bankruptcy of State Enterprises in Ukraine through the Prism of the practice of the European Court of Human Rights

Melnychenko¹,

Podilchak²,

Bondarenko³

et al. 2023

R. Econ. and Finan.

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The market economy, on the principles of which the Ukrainian society develops, assumes that business entities are created, develop and as a result of miscalculations in the management system may cease to exist. On the legal plane, the process of termination of the enterprise occurs by the recognition of insolvency and the passage of the procedure of bankruptcy. State-owned enterprises are not an exception. They can also be an inefficient business entity and require legal registration for the termination of activities.Taking into account the topicality, the article's aim was defined in accordance with the already considered cases. Namely: the Ukraine's state enterprises bankruptcy through the European Court of Human Rights prism. One took into account all the peculiarities concerned with the topical issue.In the research the analysis of real cases of declaring bankruptcy of Ukrainian state enterprises was carried out from the plane of human rights protection taking into account the practice of the European Court of Human Rights. The analysis of peculiarities of establishing the procedure for the disposition of property and repayment of obligations of state-owned enterprises in accordance with court decisions was carried out. It is established that since 2019 there is no legislative possibility of recognition of bankruptcy of state enterprise, which on the one hand minimizes misconduct towards state enterprises and deprives the possibility of abuse, and on the other hand -complicates the process of terminating the existence of inefficient state enterprises that cause damage to the state and through the law, unsettlement cannot be eliminated.The practical significance of the obtained results is the advisability of taking into account the experience of human rights protection in the process of bankruptcy proceedings against state-owned enterprises.

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“…The Monte Carlo simulation is a popular method in portfolio construction and is selected by numerous previous studies. Bilenko and Lavrov [12] used Monte Carlo simulation to perform normal distribution formalization for risk assessment in investment. Korytárová and Pospíšilová [13] has incorporated it in cost-benefit analysis to evaluate investment risks.…”

Section: Monte Carlo Simulationmentioning

confidence: 99%

The Application of Monte Carlo Simulation and Mean-variance in Portfolio Selection

Li¹,

Zhong²

2022

BCPBM

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This paper manages to construct an efficient portfolio that has a better return than the market index. This portfolio is unique because its five assets have been carefully picked from different industries to diversify risk, which is rarely seen in other research. First, this article uses Monte Carlo simulation to generate a possible portfolio and calculate the weight of each asset in different scenarios. Second, it uses the mean-variance model to measure the risk and return of the portfolio. Based on the accessed data, this study finds that the daily return of the minimum volatility portfolio outruns the market index, and it also determines the weight of each stock in the minimum volatility portfolio. The paper provides feasible ways of constructing an efficient portfolio, such as how to select stocks and allocate assets. The results in this paper may benefit the related investors in financial markets and help them find efficient portfolio that outruns the market index.

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The Normal Distribution Formalization for Investment Economic Project Evaluation Using the Monte Carlo Method

Cited by 4 publications

References 9 publications

Risk Assessment of Large-Scale Infrastructure Projects—Assumptions and Context

Risk Assessment of Large-Scale Infrastructure Projects—Assumptions and Context

The Bankruptcy of State Enterprises in Ukraine through the Prism of the practice of the European Court of Human Rights

The Application of Monte Carlo Simulation and Mean-variance in Portfolio Selection

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