投资项目风险模拟分析中样本量的决定方法

张宏亮;王其文

系统工程理论与实践 ›› 2004, Vol. 24 ›› Issue (2) : 14-18.

PDF(181 KB)
PDF(181 KB)
系统工程理论与实践 ›› 2004, Vol. 24 ›› Issue (2) : 14-18. DOI: 10.12011/1000-6788(2004)2-14
论文

投资项目风险模拟分析中样本量的决定方法

    张宏亮; 王其文
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Sample Size Determination Methods for Simulation in the Risk Analysis of Investment Projects

    Hong Liang ZHANG,Qi Wen WANG
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摘要

介绍了蒙特卡罗模拟应用中两种判断模拟样本量的方法——绝对偏差方法和相对偏差方法.结合一个风险投资项目的事例,通过大最模拟计算,对模拟样本量的判断方法进行了验证,将双样本方法、多阶段方法与基本的单样本方法的结果果进行了比较,并且分析了置信区间与置信度的参数改变对所需模拟样本量的影响.

Abstract

This paper introduces two methods: Absolute Error Method and Relative Error Method,which are used to determine the proper sample size in Monte Carlo simulation. An example of risk investment projects is presented and analyzed based on a lot of repaeated simulations. The results validate these methods and show the difference among the Single Sample Method, Double Sample Method, and Multiple Stage Method. The influences to the required sample size by changing parameters, such as the length of the confidence i...

关键词

风险分析 / 蒙特卡罗模拟 / 模拟样本量

Key words

risk analysis / monte carlo simulation / sample size determination

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张宏亮 , 王其文. 投资项目风险模拟分析中样本量的决定方法. 系统工程理论与实践, 2004, 24(2): 14-18 https://doi.org/10.12011/1000-6788(2004)2-14
Hong Liang ZHANG , Qi Wen WANG. Sample Size Determination Methods for Simulation in the Risk Analysis of Investment Projects. Systems Engineering - Theory & Practice, 2004, 24(2): 14-18 https://doi.org/10.12011/1000-6788(2004)2-14
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