Risk Simulator 2012 User Manual (Japanese)
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- あおい なかじゅく
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1 Johnathan Mun, Ph.D., MBA, MS, CFC, CRM, FRM, MIFC
2 RISK SIMULATOR 2012 CEO, Microsoft
3 / ? User Manual (Risk Simulator Software) Real Options Valuation, Inc.
4 Box-Jenkins ARIMA ARIMA (Box-Jenkins ARIMA ) J-S GARCH (Markov Chains) (MLE) : Logit, Probit, Tobit () : User Manual (Risk Simulator Software) Real Options Valuation, Inc.
5 ROV TIPS: () TIPS: TIPS: TIPS: TIPS: TIPS: TIPS: TIPS: TIPS: TIPS: : ARIMA User Manual (Risk Simulator Software) Real Options Valuation, Inc.
6 TIPS: : TIPS: : TIPS: : TIPS: : TIPS: TIPS: TIPS: ID TIPS: (LHS) (MCS) TIPS: TIPS: TIPS: TIPS: TIPS: TIPS: TIPS: (SDK) DLL TIPS: Excel TIPS: TIPS: TIPS: User Manual (Risk Simulator Software) Real Options Valuation, Inc.
7 1. (RiskSim) 1.1 Microsoft.NET C# Excel Real Options Valuation, Inc. Real Options Super Lattice Solver (SLS)Employee Stock Options Valuation Toolkit (ESOV) ( 2005: 2006 (2004 FAS 123R), 2004 DVD 42 Box-Jenkins ARIMA, User Manual (Risk Simulator Software) Real Options Valuation, Inc.
8 Real Options SLS SLS SLS SLS-jump-diffusion Excel Excel 揃 Pentium IV Windows XP Vista, Windows 7 Microsoft Excel XP, 2003, 2007, 2010 Microsoft.NET Framework 2.0/ MB 2GB RAM Microsoft.NET Framework.NET Framework CD.NET Framework.NET Framework.NET Framework 2.0 / 3.0 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
9 (925) Web FAQ ID Windows XP Excel XP/2003/2007/2010 : Excel Risk Simulator License ID admin@realoptionsvaluation.com ID ID ID ID E cel Risk Simulator LicenseInstall License ID Windows Vista/Windows 7 Excel XP/2003/2007/2010 : Excel 2007/2010 Windows Vista/Windows 7 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
10 Risk Simulator License ID ID ID ID ID Excel Risk Simulator License Install License ID Excel Microsoft Excel Excel XP/2003 Excel 2007/2010 Excel Figure1.1 Excel Figure1.2Figure1.3 Excel User Manual (Risk Simulator Software) Real Options Valuation, Inc.
11 Figure 1.1 Excel 2007/2010 Figure 1.2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
12 Figure 1.3 Excel 2007/2010 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
13 2011/ / o o o o o () o o o o Window 7 Vista XP Excel MAC 10. 3D User Manual (Risk Simulator Software) Real Options Valuation, Inc.
14 ( ) 14. Excel 2007/2010 (1280 x 760 ) ROV SLS ROV ROV ROV ROV ROV ROVESO ROV! 17. Excel RS Excel RS 18. : ID 19. : (5.2 ) ROV IEEE Hex T F Max Min () () 3 () 3 () 2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
15 V VIPERT 3 T T Excel Excel , ARIMA ARIMA (P,D,Q) 33. ARIMA ARIMA 34. ) 35. / GARCH : GARCH, GARCH-M, TGARCH, TGARCH-M, EGARCH, EGARCH-T, GJR-GARCH, and GJR-TGARCH 38. J J ( -) S S (,,, ) 47. User Manual (Risk Simulator Software) Real Options Valuation, Inc.
16 , 64. Excel PDF, CDF ICDF () 70. () User Manual (Risk Simulator Software) Real Options Valuation, Inc.
