Yatırım Projelerinin Net Bugünkü Riske Maruz Değer Göstergesi Kullanılarak Karşılaştırılması

Abstract

The aim of this study is to compare and choose the most appropriate project among investment projects giving similar results in terms of the evaluation criteria such as investment amount, NPV, IRR (Internal Rate of Return), PI (Profitability Index), Payback Period (PP) etc., by using Net Present Value-at-Risk (NPV-at-Risk) parameter. For that purpose, in addition to the basic project evaluation criteria, the NPV-at-Risk values are calculated for a number of hypothetical investment projects, for which random numbers for uncertainty factors such as amount of demand and variable costs are generated via Monte Carlo simulation. VaR values received from yearly changes in simulated cash flows are used to calculate NPV-at-Risk for different confidence levels. Finally, bubble diagram is sketched to visualize and compare the projects in terms of their NPV-at-Risk (NPV@R), size of the investments and Expected NPV (E[NPV]).