Yatırım projelerinin değerlendirilmesinde çok ölçütlü yöntemler

Kahraman, Cengiz
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Fen Bilimleri Enstitüsü
Bu çalışmada yatırım projelerinin değerlendirilmesi ve seçenek ler içinde en uygununu saptamada kullanılan tek ve çok ölçütlü yön temler incelenmiştir. İkinci bölümde, yatırım kavramına ilişkin açıklamalar yapılmış, değerlendirme probleminin nitelikleri ortaya konmuştur. Yatırımları çeşitli sınıflandırma biçimleri, proje düzenlemesi ve uygulaması ile ilgili yönetim çalışmaları, risk ve belirsizlik durumunda değerlen dirme bu bölümde açıklanmıştır. Üçüncü bölümde, yatırım projelerinin değerlendirilmesinde kul lanılan tek ölçütlü deterministik yöntemler ve risk ve belirsizlik altında değerlendirme kriterleri üzerinde durulmuş ve örneklerle ko nuya açıklık kazandırılmaya çalışılmıştır. Bu bölümde yöntemlerin birbirlerine göre üstün veya zayıf yönleri anlatılmaya çalışılmıştır. Kar ve maliyeti bir ölçüt olarak kullanan tek ölçütlü yöntemler, değerlendirmede önemli olan diğer birçok faktörü gözönüne almamakta dır. Örneğin, bir otomobil satmalına kararında "emniyet" ölçütü, ağırlık, maksimum hız v.b. gibi sayısallaştırılabilir ölçütlerle ifade edilebilir. Dördüncü bölümde ise, çalışmanın esas konusu olan çok ölçütlü değerlendirme yöntemleri üzerinde durulmuştur. Bu yöntemlerden bugün en çok kullanılanı çok ölçütlü fayda modelleri olmaktadır. Fayda modelleri risk ve belirsizlik altında projelerin değerlendiril mesinde kullanılırken, daha sonra anlatılan ELECTRE yöntemi ise de terministik bir yaklaşım olarak değerlendirmede kullanılabilmekte dir. Geleceğin belirsizlik içermesi ve projelerin değerlendirilme sinde kullanılması gereken ölçütlerin birden fazla olması ' gereği dördüncü bölümde vurgulanmıştır. Bu bölümde verilen yöntemler ör neklerle ifade edilmişlerdir. Beşinci bölümde maksimum entropi yöntemi tanıtılmış, daha sonra bu yöntem ile çok ölçütlü bir model kurulmaya çalışılmıştır.
Capital budgeting decisions focus on choosing the best combination of investment projects. The large sums of money involved and the time dimension frequently make these decisions critical to a business' s financial picture. Risk in capital budgeting deals with the fact that it is impDsible to predict future cash flows exactly. Further, risk is a key concept in financial management, and it is generally compared to expected return. Several techniques are available to handle risk in capital budgeting. They include: 1. Informal approach 2. High, low and expected technique 3. Sensitivity analysis k. Risk-adjusted discount rates 5. Use of probability Risk in capital budgeting. is a difficult and controversial area. While opinions vary about measuring risk and the best method that could be used to deal with it, it is usually agreed that it should be considered in evaluating capital investment projects. Financial managers and managerial accountants are usually deeply involved in operational budgeting, both in developing the budget and in reporting subsequent performance. They are also involvied in capital budgeting and must be aware of factors that significantly affect both capital budgeting and decision making. Decisions involving capital budgeting are made as the need arises and involve relatively large sums of money, long periods of funds commitment, and uncertainty caused by the lenght of time involved. A faulty capital budgeting decision may result in bankruptcy, diffucult cash flow problems or, et the very least, a failure to optimize the operations of the firm. Most firms approach these decisions with gravity and constantly seek ways of improving the capital budgeting prosess. The return on investment used by most companies as the standard for evaluating capital projects is their cost of capital. A company's cost of capital represents the lowest amount it expects to earn on a project _ to be able to pay the cost of funds used to finance the project. The cost of capital is usually the composite cost of the sources of funds used by the company: VI 11 1. Long-term debt 2. Preferred stock 3. New stock offerings k. Retained earnings This basic rate is the lowest acceptable return to be used Dn projects having lower risk. When project cash flows involve higher degrees of business risk, company management normally requires higher rates Df return for capital investments. lühere cash flows or cost savings fall into certain risk categories, many companies have a schedule of threshold limits for approval of projects some projects have cash flows showing a mixture of low, moderate, and high risks. When decisions are made for optimal investments, the two most cammon techniques used are: 1. The net present value 2. The internal rate of return UJhen we say "Capital Rationing", it refers to the selection process which is used whenever the capital funds available for a projected budgeting period are less than the sum of the initial costs of all acceptable projects. There is a correct way to choose the preferred project, and there are several widely-used investment- ranking techniques that are in appropriate in this situation. The financial manager must consider each possible new project not only in combination with the firm's current activities, but also to incorporate the diversification implications into the analysis. Two projects may be equal in regard to present value and standart deviation, but when combined with other existing projects, the diversification provided by one of the projects will help to lower the overall risk factor. Quantification of the factors is desirable, but the financial manager should recognize the implications and at least make a qualitative analysis. Many organizations face the problem of selecting an optimal portfolio of investment projects/proposals. Available models dD not take into account the risk inherent in an uncertain investment project. A new strategy is proposed in which the information obtained by applying different criteria for ranking intependent investment proposals is used to find a set of numbers, one for each of the investment proposals. The criteria can be both qualitative and quantitative. In the first part of this study, the concept