17 73. (CDF, PDF, 2D/3D ) () BizStats CDF ICDFPDF ROV BIZSTATS 130 : Absolute Values, ANOVA: Randomized Blocks Multiple Treatments, ANOVA: Single Factor Multiple Treatments, ANOVA: Two Way Analysis, ARIMA, Auto ARIMA, Autocorrelation and Partial Autocorrelation, Autoeconometrics (Detailed), Autoeconometrics (Quick), Average, Combinatorial Fuzzy Logic Forecasting, Control Chart: C, Control Chart: NP, Control Chart: P, Control Chart: R, Control Chart: U, Control Chart: X, Control Chart: XMR, Correlation, Correlation (Linear, Nonlinear), Count, Covariance, Cubic Spline, Custom Econometric Model, Data Descriptive Statistics, Deseasonalize, Difference, Distributional Fitting, Exponential J Curve, GARCH, Heteroskedasticity, Lag, Lead, Limited Dependent Variables (Logit), Limited Dependent Variables (Probit), Limited Dependent Variables (Tobit), Linear Interpolation, Linear Regression, LN, Log, Logistic S Curve, Markov Chain, Max, Median, Min, Mode, Neural Network, Nonlinear Regression, Nonparametric: Chi-Square Goodness of Fit, Nonparametric: Chi-Square Independence, Nonparametric: Chi-Square Population Variance, Nonparametric: Friedman s Test, Nonparametric: Kruskal-Wallis Test, Nonparametric: Lilliefors Test, Nonparametric: Runs Test, Nonparametric: Wilcoxon Signed-Rank (One Var), Nonparametric: Wilcoxon Signed-Rank (Two Var), Parametric: One Variable (T) Mean, Parametric: One Variable (Z) Mean, Parametric: One Variable (Z) Proportion, Parametric: Two Variable (F) Variances, Parametric: Two Variable (T) Dependent Means, Parametric: Two Variable (T) Independent Equal Variance, Parametric: Two Variable (T) Independent Unequal Variance, Parametric: Two Variable (Z) Independent Means, Parametric: Two Variable (Z) Independent Proportions, Power, Principal Component Analysis, Rank Ascending, Rank Descending, Relative LN Returns, Relative Returns, Seasonality, Segmentation Clustering, Semi-Standard Deviation (Lower), Semi-Standard Deviation (Upper), Standard 2D Area, Standard 2D Bar, Standard 2D Line, Standard 2D Point, Standard 2D Scatter, Standard 3D Area, Standard 3D Bar, Standard 3D Line, Standard 3D Point, Standard 3D Scatter, Standard Deviation (Population), Standard Deviation (Sample), Stepwise Regression (Backward), Stepwise Regression (Correlation), Stepwise Regression (Forward), Stepwise Regression (Forward-Backward), Stochastic Processes (Exponential Brownian Motion), Stochastic Processes (Geometric Brownian Motion), Stochastic Processes (Jump Diffusion), Stochastic Processes (Mean User Manual (Risk Simulator Software) Real Options Valuation, Inc.
18 Reversion with Jump Diffusion), Stochastic Processes (Mean Reversion), Structural Break, Sum, Time-Series Analysis (Auto), Time-Series Analysis (Double Exponential Smoothing), Time- Series Analysis (Double Moving Average), Time-Series Analysis (Holt-Winter s Additive), Time-Series Analysis (Holt-Winter s Multiplicative), Time-Series Analysis (Seasonal Additive), Time-Series Analysis (Seasonal Multiplicative), Time-Series Analysis (Single Exponential Smoothing), Time-Series Analysis (Single Moving Average), Trend Line (Difference Detrended), Trend Line (Exponential Detrended), Trend Line (Exponential), Trend Line (Linear Detrended), Trend Line (Linear), Trend Line (Logarithmic Detrended), Trend Line (Logarithmic), Trend Line (Moving Average Detrended), Trend Line (Moving Average), Trend Line (Polynomial Detrended), Trend Line (Polynomial), Trend Line (Power Detrended), Trend Line (Power), Trend Line (Rate Detrended), Trend Line (Static Mean Detrended), Trend Line (Static Median Detrended), Variance (Population), Variance (Sample), Volatility: EGARCH, Volatility: EGARCH-T, Volatility: GARCH, Volatility: GARCH-M, Volatility: GJR GARCH, Volatility: GJR TGARCH, Volatility: Log Returns Approach, Volatility: TGARCH, Volatility: TGARCH-M, Yield Curve (Bliss), and Yield Curve (Nelson-Siegel). User Manual (Risk Simulator Software) Real Options Valuation, Inc.
19 2. 賭? ( ) input assumption trials User Manual (Risk Simulator Software) Real Options Valuation, Inc.
20 forecast output Excel Box-Jenkins ARIMA jump-diffusion Real Options Super Lattice Solver User Manual (Risk Simulator Software) Real Options Valuation, Inc.
