Assessment of investment risk in implementing enterprise procurement plan

Authors

DOI:

https://doi.org/10.15587/1729-4061.2014.23393

Keywords:

investment risk, decision-making, procurement plan

Abstract

The problem of assessing the risk, arising from implementing the enterprise procurement plan is considered in the paper. The task of forming the procurement plan is reduced to solving a non-trivial problem of rational allocation of total investment between private investment projects, which together determine the selected procurement strategy.

This problem is formulated as an optimization problem of mathematical programming with nonlinear separable objective function and linear constraints. The allocation efficiency criterion is profit, expected from implementing the procurement plan.

The real difficulty in solving this problem is that the parameters of the objective function are random variables. Therefore, for any allocation of investment funds, which satisfies the constraints, the allocation efficiency criterion value also becomes random. In this connection, there is a specific problem of estimating the uncertainty level of the result of funds allocation between investment projects and the risk of possible solutions.

The problem is solved as follows. First, statistical estimation of probability-theoretic characteristics of the objective function parameters is performed. Furthermore, by expanding the target function in a series, its linearization is made. After that, the calculation of the mathematical expectation and variance of a random value of the criterion is conducted that allows to determine interval estimates of the expected value of the profit, expected from implementing the selected procurement plan.

It is clear that the obtained plan efficiency estimates are more informative than point and can be used when selecting the rational investment plan

Author Biography

Татьяна Игоревна Каткова, Berdyansk University of Management and Business Svobody, 117, Berdyansk, Ukraine, 71100

PhD. ped. sciences, docent

Chair of Mathematics and Mathematical Methods

References

  1. Зуб, А. Т. Стратегический менеджмент: теория и практика [Текст] / А. Т. Зуб. – М. : Аспект Пресс, 2002. – 415 с.
  2. Алексеева, М. М. Планирование деятельности фирмы [Текст] / М. М. Алексеева. – М. : Финансы и статистика, 2000. – 296 с.
  3. Бухалков, М. Н. Внутрифирменное планирование [Текст] / М. Н. Бухалков. – М. : ИНФРА, 2003. – 314 с.
  4. Hyman, D. Modern Microeconomics. Analysis and Applications [Text] / D. Hyman. – Boston, IRWIN, Homewood, 1998. – 689 p.
  5. Van Horne, J. C. Fundamentals of Financial Management [Text] / J. C. Van Horne, J. M. Wachowicz Jr. NJ : Prentice Hall, 2008. – 760 p.
  6. Gordon, A. Fundamentals of Investment [Text] / A. Gordon, W. Sharpe, J. Bailey. – NJ : Prentice Hall, 2001. – 196 p.
  7. Van Fleet, D. D. Contemporary Management [Text] / D. D. Van Fleet. – Boston, Houghton mifflin company, 1991. – 679 p.
  8. Замков, О. О. Математические методы в экономике [Текст] / О. О. Замков, А. В. Толстопятенко, Ю. Н. Черемных. – М. : МГУ, изд. «ДИС», 1998. – 368 с.
  9. Кобец, Е. А. Планирование на предприятии [Текст] / Е. А. Кобец. – Таганрог : Изд. ТРТУ, 2006. – 232 с.
  10. Новицкий, Н. И. Организация, планирование и управление производством [Текст] / Н. И. Новицкий, В. П. Пашута. – М. : Статистика, 2006. – 342 с.
  11. Ben, H. Total Risk, Diversifiable Risk and Nondiversifiable Risk [Text] / H. Ben, H. Levy // Journal of Financial and Quantitative Analysis. – 1980. № 15. – P. 289–297.
  12. Вентцель, Е. С. Теория вероятностей [Text] / Е. С. Вентцель. –М. : ГИФМЛ, 1962. – 564 с.
  13. Гихман, И. Т. Теория вероятностей и математическая статистика [Текст] / И. И. Гихман, А. В. Скороход, М. И. Ядренко. – К. : Вища школа, 1979. – 408 с.
  14. Cramer, H. Mathematical methods of statistics [Text] / H. Cramer. – Princeton, Princeton University Press, 1951. – 416 p.
  15. Zub, A. T. (2002). Strategicheskij menedzhment: teorija i praktika. Aspekt Press, 415.
  16. Alekseeva, M. M. (2000). Planirovanie dejatel’nosti firmy. Finansy I statistika, 296.
  17. Buhalkov, M. N. (2003). Vnutrifirmennoe planirovanie. INFRA, 314.
  18. Hyman, D. (1998). Modern Microeconomics. Analysis and Applications. Boston, IRWIN, Homewood, 689.
  19. Van Horne, J. C., Wachowicz Jr., J. M. (2008). Fundamentals of Financial Management. NJ : Prentice Hall, 760.
  20. Gordon, A., Sharpe, W., Bailey, J. (2001). Fundamentals of Investment. NJ : Prentice Hall, 196.
  21. Van Fleet, D. D. (1991). Contemporary Management. Boston, Houghton mifflin company, 679.
  22. Zamkov, O. O., Tolstopjatenko, A. V., Cheremnyh, Ju. N. (1998). Matematicheskie metody v jekonomike, «DIS», 368.
  23. Kobec, E. A. (2006). Planirovanie na predprijatii. Taganrog : Izd. TRTU, 232.
  24. Novickij, N. I., Pashuta, V. P. (2006). Organizacija, planirovanie I upravlenie proizvodstvom. Statistika, 342.
  25. Ben, H., Levy, H. (1980). Total Risk, Diversifiable Risk and Nondiversifiable Risk. Journal of Financial and Quantitative Analysis, 15, 289–297.
  26. Ventcel’, E. S. (1962). Teorija verojatnostej. GIFML, 564.
  27. Gihman, I. T., Skorohod, A. V., Jadrenko M. I. (1979). Teorija verojatnostej i matematicheskaja statistika. Vishha shkola, 408.
  28. Cramer, H. (1951). Mathematical methods of statistics. Princeton, Princeton University Press, 416.

