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Title: Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates
Authors: Yousefi, Vahidreza
Yakhchali, Siamak Haji
Tamošaitienė, Jolanta
Keywords: project duration
convexity
discount rate risk
reinvestment risk
risk measures
monte carlo simulation
Issue Date: 2019
Publisher: MDPI
Citation: Yousefi, V.; Yakhchali, S.H.; Tamošaitienė, J. Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates. Adm. Sci. 2019, 9, 13.
Series/Report no.: 9;1
Abstract: In this research, the concept of Duration with a new application in project management has been defined. The Duration of each project provides the project manager with a combined measure containing concepts of return, cost and time of the project. Further in this article, the changes in project return, based on different assumptions such as discount rate, have been examined. To examine the effect of the changes in these factors, the Monte Carlo simulation has been used. The relationship between these factors is nonlinear which reflects the great importance of investment on appropriate risk management systems. The data from a set of construction projects have been used in order to verify the results of this study. Similar relationships can be expected to exist in other industries as well.
Description: This article belongs to the Special Issue Rational Decision Making in Risk Management
URI: http://dspace.vgtu.lt/handle/1/3906
ISSN: 2076-3387
Appears in Collections:Moksliniai straipsniai / Research articles

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