21 Excel Basic Simulation Model Start Real Options Valuation Risk Simulator Examples Risk Simulator Example Models 1. Excel Risk Simulator New Simulation Profile Figure 2.1 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
22 ( 1,000 ) ( ) ( ) Figure 2.1 Excel Risk Simulator Edit Profile 1,000 1,000 1,000 Excel Excel User Manual (Risk Simulator Software) Real Options Valuation, Inc.
23 Risk Simulator Change Simulation ProfileOK Figure 2.2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
24 Figure Risk Simulator New Simulation Profile G8 Risk Simulator Set Input Assumption OK Figure 2.3 ) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
25 Figure 2.3 Figure User Manual (Risk Simulator Software) Real Options Valuation, Inc.
26 Risk Simulator Edit Simulation Profile Figure 2.4 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
27 G G10 Risk Simulator Set Output Forecast Figure 1.3 OK Figure 2.5 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
28 Figure Risk Simulator Run SimulationRun Risk Simulator Reset Simulation 10 Risk Simulator Step Simulation 5. Figures User Manual (Risk Simulator Software) Real Options Valuation, Inc.
29 Figure 2.6 X () X Figure 2.7 Figure 2.6 Figure 2.7 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
30 Always On Top bins 5 bins 100 bins Data Update vs Excel Clear All Minimize All Figure 2.8 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
31 Show the Following Statistics (25 75 percentiles()) Figure 2.9 Figure $ $ TAB 5$ $ percentile () User Manual (Risk Simulator Software) Real Options Valuation, Inc.
32 Figure 2.10 Figure TAB 95$ $ Figure Figure 2.11 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
33 $1 TAB 74.30$1 Figure TAB 1 $ %$1 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
34 Figure 2.13 Risk Simulator Reset Simulation TAB User Manual (Risk Simulator Software) Real Options Valuation, Inc.
35 x y r r x, y n x 2 i n xi yi xi yi 2 2 x i nyi y i 2 2 Excel CORREL x y A1:B10 CORREL (A1:A10, B1:B10) 3 Multi-Fit Tool 2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
36 x y Excel EXCEL CORREL : ((Risk Simulator) (Set Input Assumption)) ((Risk Simulator) (Tools) (Distributional Fitting) (Multiple Variables)) (Risk Simulator) (Edit Correlations) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
37 : : + () : ( ) Figure 2.14 ( ) (+0.9)( 0.9) Figure 2.14 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
38 Figure User Manual (Risk Simulator Software) Real Options Valuation, Inc.
39 Figure 2.15 Figure Figure 2.16 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
40 : ,000, , 22, 4, 15, 33, 32, 4, 1, 45, ? ±2 1,000, ,000 ± ±2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
41 ,000, , s s x Z Z n n 2 x Z 90 Z- s n Figures Figure 2.17 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
42 Figure 2.18 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
43 4 4 Figure 2.19 ( Skew = 0 KurtosisXS = = Figure 2.19 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
44 Figure 2.20 Figure 2.21 Figure 2.21 Figure 2.20 Figure 2.20 () 2 1 Skew = 0 KurtosisXS = 0 1 = 2 Figure 2.20 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
45 Stock prices Time Figure 2.21 Figure 2.22 Figure 2.23 (Figure 2.22) (Figure 2.23) Figures User Manual (Risk Simulator Software) Real Options Valuation, Inc.
46 1 = 2 Skew < 0 KurtosisXS = Figure 2.22 () 1 = 2 Skew > 0 KurtosisXS = Figure 2.23 () Figure 2.24 () (KurtosisXS) 0 KurtosisXS T KurtosisXS Figure 2.24 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
47 ( ) 1 = 2 Skew = 0 Kurtosis > 0 1 = 2 Figure 2.24 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
48 3. Figure 3.1 FORECASTING QUANTITATIVE QUALITATIVE Delphi Method Expert Opinions Management Assumptions Market Research Polling Data Surveys CROSS-SECTIONAL Econometric Models Monte Carlo Simulation Multiple Regression Statistical Probabilities Use Risk Simulator s Forecast Tool for ARIMA, Classical Decomposition, Multivariate Regressions, Nonlinear Regressions, Simulations and Stochastic Processes MIXED PANEL ARIMA(X) Multiple Regression Use Risk Simulator to run Monte Carlo Simulations (use distributional fitting or nonparametric custom distributions) TIME-SERIES ARIMA Classical Decomposition (8 Time-Series Models) Multivariate Regression Nonlinear Extrapolation Stochastic Processes Figure 3.1 Delphi User Manual (Risk Simulator Software) Real Options Valuation, Inc.
