Using preference theory to value mineral projects in Monte Carlo simulation
Gospodarka Surowcami Mineralnymi – Mineral Resources Management 2006;22(Zeszyt specjalny 1):65-75
KEYWORDS
ABSTRACT
Monte Carlo simulation is a computational method which takes into account uncertainty of input parameter. Among many possible applications, the method is used in economic evaluation of mining projects (DCF technique). The probability distributions, used inMonte Carlo simulation, reflect the uncertainty of some variables and risk incorporated in project analysis. That's why the risk component in a risk-adjusted discount rate decreases in proportion to the amount of risk expressed in the probabilistic range of input values - if all risks are totally incorporated, a riskless discount rate must be used. Because of this fact, there is a misunderstanding about the project's value in Monte Carlo simulation. The paper presents the preference theory concepts which apply particularly well to mineral project valuation and are especially useful for Monte Carlo simulation outcomes.
METADATA IN OTHER LANGUAGES:
Polish
Wykorzystanie teorii preferencji do wyceny wartości przedsięwzięcia górniczego kalkulowanego za pomocą symulacji Monte Carlo
górnicze projekty inwestycyjne, symulacja Monte Carlo, wycena projektu, teoria preferencji, ekwiwalent pewności
Jedną ze stosowanych współcześnie metod analizy ryzyka jest wykorzystywanie w arkuszu zdyskontowanych przepływów pieniężnych symulacji Monte Carlo. W myśl teorii, w przypadku przedstawienia wszystkich niepewnych zmiennych wejściowych pod postaciami rozkładów prawdopodobieństwa, powinno się zastosować stopę dyskontową 'wolną od ryzyka'. Powoduje to nieporozumienia w kontekście wartości projektu, gdyż takie postępowanie prowadzi do jej zawyżenia. Artykuł pokazuje, iż problem doboru stopy dyskontowej w symulacji Monte Carlo znajduje swe rozstrzygnięcie w tzw. teorii preferencji.
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| eISSN: | 2299-2324 |
| ISSN: | 0860-0953 |
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