Abstract

of master's work:
"Modelling of acceptance of investment decisions in conditions of uncertainty"

Author Zaytseva A.

Scientific adviser: ph.d. of technical science
Dmitrieva Olga Anatolyevna

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::Urgency of a theme. The purposes and problems::

Investment activity in modern conditions is a fundamental factor of development and stability of economy. Investments into expansion and modernization of production capacity are conductive to production efficiency increase, provide accumulation of turnaround means, and act as the main element of cumulative charges, influence volume, structure of the updated manufacture, a supply and demand, employment of the population and another. But at the same time, misallocation leads to freezing of all kinds of manufacturing resources and reduction of volumes of national manufacture and as consequence to degradation and loss of economic security.

In modern economy’s conditions a question of research of problems of investment as a whole and planning of investments in particular are insufficiently developed in a domestic economic science. This modern conditions of economic development testify to processes of dynamic integration which accompany with becoming and development of global economic system and concentration of the capital, a capital intensity of scientific researches and so on are characterized by high rates of annual changes of such macroeconomic parameters, as growth of volumes of world production, world trade, foreign investments. For the managing subject it means fast change of the external and internal environment and necessity of adaptation on the basis of investment policy with the purpose of steady development. Use of the mathematical device for modelling investment process and policy promotes increase of efficiency of investment decisions. That, in turn, provides to the managing subject increase in rate of development, such necessary for stable position in the market among competitors.

For today practically before each businessman the problem of investment costs sharply enough. It is obvious, in fact any business, whether it be manufacture or sphere of services, demands investments in the development. Despite of some positive tendencies in investment activity of the industrial enterprises for last years, efficiency of investments remains low. It puts forward especial requirements to formation of investment policy of the enterprises, a choice of investment projects and the organizations of investment processes. From that, the investment policy is how much rationally generated, stability and efficiency of activity of the industrial enterprises depend. It induces to consider perfection of investment decisions as one of the important tasks which face to an economic science and practice. Sharp necessity for perfection of process of acceptance of investment decisions and absence necessary for this scientifically methodical maintenance, testify to a urgency of a theme of research of work.

Many works devoted to theoretical researches in the field of development and a substantiation of use of investment programs in conditions of developed market attitudes, do not consider feature of a transition period and a modern condition of the Ukrainian economy. Therefore actual the problem of development of economic-mathematical models of investment programs of the enterprises and the industrial complexes, defining developments of market attitudes and stability of the Ukrainian economy is represented.

The purpose of work - development of the most adequate model of process of acceptance of investment decisions in conditions of uncertainty on the basis of the theory of indistinct sets. Achievement of an object in view has defined necessity of the decision of following tasks:
- revealing of features of process of acceptance of investment decisions in modern conditions;
- research of traditional approaches to acceptance of investment decisions in conditions of uncertainty;
- the analysis of existing methods of an estimation of efficiency of the investment project and revealing of the most perspective methods for practical use;
- studying of the theory of indistinct sets, revealing of such aspects which allow to consider most effectively uncertainty of investment.

::The review of existing researches::

Works of A.Abel, L.Alvares, V.I.Arkin, I.T.Balabanov, V.M.Granaturov, A.V.Grachev, M.V.Gracheva, P.G.Grabovoy, A.K.Diksit, A.M.Dubrov, D.Zigel, V.A.Kardash, R.M.Kachalov, G.B.Klejner, V.N.Kochetkov, B.A.Lagoshi, M.G.Lapusta, R.Makdonald, V.A.Perepelitsa, R.S.Pindajk, E.V.Popova, K.Redhed, A.D.Slastnikov, V.L.Tambovtsev, L.Trigeorgis, N.V.Hohlov, E.J.Hrustalev, S.Hjus and V.Shapiro are devoted to economic essence and an estimation of risks of real investment projects, methods of a substantiation of administrative decisions in conditions of risk and uncertainty.

At the same time, questions of influence on investment decisions of the uncertainty connected with casual fluctuations of demand for planned output and resources, and also uncertainty of the tax environment in which the enterprise will function are insufficiently studied. In the situations demanding acceptance of strategic decisions, in addition there is a uncertainty connected with behaviour of potential competitors which have an opportunity to invest in the similar project. The decision of these problems demands development of adequate economic-mathematical models of investment decisions in conditions of uncertainty and a competition at various degrees of market authority, as has defined a theme and statement of problems of dissertational research.

::Scientific novelty::

Scientific novelty of research consists in the following:
- the urgency of application of mathematical modelling is proved by development of investment programs of the industrial enterprises;
- the choice of the theory of indistinct sets for creation of model of acceptance of investment decisions is proved;
- the mathematical model is developed, allowing to consider uncertainty at acceptance of investment decisions.

Theoretical conclusions and recommendations of dissertational research can be used for perfection of methods of a substantiation, development and realization of investment programs at the enterprises, increase of efficiency of administrative decisions by their development. Methodological development, can find application at introduction of investment programs at the separate enterprises or industrial complexes.

Substantive provisions, generalizations and conclusions of the dissertation can form a theoretical and practical basis by development of effective strategy of management by investment process in the Ukrainian companies.

::The basic idea of work::

In the work process of investment in the industrial enterprises with a different pattern of ownership is considered. The greatest attention is given not to greater enterprises and not firms which concern to small business, namely to those enterprises which take of an average position between above-stated. It speaks what the enterprises of the average size play the major role in a national economy.