49 SAT IQ ARIMA () 2. ARIMA GARCH () 8. J 9. S User Manual (Risk Simulator Software) Real Options Valuation, Inc.
50 (Wiley Finance 2006) Excel Simulation Forecasting (ARIMA, ) Figure 3.2 Figure 3.2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
51 Start) (Real Options Valuation) (Risk Simulator) (Examples) (Risk Simulator) Example Models) : Figure 3.3 No Seasonality With Seasonality No Trend With Trend Single Moving Average Single Exponential Smoothing Double Moving Average Double Exponential Smoothing Seasonal Additive Seasonal Multiplicative Holt-Winter's Additive Holt-Winter's Multiplicative Figure 3.3 : Excel ( ) ( ) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
52 (Risk Simulator) Forecasting) (Time- Series Analysis) OK Figure 3.4 : Figure 3.5 Holt-Winters Figure 3.5 Holt-Winters ) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
53 : Figure 3.3 (Wiley, 2006) ( 4 12 ) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
54 Figure 3.5 Holt-Winters User Manual (Risk Simulator Software) Real Options Valuation, Inc.
55 : 2 Y 1 0 X Y X X (2 X ) 2 Figure 3.6 X n Y X X X... X n n n + 1 Y Y Y 1 Y 2 X X Figure 3.6 Figure 3.6 Figure 3.6 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
56 User Manual (Risk Simulator Software) Real Options Valuation, Inc. (Y i ) (Ŷ ) n i Y i Y i Min 1 2 ) ˆ ( : 0 ) ˆ ( and 0 ) ˆ ( n i i i n i i i Y Y d d Y Y d d 2 : X Y n X X n Y X XY X X Y Y X X n i i n i i n i i n i i n i i i n i i n i i i ) ( ) )( ( i i i i X X Y, 3 3 2, 2 1 : 2 3, 2, 2 3, 2 2, 3, 2, 2, 2 2, 3, 3 2 3, 2, 2 3, 2 2, 3, 2, 3, 2 3, 2, 2 ˆ ˆ i i i i i i i i i i i i i i i i i i i i i i X X X X X X X Y X X Y X X X X X X X Y X X Y ( )
57 : (Wiley, 2006) : Excel ( ) (Risk Simulator) (Forecasting) Multiple Regression) )OK : Figure 3.8 : (Wiley 2006) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
58 Figure 3.7 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
59 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
60 Figure 3.8 : X X Y User Manual (Risk Simulator Software) Real Options Valuation, Inc.
61 : (Wiley 2006) : (Risk Simulator) Forecasting Stochastic Processes) OK (Figure 3.9) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
62 : Figure 3.10 Figure 3.9 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
63 Figure 3.10 : () User Manual (Risk Simulator Software) Real Options Valuation, Inc.
64 x x f(x) : Excel ( ) Risk Simulator Forecasting Nonlinear Extrapolation () (Figure 3.11)OK : Figure 3.12 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
65 : 辿 Figure 3.11 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
66 xf(x) x(2) () RMSE MSE MAD MAPE 31.56% Theil U : Figure 3.12 Box-Jenkins ARIMA : ARIMA ARIMA AR I MA User Manual (Risk Simulator Software) Real Options Valuation, Inc.
67 ARIMA Box-Jenkins ARIMA ARIMA ARIMA ARIMA ARIMA ARIMA ARIMA(p,d,q) AR (AR)AR(p) p AR(p) y t = a 1 y t a p y t-p + e t. (d) I(1) I (d)d (MA)MA(q) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
68 q MA(q) y t = e t + b 1 e t b q e t-q ARMA(p,q) y t = a 1 y t a p y t-p + e t + b 1 e t b q e t-q : Excel ( ARIMA ) Risk Simulator) (Forecasting) ARIMA P, D, Q () OK : ARIMA ARIMA Figure 3.14 ARIMA ARIMA (AIC) (SC) AIC SC SC AIC AIC SC AC)PAC) ARIMA AC(1) AC AC PAC k User Manual (Risk Simulator Software) Real Options Valuation, Inc.
