Abstract
The uncertainty of effect of investment projects can have various types. Known types, namely, set-uncertainty and probabilistic one we consider as special cases of new type set-probabilistic uncertainty. Under such uncertainty the effect of the investment project is random variable with not exactly known distribution. We formalize such projects as families of one-dimensional probability distributions. Then the criterion for projects comparison becomes some functional on a class of distributions families. To ensure rational economic behavior of firm in which the decisions on projects selection are decentralized, such functional should be monotonous, continuous and additive. It turned out that such functional is generalization of mean criterion and Hurwicz’s criterion (average weighted of extremal means of distributions included in family).
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Smolyak, S.A. (2002). Optimality Criteria for Investment Projects Under Uncertainty. In: Dzemyda, G., Šaltenis, V., Žilinskas, A. (eds) Stochastic and Global Optimization. Nonconvex Optimization and Its Applications, vol 59. Springer, Boston, MA. https://doi.org/10.1007/0-306-47648-7_13
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DOI: https://doi.org/10.1007/0-306-47648-7_13
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