Bir yatırım kararı destek modeli için analitik hiyerarşi yaklaşımı
An Analytical hierarchy approach to an investment desision support model
- Tez No: 66786
- Danışmanlar: YRD. DOÇ. DR. DEMET BAYRAKTAR
- Tez Türü: Yüksek Lisans
- Konular: Mühendislik Bilimleri, İşletme, Engineering Sciences, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1997
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Fen Bilimleri Enstitüsü
- Ana Bilim Dalı: İşletme Mühendisliği Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 93
Özet
ÖZET Bu çalışma, yapılacak olan bir yatının karan için parasal olmayan faktörleri de gözönünde bulunduran bir karar destek sisteminin oluşturulmasını ve çözümlenmesini içermektedir. Çalışmada, genelde parasal ifadelerle değerlendirilen projeler yerine parasal olmayan kriteler yardımı ile projenin değerlendirilmesi yoluna gidilmiştir. Birinci bölümde; bir çok amaçlı karar verme modeli çözüm yöntemi olan“Analitik Hiyerarşi Yöntemi”ana hatları ile verilmiştir. Modelin oluşumunu sağlayan hiyerarşik yapının oluşturulması, seçeneklerin önceliklendirilmesi ve modelin çözüm aşamaları ayrıntıları ile verilmiş, çözüm ve ikili karşılaştırmalar sırasında dikkat edilmesi gereken hususlar belirtilmiştir. İkinci bölümde; çalışmanın amacını oluşturan, yatırım karan analizi genel hatları ile incelenmiştir. Zaten faaliyette olan bir tesise yapılacak olan yatırımı içeren bu çalışmada, yatırım karan analizinin tüm adımlan uygulanmamıştır. Yeni yatırım süreci için gerekli olabilecek ön bilgiler verilerek yatırım projesi değerlendirme metotları üzerinde durulmuştur. Üçüncü bölümde uygulama yer almaktadır, özelleştirme kapsamına alınan bazı termik santralların işletme devir hakkının alınması problemi, birçok alternatif arasından ve birçok kriter dikkate alınarak ortaya konan bir çok amaçlı karar verme modeli haline getirilmiş ve elde edilen veri seti ikili karşılaştırmalar halinde analitik hiyerarşi yöntemi kullanılarak çözümlenmiştir. Yapılan duyarlılık analizleri ile kriterlerin sonuç üzerindeki etkileri incelenmiş ve gerekli değerlendirmeler yapılmıştır. vuı
Özet (Çeviri)
SUMMARY Subject : An Analytical Hierarchy Approach to an Investment Decision Support Model Decision theory deals with situations in which one or more actors must make choices among given alternatives. Decision theory is based on an assumption that each choices entails consequences called outcomes and that each of the actors making the decisions has prefences for different outcomes. It is not assumed that an actor necessarily has full knowledge of just what those consequences will be, but it is assumed that an actor envisages at least some of them. The extent and a precision of an actors knowledge of the consequences is specified in a particular model of a decision situation [1]. In multi-objective decision theory an actor or a player may pursue several objectives simultaneously. His payoffs are represented by vectors whose components reflects the degrees to which he has attained each of the objective. It is generally assumed that an actor faced with a multi-objective problem will weigh the advantages and dis advantages of each alternative in relation to each of the objective and somehow balance them against each other. Even if numerical measures could be designed for each of the criterion, weighing each of the quantities against the others may not be a simple matter. An investment decision model can be considered as a multi-objective decision problem as it involves more than one criterion and probably more than one alternative [2]. For most of our lives, we will be earning and spending money. Rarely though, will our current money income exactly balance our consumption desires. At the same point we may have more money than we want to spend, at others we may want to purchase more than we can afford. These imbalances will usually lead us to either negative or positive saving in order to maximize the benefits from our income. An investment can be defined as the“current commitment of funds for a period of time in order to derive a future flow funds that will compensate the investing unit for IXthe time funds are committed for the expected rate of inflation and for the uncertainty involved in the future flow of funds.”As stated above, investment consists of two main approaches, rate of return and risk. Also investment can be defined as“transfering of the unconsumed part of the produced and imported goods in a country in a period to the subsequent periods. This encompasses all types of investments, whether they be coporate in flood control or investments by individuals in stocks, bonds, commodities or real estates. As already mentioned, the return on an investment influenced by the uncertainty or risk involved. The purpose of investing is to defer consumption and thereby add to our wealth so that it will be possible to consume more in the future. Therefore, when we talk about a return on an investment, we are concerned with the increase in wealth resulting from this investment. Risk is thought of as uncertainty regarding the expected rate of return from an investment [3]. There appears to be a direct correlation between return and risk; that is higher the return the higher the risk. Therefore, the investor should attempt to keep the risk associated with the return propotional. Not all securities with a given level of return have the same degree of risk. Theoretically, cash has a opportunity cost: by holding the cash, investor forego the opportunity to earn a return on that cash. Furthermore, in an inflationary environment, the purchasing power of cash diminishes, with high rates of inflation bringing a relatively rapid decline in purchasing power. In investments, it is critical to distinguish between an expected return and relaized return. What investors actually earn from their holding may turn out to be more or less than what they expected to earn. This point is the essence of the investment process: investors must always consider the risk involved in investing [4]. Investors would like their returns to be as large as possible, however this objective is subjected to constraints, primarily risk. Risk is defined as the chance that the actual return on an investment will be different from it is expected return. In economics, in general, and investments in particular, the standard assumption is that the investors are rational to the risk. It is easy to say that the investors dislike risk but we should be more precise and say that investors averse.The time period is an important part of the definition of investment. The time period chosen is a function of the investor's expectations. The investor usually selects a time period and return that meets the expectation of return and risk. Before the investment decision model is constructed, the investor first agree upon the goal, or possibly combination of goals of the firm. Mostly it is assumed that the goal of any firm is to create as much wealth as possible for its shareholders. Given