69 k k Ljung-Box Q- k p- k 5 ARIMA AC, PAC, SC, AIC Figure 3.13A Jenkins ARIMA User Manual (Risk Simulator Software) Real Options Valuation, Inc.
70 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
71 Figure 3.13B Jenkins ARIMA User Manual (Risk Simulator Software) Real Options Valuation, Inc.
72 ARIMA (Box-Jenkins ARIMA ) : ARIMA ARIMA ARIMA ARIMA ARIMA P, D, Q : Excel (Figure 3.14 ) ARIMA Risk Simulator) (Forecasting) ARIMA AUTO-ARIMA OK Figure 3.14 AUTO ARIMA User Manual (Risk Simulator Software) Real Options Valuation, Inc.
73 : : Excel (Figure 3.15 ) Risk Simulator) (Forecasting) (Basic Econometrics) Figure 3.15 OK User Manual (Risk Simulator Software) Real Options Valuation, Inc.
74 Figure 3.15 J-S : J- : Excel Risk Simulator) (Forecasting) JS (JS Curves) J S (Figures ) OK User Manual (Risk Simulator Software) Real Options Valuation, Inc.
75 Figure 3.16 J- S-J- () Figure 3.17 S- User Manual (Risk Simulator Software) Real Options Valuation, Inc.
76 Figure 3.17 S- GARCH : (GARCH) GARCH GARCH GARCH (Wiley 2008) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
77 : Excel GARCH (Risk Simulator) (Forecasting) GARCH (Figure 3.18 )OK : P = 1, Q = 1, = ( ) = 1 = Figure 3.18 GARCH User Manual (Risk Simulator Software) Real Options Valuation, Inc.
78 z t ~ Normal GARCH-M 2 yt c t t t tzt GARCH-M yt ct t t tzt GARCH-M 2 y c ln( ) t tzt GARCH y t x t t EGARCH t t 1 t t t 1 t1 t t t t t 1 t1 2 t 2 t1 2 t1 yt t t tzt ln 2 2 t ln t 1 E( ) r 2 E( t ) t1 t1 t t1 t 1 z t ~ T 2 yt c t t t tzt t t 1t1 yt ct t t tzt t t 1t1 2 yt c ln( t ) t t tzt t t 1t1 yt t t tzt t t 1t1 yt t t tzt ln 2 ln 2 t t1 t1 t 1 E( t ) r t1 t (( 1)/2) E( t ) ( 1) ( /2) GJR-GARCH y t z 2 2 t t1 2 2 t1 t1 t1 t1 t t t t r d d 1if t1 0 otherwise y t z 2 2 t t1 2 2 t1 t1 t1 t1 t t t t r d d 1if t1 0 otherwise User Manual (Risk Simulator Software) Real Options Valuation, Inc.
79 (Markov Chains) : Markov chain 2 : Excel R Risk Simulator) (Forecasting) (Markov Chain) ( Figure 3.19 )OK Figure 3.19 Markov Chains ) (MLE) : Logit, Probit, Tobit : 2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
80 () MLE) Y 2 (Y // //) X Y MLE MLE Y= LN[Pi/(1Pi)] Pi = EXP( Y)/(1+EXP( Y))i EXP(i)Pi/(1Pi) i dp/dx=ipi(1pi) t ( ) Y MLE User Manual (Risk Simulator Software) Real Options Valuation, Inc.
81 Y= () (100)=1.6. Y EXP( Y)/[1+EXP( Y)]=EXP(1.6)/(1+EXP(1.6))= % () () ( ) Xi Ii=0+1X nxn Ii I* (P) Pi=CDF(I)(CDF) Y (Excel NORMSDIST )Ii+5 ( Pi < 0.5 ) () Yi Xi User Manual (Risk Simulator Software) Real Options Valuation, Inc.
82 Y* i Xi Ui Yi Yi Yi=Y*,if:Y*>0 Yi=0,if:Y*=0 Xi Yi i MLE : Excel MLE Risk Simulator) (Forecasting) Maximum Likelihood) (Figure 3.20 )OK User Manual (Risk Simulator Software) Real Options Valuation, Inc.
