Abstract
In this paper, a modified internal rate of return (MIRR) has been presented on the assumption of Weibull distribution to investigate the investment's attractiveness in the Malaysian property development sector (MPDS). The research intends is to produce parameters estimates of the Weibull distribution for investment analysis for a long-time investment period. The MIRR data were obtained from the company financial report for 5 years investment period from 2010–2014. The Maximum likelihood estimation method has been incorporated with the Simulated annealing algorithm (SA) in estimating the parameters of Weibull distribution. The shape parameter of the Weibull distribution reflects the effectiveness in maximizing the investment return based on MIRR with lower returns and is represented as the slope of the fitted line on a Weibull probability plot. The Weibull parameter estimated using Simulated annealing (SAA) has been compared with the existing Weibull parameter estimation methods. The finding reveals that the proposed methods have good agreement with other methods used for Weibull parameter estimates based on MIRR data. The research is expected to provide an overview of the investment behaviour for the long term investment period. Therefore, the new approach based on SA in estimating the parameters Weibull function can serve as a good alternative approach for the assessment of the rate of return on investment potential.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Mustafa W, Sabri SRM (2020) A simulation study: obtaining a sufficient sample size of discrete-time Markov chains of investment in a short frequency of time 10:906–919. https://doi.org/10.18488/journal.aefr.2020.108.906.919
Sabri SRM, Mustafa Sarsour W (2019) Modelling on stock investment valuation for long-term strategy. J Invest Manag 8:60. https://doi.org/10.11648/j.jim.20190803.11
Doganaksoy N (2004) Weibull models. Technometrics. https://doi.org/10.1198/tech.2004.s226
Erik Karl’en CW (2017) Eturn ate rediction
Genschel U, Meeker WQ (2010) A comparison of maximum likelihood and median-rank regression for Weibull estimation. Qual Eng. https://doi.org/10.1080/08982112.2010.503447
Sgarbossa F, Zennaro I, Florian E, Persona A (2018) Impacts of weibull parameters estimation on preventive maintenance cost. IFAC-PapersOnLine. https://doi.org/10.1016/j.ifacol.2018.08.369
Teimouri M, Gupta AK (2013) On the three-parameter Weibull distribution shape parameter estimation. J Data Sci
Jamei R (2020) Investigating the mathematical models (TOPSIS, SAW) to prioritize the investments in the accepted pharmaceutical companies in Tehran Stock Exchange 5:215–227. https://doi.org/10.22034/amfa.2020.1880616.1312
Raei R, Bahrani Jahromi M (2012) Portfolio optimization using a hybrid of fuzzy ANP, VIKOR and TOPSIS. Manag Sci Lett https://doi.org/10.5267/j.msl.2012.07.019
Sarsour WM, Sabri SRM (2020) Forecasting the long-run behavior of the stock price of some selected companies in the Malaysian construction sector: a Markov chain approach. Int J Math Eng Manag Sci 5:296–308. https://doi.org/10.33889/IJMEMS.2020.5.2.024
Abubakar H, Sabri SRM (2021) Simulation study on modified Weibull distribution for modelling of Investment return. Partanika J Sci Technol 29
Weibull W (1951) A statistical distribution function of wide applicability. J Appl Mech 18(18):293–297
Peng X, Yan Z (2014) Estimation and application for a new extended Weibull distribution. Reliab Eng Syst Saf. https://doi.org/10.1016/j.ress.2013.07.007
Lawless JF (2003) Statistical models and methods for lifetime data, 2nd edn
Elmahdy EE, Aboutahoun AW (2013) A new approach for parameter estimation of finite Weibull mixture distributions for reliability modeling. Appl Math Model. https://doi.org/10.1016/j.apm.2012.04.023
Abbasi B, Eshragh Jahromi AH, Arkat J, Hosseinkouchack M (2006) Estimating the parameters of Weibull distribution using simulated annealing algorithm. Appl Math Comput. https://doi.org/10.1016/j.amc.2006.05.063
Nadarajah S, Kotz S (2006) The modified Weibull distribution for asset returns. Quant Financ 6:449
Lai CD, Xie M, Murthy DNP (2003) A modified Weibull distribution. IEEE Trans Reliab. https://doi.org/10.1109/TR.2002.805788
Malevergne Y, Pisarenko V, Sornette D (2006) The modified Weibull distribution for asset returns: Reply
Almetwally EM, Almongy HM (2019) Estimation methods for the New Weibull-Pareto distribution: simulation and application 17, 613–632. https://doi.org/10.6339/JDS.201907
Akdaǧ SA, Dinler A (2009) A new method to estimate Weibull parameters for wind energy applications. Energy Convers Manag. https://doi.org/10.1016/j.enconman.2009.03.020
