TY - JOUR
T1 - A method of project selection based on capital asset pricing theories in a framework of mean–semideviation behavior
AU - Jafarizadeh, Babak
AU - Khorshid-Doust, Reza Ramazani
PY - 2008/8
Y1 - 2008/8
N2 - The competitiveness of a firm especially in the capital-intensive industries is highly dependent to a stream of successful and profitable projects. Having simulated the financial outcomes of a project, analysis of the output of simulation is then an important task that demands efficient methods for evaluation and selection of projects. The method in this article considers semideviation of return as the measure of risk of projects that is more consistent with the definition of risk as “the probability of unwanted outcomes”. Projects characterized by their expected return and semideviation of return are then entered into a project comparison system that is based on the arbitrage pricing theory (APT). The primary advantage of this method of project selection is in the collective assessment of the firm’s risk by all market participants.
AB - The competitiveness of a firm especially in the capital-intensive industries is highly dependent to a stream of successful and profitable projects. Having simulated the financial outcomes of a project, analysis of the output of simulation is then an important task that demands efficient methods for evaluation and selection of projects. The method in this article considers semideviation of return as the measure of risk of projects that is more consistent with the definition of risk as “the probability of unwanted outcomes”. Projects characterized by their expected return and semideviation of return are then entered into a project comparison system that is based on the arbitrage pricing theory (APT). The primary advantage of this method of project selection is in the collective assessment of the firm’s risk by all market participants.
U2 - 10.1016/j.ijproman.2007.09.004
DO - 10.1016/j.ijproman.2007.09.004
M3 - Article
VL - 26
SP - 612
EP - 619
JO - International Journal of Project Management
JF - International Journal of Project Management
SN - 0263-7863
IS - 6
ER -