83 Figure 3.20 () : Figure 3.21 X x- Y y- User Manual (Risk Simulator Software) Real Options Valuation, Inc.
84 Figure 3.21 : Excel Risk Simulator) (Forecasting) (Cubic Spline) X Y Figure 3.21 OK User Manual (Risk Simulator Software) Real Options Valuation, Inc.
85 4. (1, 2, 3, 4 1.5, 2.5, 3.5 ), 2 ( 1 0 ) ( ) (1.2535, ) Excel User Manual (Risk Simulator Software) Real Options Valuation, Inc.
86 N M T N M T T? 1,000,000 1,500,0002,000,000 Markowitz? User Manual (Risk Simulator Software) Real Options Valuation, Inc.
87 2 t ( User Manual (Risk Simulator Software) Real Options Valuation, Inc.
88 ) Figure 4.1 Start) (Real Options Valuation) (Risk Simulator) Examples) Risk Simulator) (Example Models) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
89 Figure 4.1 E 100% ( E17) E6 E15 10% F G 5% 35% H C17 SUMPRODUCT(C6:C15, E6:E15) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
90 R P R A A R B B R C C R D D R P R A,B,C,D A,B,C,D D17 i n m 2 2 P i i 2 i j i, j i1 i1 j1 i j i,j C18 : : : : (C18) (E6:E15) (F6:G15) 100% (E17) : Risk Simulator) New Profile E6 (Risk Simulator User Manual (Risk Simulator Software) Real Options Valuation, Inc.
91 Optimization Set Decision)) F6 G6 (B6) E6 E7 E15 100% Risk Simulator Optimization Constraints E17 100%(=)OK C18 Risk Simulator Optimization Run Optimization C18 OK Figure 4.2 ( C D) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
92 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
93 Figure 4.2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
94 : Figure 4.3 E6:E Figure % () 35() (25%)2 Table 4.1 : 12.69% 4.52% % 6.77% % 4.46% Table 4.1 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
95 Markowitz Figure 4.3 ( 0 1) on-off go/no-go Figure Start) (Real Options Valuation) (Risk Simulator) (Examples) Risk Simulator ( Example Models) ( User Manual (Risk Simulator Software) Real Options Valuation, Inc.
96 ENPV NPV ENPV NPV ) (FTE) : Risk Simulator) New Profile J4 (Risk Simulator Optimization Set Decision)) (B4)2 J4 J5 J15 5,000 Risk Simulator Optimization Constraints User Manual (Risk Simulator Software) Real Options Valuation, Inc.
97 D17 5,000 (=) J17 =6 C19 C17) Risk Simulator Optimization Set Objective Risk Simulator Optimization Run Optimization OK Figure 4.5 ENPV C F) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
98 Figure 4.4 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
99 Figure 4.5 : User Manual (Risk Simulator Software) Real Options Valuation, Inc.
100 Figure 4.6 辿 ENPV Figure : 2 (Wiley Finance, 2005) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
101 5. : Figures Figure 5.1? $96.63? Risk Simulator Tools Tornado Analysis () Figure 5.2 G6 A = B + C C = D + E B, D, E A (C )Figure 5.2 ±10% User Manual (Risk Simulator Software) Real Options Valuation, Inc.
102 Figure 5.1: User Manual (Risk Simulator Software) Real Options Valuation, Inc.
103 : Excel ( G6 ) () Risk Simulator) (Tools) (Tornado Analysis) ( )OK Figure 5.2 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
104 : Figure 5.3 辿 4 (Figure 5.4) NPV ( +10%$1,800 $1,980 10% $1,800 $1,620 ) NPV $83.37 $ $360 NPV (Figure 5.5)Y- NPV x-( ) ( NPV ) ( NPV x- y- ) x-npv NPV NPV A C User Manual (Risk Simulator Software) Real Options Valuation, Inc.
105 Figure 5.3 : User Manual (Risk Simulator Software) Real Options Valuation, Inc.
106 鍵 辿 Figure 5.4 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
107 Figure 5.5 Figure 5.6 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
108 Figure 5.7 Black-Scholes Figure 5.7 : () User Manual (Risk Simulator Software) Real Options Valuation, Inc.
109 Figure 5.8 Figure 5.9 NPV Figure 5.8 Figure 5.9 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
110 : ( ) Risk Simulator Tools Sensitivity Analysis OK (Figure 5.10) Figure 5.10 : (Figure 5.11) () (Figure 5.11) (Figure 5.6) ( User Manual (Risk Simulator Software) Real Options Valuation, Inc.
