期刊
SUSTAINABILITY
卷 13, 期 2, 页码 -出版社
MDPI
DOI: 10.3390/su13020855
关键词
portfolio optimization; extreme value theory; GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models; volatility clustering; distribution
Proper project selection is crucial for organizational success, involving evaluation of risks and returns and determination of relevant distributions.
Choosing proper projects has a great impact on organizational success. Firms have various factors for choosing projects based on their different objectives and strategies. The problem of optimization of projects' risks and returns is among the most prevalent issues in project portfolio selection. In order to optimize and select proper projects, the amount of projects' expected risks and returns must be evaluated correctly. Determining the relevant distribution is very important in achieving these expectations. In this research, various types of practical distributions were examined, and considering expected and realized risks, the effects of choosing the different distribution on estimation of risks on construction projects were studied.
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