Metoda wyboru efektywnych portfeli przedsięwzięć inwestycyjnych

• Authors: Bogdan RĘBIASZ

Title variants

EN

A method for selecting an effective investment project portfolio

• Languages of publication: PL

Abstracts

PL

W artykule przedstawiono nową metodę wyboru efektywnych portfeli przedsięwzięć inwestycyjnych. Problem wyboru portfeli sformułowano w postaci zadania optymalizacji wielokryterialnej. Opracowany algorytm umożliwia poszukiwanie niezdominowanych portfeli przedsięwzięć inwestycyjnych. Kryteriami wyboru są: maksymalizacja wartości oczekiwanej NPV i minimalizacja semiodchylenia standardowego NPV portfela. Metoda umożliwia wybór portfeli przy uwzględnieniu zależności statystycznych i ekonomicznych pomiędzy przedsięwzięciami inwestycyjnymi. Jest ona dostosowana do przedsiębiorstw o wieloetapowym cyklu produkcji, na przykład przedsiębiorstwa przemysłu metalurgicznego czy chemicznego.

EN

A new algorithm for selecting an effective investment project portfolio from a collection of projects developed by a company has been presented in this paper. The problem of selecting an investment project was formulated as multi-objective optimization problem. The algorithm is suited for enterprises with multistage production cycles, e.g. enterprises in the metallurgical or chemical industry. During the selection process the method takes into account statistical and economic interdependencies existing among projects. Upon choosing projects the algorithm takes into account twp criteria: maximization of the expected NPV and minimization of project portfolio risk. A company may develop an effective investment project portfolio for a few years ahead. The algorithm makes it possible to search for Pareto optimal solutions. It links computer simulation methods with a genetic algorithm and standard procedure for linear optimization. An example of the use of the algorithm for selecting projects in the metallurgical industry is presented.

Keywords

PL

programowanie matematyczne; wybór efektywnych portfeli inwestycji; ryzyko; symulacje

EN

mathematical programming; portfolio selection; risk; simulation

• Publisher: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
• Journal: Operations Research and Decisions
• Year: 2009
• Volume: 19
• Issue: 3
• Pages: 95-117

Contributors

author

Bogdan RĘBIASZ

• Wydział Zarządzania, Akademia Górniczo-Hutnicza, ul. Gramatyka 10, 30-067 Kraków, Polska

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