111 ) (Figure 5.12) 100% ( ) 100% () Figure 5.11 : Figure 5.12 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
112 : :?? Delphi Figures : Risk Simulator Tools) ( )Distributional Fitting (Single-Variable) OK (Figure 5.13) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
113 OK (Figure 5.14) Figure 5.13 : p- ( ) p- p-p Figure 5.14) (Figure 5.14) (Figure 5.15)p- () ()() ( User Manual (Risk Simulator Software) Real Options Valuation, Inc.
114 ) Figure 5.14: User Manual (Risk Simulator Software) Real Options Valuation, Inc.
115 Figure 5.15: : Risk Simulator Tools Distributional Fitting (Multiple Variables) OK : User Manual (Risk Simulator Software) Real Options Valuation, Inc.
116 Kolmogorov- Smirnov : : Risk Simulator Tools Nonparametric Bootstrap OK ( Figure 5.16) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
117 Figure 5.16 Figure 5.17 : User Manual (Risk Simulator Software) Real Options Valuation, Inc.
118 , 0.20 Figure , ,000 5,000 5,000 5,000 10, User Manual (Risk Simulator Software) Real Options Valuation, Inc.
119 : : Risk Simulator Tools Hypothesis Testing OK (Figure 5.18) Figure 5.18 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
120 : (H o ) () (H a )() p 0.01, 0.05, %5% 10% F pairwise P Figure 5.19 : t t User Manual (Risk Simulator Software) Real Options Valuation, Inc.
121 : Risk Simulator Tools Data Extraction OK flat text file Risk Simulator Tools Data Open/Import *.risksim Figure 5.21 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
122 Figure 5.21 : Risk Simulator Create Report User Manual (Risk Simulator Software) Real Options Valuation, Inc.
123 Figure 5.21 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
124 : (Risk Simulator Examples Regression Diagnostics)) ( C5:H55) Risk Simulator Tools Diagnostic Tool Y OK (Figure 5.22) Figure 5.22 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
125 (Figure 5.23 ) R- : () User Manual (Risk Simulator Software) Real Options Valuation, Inc.
126 辿 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
127 Figure ARIMA ( Risk Simulator) (Forecasting) ARIMA) ( ) AC(1) AC(k) 辿 AC(k) 辿 PAC(k) k k k Ljung-Box Q- k p k User Manual (Risk Simulator Software) Real Options Valuation, Inc.
128 5 Y Y X ( 1 3 ) 辿 12 辿 (Figure 5.24) Figure 5.24 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
129 (Figure 5.25) D- D- D- D- (): Figure 5.25 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
130 辿 ( ACF ) 辿 (Figure 5.26) J User Manual (Risk Simulator Software) Real Options Valuation, Inc.
131 Figure 5.26 R- t VIF)R- User Manual (Risk Simulator Software) Real Options Valuation, Inc.
132 VIF 2.0 VIF 10.0 VIF (Figure 5.27) Figure 5.27 ( R ) R - p-0.10, 0.05, 0.01 p- p- x y)(r)(cov) COVx, y Rx, y (s) s s x y () User Manual (Risk Simulator Software) Real Options Valuation, Inc.
133 R R ( ) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
134 : (Risk Simulator Examples Statistical Analysis)) ( C5:E55) Risk Simulator Tools Statistical Analysis (Figure 5.28) OK OK (Figure 5.29) (Figures ) User Manual (Risk Simulator Software) Real Options Valuation, Inc.
135 Figure 5.28 Figure 5.29 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
136 Figure 5.30 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
137 Figure 5.31 () Figure 5.32 () User Manual (Risk Simulator Software) Real Options Valuation, Inc.
138 Figure 5.33 () PDF) PMF) x (CDF) x PDF (ICDF) x Risk Simulator Tools Distributional AnalysisFigure 5.34 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
139 2 ( 2 ) 2 = 2 ( 2 )= 0.50 ()PDF x (x 0, 1, 2 ) %50% 2 25% Figure 5.34 ( 2 ) Figure 5.35 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
140 Figure 5.35 ( 20 ) Figure 5.36 CDF CDF x PDF Figure , , x2 CDF Figure 5.36 PDF 2 0, %)3 User Manual (Risk Simulator Software) Real Options Valuation, Inc.
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