For disclosing a theme it is necessary to specify, which investments are considered in research work and why. The basis of investment activity of the enterprise is made with real investment. On the majority of the enterprises this investment is a unique direction of investment activity in modern conditions. It defines a high role of management of real investments into system of investment activity of the enterprise.

Decision-making of investment character, as well as any other kind of administrative activity, is based on use of the different formalized and not formalized methods and criteria. In a domestic and foreign practice a lot of the formalized methods by means of which calculations can form a basis for decision-making in the field of investment policy is known. Any universal method, suitable for all cases of a life, does not exist. Possibly, management nevertheless in a greater degree is art, than a science. However, having some estimations received by formalized methods, let even in the certain degree conditional, it is easy to make final decisions.

Practice of carrying out real прогнозных calculations of the investment project testifies to necessity of the all-round account of different kinds of uncertainty at an estimation, planning and management of investment projects. The validity is those, that influence of factors of uncertainty on the project leads to occurrence of unforeseen situations which lead to unexpected losses, to losses, even in those projects which all over again are recognized economically expedient for the enterprise as the negative scripts of succession of events not considered in the investment project can take place and break its realization. The account of uncertainty of the information and its efficiency directly depend on a choice of the mathematical device defined by the mathematical theory. The stage of a substantiation and choice of the mathematical device which provides comprehensible formalization of uncertainty and the adequate decision of tasks which arise at management of real investments, are very important. Unreasonable and as, consequence, not the correct choice of the mathematical device, basically, leads to inadequacy of the created mathematical models, to reception of incorrect results during their application.

Experience of domestic and foreign researchers convincingly testifies that the likelihood approach cannot be recognized by the reliable and adequate tool of the decision of poorly structured problems to which problems of management of real investments belong also. Basically, any attempt of use of statistical methods for the decision of such problems is not that other as a reduction to well structured (well formalized) problems, at this such reduction essentially deforms initial statement of a problem. In opinion of the author, restriction and lacks of application of "classical" formal methods at the decision is weak структурованих tasks is consequence formulated by the founder of the theory of indistinct sets L.A.back " a principle of incompatibility ":"... The more close we approach to the decision of problems of the real world, the more obviously, that at increase in complexity of system our ability to do the exact and confident conclusions about its behaviour decrease to the certain threshold behind which accuracy and confidence become almost mutually exclusive concepts ". Therefore some foreign and domestic researchers develop methods of an estimation of efficiency of investment projects on the basis of the device of the theory of indistinct sets. In the given methods instead of division of reliability division of an opportunity which is described by function of an accessory of indistinct number is applied.

The basic idea of work is that at use of indistinct numbers to the forecast of parameters of investment on behalf of, making a decision, it is required to not form dot likelihood estimations, and to set a settlement corridor of values of predicted parameters. Then the expected effect is estimated by the expert the same as indistinct number with the settlement disorder (a degree of an illegibility). Here there are engineering advantages of the method based on illegibilities, since the researcher operates not with indirect estimations (where we carry also probabilities), and direct design data about disorder of parameters.

Let's consider the basic idea on an example of an estimation of risk of investments. On picture 1 functions of an accessory are presented - Pure current cost and value of criterion. The investment project admits effective, when NPV more than certain design level G (the most widespread case G = 0).

Picture 1. Functions of an accessory NPV and G

Point of crossing of these two functions of an accessory is the point with ordinate a ₁. Let's choose an any level of an accessory a and shall define corresponding intervals [NPV₁, NPV₂]and [G₁, G₂]. При a > a ₁ NPV₁ > G₂, Intervals are not crossed, and confidence that the project is effective, absolute, therefore the degree of risk of an inefficiency of investments is equal to zero. A level a ₁ pertinently to name the top border of a zone of risk. При 0 £ a £ a ₁ Intervals are crossed. In figure 2 the shaded zone of inefficient investments limited by straight lines is shown G = G₁, G = G₂, NPV = NPV₁, NPV = NPV₂ And a bisector of a coordinate corner G = NPV.

Mutual parities of parameters G_1,2 and NPV₁,2 give following calculation for the area of the shaded flat figure:

As all realizations (NPV, G) at the set level of an accessory a are equally possible, a degree of risk of an inefficiency of the project j (a ) There is a geometrical probability of event of hit of a point (NPV, G) in a zone of inefficient investments:

where Sa is estimated under the above-stated formula.

Thus considering the idea described above, in work the mathematical model of investments which will consider various kinds of uncertainty will be developed.

::Results of work*::

The approach based on illegibilities, overcomes the lacks of likelihood and minimax approaches connected in view of uncertainty. First, here the full spectrum of possible scripts of investment process is formed. Secondly, the decision is accepted not on the basis of two estimations of efficiency of the project, and on all set of estimations. Thirdly, expected efficiency of the project is not a dot parameter, and the field of interval values with the distribution of the expectations, described function of an accessory of corresponding indistinct number represents. And the weighed full set of expectations allows to estimate an integrated measure of expectation of negative results of investment process (a degree of investment risk).

In dissertational work aspects of an estimation of risk and uncertainty are studied at acceptance of investment decisions. Attempt of ordering of methodology of acceptance of investment decisions in conditions of risk and uncertainty and in view of strategic restrictions is undertaken. Are offered additional and existing tools and parameters of an estimation of risk and the uncertainty are specified, allowing to model acceptance of investment decisions of economic subjects in conditions of instability of their external and internal environment more precisely.

* - The abstract has survey character and is not the full version магистерской dissertations since continuation of work above the dissertation during an autumn semester is planned 2008 г.

::The literature::

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