of investment has been mentioned. In this part, the classification of investments, investment decisions under risk and uncertainty contitions, management Df project arranging and applying have been mentioned. ix In thE second part, single criterion methods for evaluating im/Estment projects have been mentioned. Net present value, annual equivalent benefit-cost rate, internal rats of return methods have been Explained with examples. The comparisons among these methods have been mEntioned in this part. And some criteria which are used under risk and uncertainty have been explained shortly. Besides, how mathematical programming can be used for evaluation of investment projects has been explained. In' this part, inflation, the relation of inflation-interest, the effect of inflation on investments etc. have been mentioned. In the third part, multiple criteria (attributes) evaluation of projects has been explained. The necessity of evaluating projects by considering multiple criteria can be explained in that way: Although it is very useful to use cost or profit as a measure of desirability, many decisions between alternatives cannot be measured only in these terms. Must firms have other objectives such as customer service, good will, community reputation, job satisfaction safety, employment stability, etc. These factors, which cannot be expressed directly in cost or profit terms, often are called intangibles or yirreducibles. Even though a decision maker may have readily definable objectives, he might still have a significant problem defining the criteria (attributes or decision factors) by which the attainment of objectives can be measured. For example, the attainment of "safety" objective in an automobile purchase decision might be measured by such criteria as weight, maximum possible speed, and interior padding. The ultimate aim of the analyst, or dEcision-maker, with respect to multiple objectives and critEria, should be to use rational methods of evaluating them so that a single measure of value may be associated with each alternative in a decision problem. Techniques to achieve this -ultimate aim now far short of full development and widespread use in practice. This means that in most instances multiple objec tives/criteria must be evaluated by some process of judgment exercised by the decision-maker. Indeed, if his personal objectives differ from those of the firm, there may be little to prevents their inclusion in the decisions he maker. There are numerous methos which have been develope to facilitate analysis. Some of these in approximate order of increasing complexity and power: 1. Alternatives-objectives score card 2. Indifference curves 3. Ordinal scaling k. weighting factors 5. Weiphted evaluation of alternatives 6. Multi-criteria utility models Another multiple criteria (attributes) evaluation method is ELECTRE. This method is deterministic. Analyzing risky decisions by the use of measures which represent the degree of importance of various profits or losses can be performed by the use of utility functions. Multiple-Criteria Utility Models have been mentioned in the third part. Significant developments in the. theory and practice of using multi-criteria (e.g., multiple objectives, attributes, or factors) utility models have been summarized. When the analyst and the decision-maker are enough for the process, multi-criteria utility models are better than the other multi-criteria methods. Under risk and uncertainty conditions, utility models are preferred mere than the others which are determi nistic. This method has particular usefulness for analyzing projects in which the potential gain or loss is of significant size compared to the total funds available to the firm. More specifically, if the marginal utility or desirability of each unit of money potentially to be gained or lost is not a constant, then the utility of money rather than just amount of dollars is relevant, and then it may be worthwhile to use utility method rather than others. Utility method consists of determining the cardinal utility- e.g., relative degree of usefulness or desirability to the decision maker- of each of the possible outcomes Df a project or group of projects on some numerical scale and then calculating the value of utility to use as the measure of merit. The application of Utility method is based on the premise that it is possible tD measure the attitudes of an. individual or decision-maker toward risk. If the decision-maker is consistent with himself, then a relation between monetary gain or loss and the utility or relative desirability of that gain Dr loss can be obtained through the decision-maker's answers to a series of questions. In the third part, another method has been explained. ELECTRE is a deterministic approach. This approach has been explained with an example. This study has outlined some approaches to resolving the multiple objective, criterion, attribute, and/ or factor problem by having the decision-maker compare his alternatives on the basis of one factor at a time. Most such simple comparisons, judgments, or xi ratings generally are retatively easy to make. Then the decision maker or his analyst can combine these into an overall evaluation for each alternative. This should make the decision-maker more confident and ultimately make his job easier.. We must use analysis to ^accept as inputs simple judgment decisions well with in a decision-maker's experience and to logically extend the consequences of these inputs to situations not within his experience and easy intuition. The determination of what model(s) to use depends Dn the nature of the decision problem and the preferences of the decision- maker(s). While this determination is a very inexact science, it can be shown that the use of widely differing models will often have less effect on the probable quality of the solution than does the unintended deletion of possible outcomes, alternatives, or important criteria.
Tez (Yüksek Lisans) -- İstanbul Teknik Üniversitesi, Fen Bilimleri Enstitüsü, 1990
Anahtar kelimeler
Değerlendirme, Yatırım projeleri, Çok kriterli karar verme, Evaluation, Investment projects, Multi criteria decision making