Downloads

Published

2014-04-09

How to Cite

Каткова, Т. И. (2014). Assessment of investment risk in implementing enterprise procurement plan. Eastern-European Journal of Enterprise Technologies, 2(4(68), 60–64. https://doi.org/10.15587/1729-4061.2014.23393

Issue

Vol. 2 No. 4(68) (2014): Mathematics and Cybernetics - applied aspects

Section

Mathematics and Cybernetics - applied aspects

License

Copyright (c) 2014 Татьяна Игоревна Каткова

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

The consolidation and conditions for the transfer of copyright (identification of authorship) is carried out in the License Agreement. In particular, the authors reserve the right to the authorship of their manuscript and transfer the first publication of this work to the journal under the terms of the Creative Commons CC BY license. At the same time, they have the right to conclude on their own additional agreements concerning the non-exclusive distribution of the work in the form in which it was published by this journal, but provided that the link to the first publication of the article in this journal is preserved.

A license agreement is a document in which the author warrants that he/she owns all copyright for the work (manuscript, article, etc.).
The authors, signing the License Agreement with TECHNOLOGY CENTER PC, have all rights to the further use of their work, provided that they link to our edition in which the work was published.
According to the terms of the License Agreement, the Publisher TECHNOLOGY CENTER PC does not take away your copyrights and receives permission from the authors to use and dissemination of the publication through the world's scientific resources (own electronic resources, scientometric databases, repositories, libraries, etc.).
In the absence of a signed License Agreement or in the absence of this agreement of identifiers allowing to identify the identity of the author, the editors have no right to work with the manuscript.
It is important to remember that there is another type of agreement between authors and publishers – when copyright is transferred from the authors to the publisher. In this case, the authors lose ownership of their work and may not use it in any way.