the objective, any financing or investment decision expected to improve the value of shareholder's stake in the firm is acceptable. Emprically, managers are more interested in profitability than in wealth creation. For that purpose, the most important part of investment decision model is the ”evaluation of the project“ step. Managers should turn their attention to the issue of how wealth should be measured. To do this they have to consider;. the meaning of ”wealth“ and the important role it plays in the decision making process,. the time value of money which underlines the discounted cash flow concept,. the application of the net present value investment decision rule. As mentioned before, the main problem of an investment decision problem is to identify the net present value or the profitability of the project. For that reason, there are several criteria that are used by the investors such as NPV methods, Internal Rate of Return of Payback Period. In this study, both some of the these finacial factors and some other non-financial factors has taken into consideration while evaluating the project. This caused a multi- objective decision making problem to occur and the project has been solved şn the principals of multi-objective decision making theory. Analitic Hiearchy Process is a commonly used solution techniqie for solving any multi-objective decision making problem. Analitic Hiearchy Process is a theory of measurement concerned with dominance priorities from paired comparisions of homogeneous elements with respect to a common criterion or attitude. The Analitic Hiearchy Process emphasizes the use of eleborate structures to represent a decision project. To use this method efficiently, investor firstly should construct a hiearchy that will represent the decision strategy exactly. A hiearchy is a structure used to represent the simplest type of functional dependence of one level or XIcomponent of a system on another in a sequential manner [5]. By this way it will be convenient to decompose a complex problem in search of cause-effect explanations in steps which form a linear chain. After the hiearchy of the criteria has been constructed, all the criteria should be weighted. This step can be made either with a questionaire or with investor's experiences. Before this step, investor should identify the scale that will the weightened values be evaluated. A decision theory needs to justify the way it elicits judgements, converts them to numbers, and produces an overall answer that belongs to one of the scales. Widely used scales are ordinal scale, interval scale ratio scale and absolute scales. In analitic hiearchy process generally the scale 1-9 is being used where 1 emphasize the equal priorities and 9 emphasize the strongest priorities. In this study an interval scale is been used by the investor according to the numerical responses of the judgements. After the scale has been selected, all the judged values which are all for the same criterion are compared for all alternatives. By this way, there will be some matrices that are consists of relative priorities of alternatives. After all the matrices have been established those matrices will be run with a software and the model will be solved. According to the investors wishes some sensitivity analysis could be made to see the behavior of the model to different values of relative priorities [6]. In this study; the introduction has been given as the first chapter. The importance of any decision problem has mentioned and the philosophy of the decision theory has been given in this part. In the second chapter, the main concepts and the critical points of Analitic Hiearchy Process has been given. The main rules have been given for constucting a hiearchy, scaling the datas, preparing the pairwise comparision matrices and solving the model. The main aspects of analitic hierarchy process such as inconsistency and eigenvalue are also been given. The importance of inconsistency, the methods to determine the inconsistency and eigenvalue are also given. In the third chapter, the aim of the study ”Investment Decision" has been given. All the main aspects of investment process such as return, risk and ther time period factors are all mentioned and all the factors that effects the investment are identified. Additionally, a very general look to the investment process has been given. A theoretical investment process is defined and the most important project evaluating methods are given. XllThe implementation project has been given in the fourth chapter. As an implementation project, an investment project selection concept has taken into consideration. The aim of the investment project is to select the most proper central located in the different regions of Turkey which are Manisa, Zonguldak, Bursa, Kırklareli and Istanbul. The decision model has been established with respect to three basic criteria which are consists of some additional sub-criteria. As there are more than one criterion and there are various alternatives, the decision problem has become as a multi-objective decision making problem. As a solution technique analitic hierarchy process has been selected since the process considers all the effects of all criteria on the objective. In addition to this, analitic hierarchy process permits all criteria to be presented as a hierarchy and this causes an important advantage to the decision maker. After the solution method is chosen, the hierarchical structure of the decision model has been constructed. In the second step; the scale which the judged values be evaluated has determined and all the numerical datas are collected from Electrical Stastistics Manual published by Turkish Electricity Association. After that, all the criteria have been weighed and than all of the judged data are run with a computer program called EXPERT CHOICE and the model has been solved. As mentioned before, risk and uncertainty are the main factors that effects the decision. In evaluating any project selection modal, decision maker should estimate appropriate values for the selected criteria for the whole modal. After evaluating the project by estimated values, the calculated solution should be judged with respect to the the criteria and the values estimated. Mostly after the project had evaluated, decision maker changes the values of the factors that effects the solution and observes what the new solution becomes. This shows that the amount the solutions' sensitivity to the basic factors that are determined. In this study, after the modal has been solved the weighs of the three basic criteria has been changed and the response of the modal has observed. The response of the solution showed that the solution is in-sensitive for two of the basic criteria while the modal is sensitive for one of the three basic criteria. By the help of this sensitivity analysis some conclusions and suggestions are also made. X1U
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