Rahmani M, Eraqi MK, Nikoomaram H (2019) Portfolio optimization by means of meta heuristic algorithms 4:83–97. https://doi.org/10.22034/amfa.2019.579510.1144
Gao W, Sheng H, Wang J, Wang S (2019) Artificial bee colony algorithm based on novel mechanism for fuzzy portfolio selection. IEEE Trans Fuzzy Syst. https://doi.org/10.1109/TFUZZ.2018.2856120
Chang TJ, Yang SC, Chang KJ (2009) Portfolio optimization problems in different risk measures using genetic algorithm. Expert Syst Appl. https://doi.org/10.1016/j.eswa.2009.02.062
Bavarsad Salehpoor I, Molla-Alizadeh-Zavardehi S (2019) A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms. Appl Soft Comput J. https://doi.org/10.1016/j.asoc.2018.11.011
Ni Q, Yin X, Tian K, Zhai Y (2017) Particle swarm optimization with dynamic random population topology strategies for a generalized portfolio selection problem. Nat Comput. https://doi.org/10.1007/s11047-016-9541-x
Erana-Diaz ML, Cruz-Chavez MA, Rivera-Lopez R, Martinez-Bahena B, Avila-Melgar EY, Heriberto Cruz-Rosales M (2020) Optimization for risk decision-making through simulated annealing. IEEE Access. 8:117063–117079. https://doi.org/10.1109/ACCESS.2020.3005084
Javidrad F, Nazari M (2017) A new hybrid particle swarm and simulated annealing stochastic optimization method. Appl Soft Comput J. https://doi.org/10.1016/j.asoc.2017.07.023
Zhang W, Maleki A, Rosen MA, Liu J (2018) Optimization with a simulated annealing algorithm of a hybrid system for renewable energy including battery and hydrogen storage. Energy. https://doi.org/10.1016/j.energy.2018.08.112
Abubakar H, Rijal S, Sabri M, Masanawa SA, Yusuf S (2020) Modified election algorithm in hopfield neural network for optimal random k satisfiability representation. Int J Simul Multidisci Des Optim 16:1–13
Abubakar H, Danrimi ML (2021) Hopfield type of artificial neural network via election algorithm as heuristic search method for random Boolean kSatisfiability. Int J Comput Digit Syst 10:659–673. https://doi.org/10.12785/ijcds/100163
Ghadiri Nejad M, Güden H, Vizvári B, Vatankhah Barenji R (2018) A mathematical model and simulated annealing algorithm for solving the cyclic scheduling problem of a flexible robotic cell. Adv Mech Eng. https://doi.org/10.1177/1687814017753912
Kellison S (2009) stephen-kellison-theory-of-interest-3e.pdf
Protter P, Capinski M, Zastawniak T (2004) Mathematics for finance: an introduction to financial engineering
Thomas GM (1995) Weibull parameter estimation using genetic algorithms and a heuristic approach to cut-set analysis
Abbasi B, Niaki STA, Khalife MA, Faize Y (2011) A hybrid variable neighborhood search and simulated annealing algorithm to estimate the three parameters of the Weibull distribution. Expert Syst Appl. https://doi.org/10.1016/j.eswa.2010.07.022
Yonar A, Yapici Pehlivan N (2020) Artificial bee colony with levy flights for parameter estimation of 3-p Weibull distribution. Iran J Sci Technol Trans A Sci. https://doi.org/10.1007/s40995-020-00886-4
Yang F, Ren H, Hu Z (2019) Maximum likelihood estimation for three-parameter Weibull distribution using evolutionary strategy. Math Probl Eng 2019. https://doi.org/10.1155/2019/6281781
Jiang H, Wang J, Wu J, Geng W (2017) Comparison of numerical methods and metaheuristic optimization algorithms for estimating parameters for wind energy potential assessment in low wind regions
Sultana T, Muhammad F, Aslam M (2019) Estimation of parameters for the lifetime distributions 12:77–92
Lei J (2016) A goodness-of-fit test for stochastic block models. Ann Stat 44:401–424
Tashkova K, Šilc J, Atanasova N, Džeroski S (2012) Parameter estimation in a nonlinear dynamic model of an aquatic ecosystem with meta-heuristic optimization. Ecol Modell. https://doi.org/10.1016/j.ecolmodel.2011.11.029
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2022 The Author(s), under exclusive license to Springer Nature Switzerland AG
About this paper
Cite this paper
Abubakar, H., Sabri, S.R.M. (2022). Simulated Annealing Algorithm as Heuristic Search Method in the Weibull Distribution for Investment Return Modelling. In: Yaseen, S.G. (eds) Digital Economy, Business Analytics, and Big Data Analytics Applications. Studies in Computational Intelligence, vol 1010. Springer, Cham. https://doi.org/10.1007/978-3-031-05258-3_32
Download citation
DOI: https://doi.org/10.1007/978-3-031-05258-3_32
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-031-05257-6
Online ISBN: 978-3-031-05258-3
eBook Packages: Intelligent Technologies and RoboticsIntelligent Technologies and Robotics (R0)