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Odporny wybór projektów inwestycyjnych

Kuchta D.

Badania Operacyjne i Decyzje

2008

nr 4

61-70

Zaproponowano zastosowanie podejścia odpornego do wyboru jednego spośród zbioru projektów inwestycyjnych. Omówiono zasady podejścia odpornego i różne, stosowane w nim kryteria decyzyjne. Zaproponowano algorytm pozwalający zastosować to podejście do wyboru projektów inwestycyjnych, zwracając uwagę na numeryczną stronę zastosowania algorytmu. Następnie zaprezentowano przykład liczbowy.

In the paper we discuss the problem of selecting one investment project from a set containing several projects in the situation when their parameters (above all the cash flows) are still unknown exactly. In such a situation the choice of one project is not unequivocal. While taking similar decisions, various approaches are used: probabilistic, fuzzy, and recently more and more often the robust one. The robust approach an approach which assures us that we will choose a fair project, no matter what its actual parameters will be (which will become known only in the future). In the robust approach various criteria are applied, most often the criterion of the worst scenario and the one of the smallest regret. It is these criteria that we apply here to the choice of investment projects. For both criteria we give an exact algorithm, allowing to determine the best project in the respect to the respective criterion. The algorithm is good from the computational point of view also for a big number of projects, from among which we are to choose one, because it is based on the well known simplex algorithm. We illustrate our approach with a numerical example. It shows that both criteria may give different solutions, thus the method proposed here does not an unequivocal answer. However, when we analyze both solutions we notice that it is precisely both criteria together that can distinguish a set of those projects which are the best ones. The decision maker can choose from this heavily reduced projects group one project, using non-quantitative criteria (often political ones), which exist in each decision situation, but which are difficult to include in the general model.