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2011, vol. 6, br. 2, str. 269-282
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Primenjivi model za ocenu investicionih projekata zasnovan na metodologiji realnih opcija
Applicative model for appraisal of investment projects based on real options methodology
Sažetak
Ovaj rad se bavi primenom metodologije realnih opcija pri evaluaciji investicionih projekata. Osnovni cilj rada je da prezentuje primenjivi model evaluacije projekata, koji omogućuje donosiocima odluka da sprovedu konvencionalnu analizu neto sadašnje vrednosti, uvođenjem ključnih ulaznih varijabli po metodi slučajnog izbora. U te svrhe, upotrebljena je Monte Karlo simulacija, menadžerska fleksibilnost, kao i definisanje pravila uzročnik - posledica. Nasuprot većini metoda evaluacije koje se mogu naći u literaturi, model koji je ovde predstavljen prihvata jednostavnu premisu da je vrednost projekta unapred nepoznata veličina. Vrednost projekta nije data samo iznosom neto sadašnje vrednosti, već i preko distribucije kumulativne verovatnoće.Finalna menadžerska odluka ne zasniva se samo na fiksnim pravilima odlučivanja, već i na njihovom odnosu prema rizicima, odnosno na jednostavnom balansu između rizika projekta i povraćaja investicije.
Abstract
This paper deals with the application of real options methodology on valuation of investment projects. The basic objective of the paper is to present applicative project valuation model, which enables decision-makers to build-up conventional NPV analysis by incorporating key input random variables, by using Monte Carlo simulation, and managerial flexibilities, by defining if-then decision rules. In contrast to most of valuation procedures covered in the literature, presented applicative model accepts simple premise that the project value is unknown in advance. Project value is not displayed with a single NPV number, but with the cumulative probability distribution. Final managerial decision does not depend on fixed decision rules, but on managerial aversion towards risk, i.e. on subjective trade-off between project risks and returns.
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