Publication Cover
The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 58, 2013 - Issue 1
1,518
Views
15
CrossRef citations to date
0
Altmetric
ARTICLES

Optimal Capital Structure and Financial Risk of Project Finance Investments: A Simulation Optimization Model With Chance Constraints

&
Pages 19-34 | Published online: 27 Feb 2013

References

  • Agmon , T. , Ofer , A. R. and Tamir , A. 1981 . Variable rate debt instruments and corporate debt policy . Journal of Finance , 36 ( 1 ) : 113 – 125 .
  • Andradottir , S. 2002 . Simulation optimization: integrating research and practice . INFORMS Journal on Computing , 14 ( 3 ) : 216 – 219 .
  • Babusiaux , D. and Pierru , A. 2009 . Investment project valuation: a new equity perspective . The Engineering Economist , 54 ( 2 ) : 101 – 108 .
  • Bakatjan , S. , Arikan , M. and Tiong , R. L.K. 2003 . Optimal capital structure model for BOT power projects in Turkey . Journal of Construction Engineering & Management , 129 ( 1 ) : 89
  • Better , M. , Glover , F. , Kochenberger , G. and Wang , H. 2008 . Simulation optimization: applications in risk management . International Journal of Information Technology & Decision Making , 7 ( 4 ) : 571 – 587 .
  • Birge , J. R. and Louveaux , F. 1997 . Introduction to stochastic programming Springer, New York , , NY
  • Bock , K. and Trück , S. 2011 . Assessing uncertainty and risk in public sector investment projects . Technology & Investment , 2 ( 2 ) : 105 – 123 .
  • Dailami , M. V.D. , Lipkovich , I. and van Dyck , J. 1999 . INFRISK: a computer simulation approach to risk management in infrastructure project finance transactions , Washington , DC : The World Bank . (Policy Research Paper No. 2083)
  • Dayananda , D. , Irons , R. , Harrison , S. , Herbohn , J. and Rowland , P. 2002 . Capital budgeting: financial appraisal of investment projects, 1st ed , New York , NY : Cambridge University Press .
  • DeWitt , J. The role of financial modeling in preparing water infrastructure plants . Paper read at the 2000 Infrastructure Conference. Baltimore, Maryland, March 12–15 ,
  • Dong , F. , Chiara , N. , Kokkaew , N. and Wu , J. 2011 . Stochastic optimization of capital structure in privately funded infrastructure projects . Journal of Private Equity , 15 ( 1 ) : 36 – 47 .
  • Esty , B. 1999 . Improved techniques for valuing large-scale projects . Journal of Project Finance , 5 : 9 – 25 .
  • Esty , B. 2003 . Modern project finance: a casebook, 1st ed , New York , NY : Wiley .
  • Finnerty , J. D. 2007 . Project financing: asset-based financial engineering , New York : John Wiley .
  • Fu , M. 2002 . Optimization for simulation: theory vs practice . INFORMS Journal on Computing , 14 ( 3 ) : 192 – 215 .
  • Garvin , M. and Cheah , C. 2004 . Valuation techniques for infrastructure investment decisions . Construction Management and Economics , 22 ( 4 ) : 373 – 383 .
  • Glynn , P. W. , Wilson , J. R. , Henriksen , J. O. and Roberts , S. D. 1986 . Optimization of stochastic systems . 1986 . Proceedings of the 18th Conference on Winter Simulation , ACM, Washington, DC
  • Gurgur , C. Z. and Luxhoj , J. T. 2003 . Application of chance-constrained programming to capital rationing problems with asymmetrically distributed cash flows and available budget . Engineering Economist , 48 ( 3 ) : 241 – 258 .
  • Hacura , A. , Jadamus-Hacura , M. and Kocot , A. 2001 . Risk analysis in investment appraisal based on the Monte Carlo simulation technique . European Physical Journal B , 20 ( 4 ) : 551 – 553 .
  • Jones , C. 1991 . Risk analysis of infrastructure debt: the case of water and power investments , Westport , CT : Greenwood Publishing Group .
  • Ke , H. , Ma , W. and Ni , Y. 2009 . Optimization models and a GA-based algorithm for stochastic time–cost trade-off problem . Applied Mathematics & Computation , 215 ( 1 ) : 308 – 313 .
  • Konak , A. , Coit , D. W. and Smith , A. E. 2006 . Multi-objective optimization using genetic algorithms: a tutorial . Reliability Engineering & System Safety , 91 ( 9 ) : 992 – 1007 .
  • Law , K. 2007 . Simulation modeling and analysis, 4th ed , New York : McGraw-Hill .
  • Liner , B. and Gibson , R. 1996 . Public or private? Making the right decisions . The American City and County , 111 ( 13 ) : 42 – 50 .
  • Loistl , O. and van der Wijst , N. 2001 . Financial modelling and the theory of finance . European Journal of Operational Research , 135 : 231 – 232 .
  • Modigliani , F. and Miller , M.H. 1958 . The cost of capital, corporation finance, and the theory of investment . American Economic Review , 48 : 261 – 297 .
  • Palisade . 2009 . Guide to using RiskOptimizer: simulation optimization for Microsoft Excel , New York , NY : Palisade Corporation .
  • Petravicius , T. 2009 . Use of real options in project valuation . Transformations in Business & Economics , 8 ( 3 ) : 69 – 89 .
  • Prékopa , A. 1995 . Stochastic programming, 1st ed , Kluwer Academic Publishers, Dordrecht, The Netherlands .
  • Raftelis , G. A. 2005 . Water and wastewater finance and pricing: a comprehensive guide, 3rd ed , Boca Raton , FL : CRC Press .
  • Rauh , J. D. and Sufi , A. 2010 . Capital structure and debt structure . Review of Financial Studies , 23 ( 12 ) : 4242 – 4280 .
  • Shapiro , A. , Dentcheva , D. and Ruszczynski , A. 2009 . Lectures on stochastic programming: modeling and theory , Philadelphia , PA : Society for Industrial and Applied Mathematics .
  • Trade Finance . 2011 . Banks commit to Barzan gas . Trade Finance , 14 ( 8 ) : 137
  • Wibowo , A. and Kochendörfer , B. 2005 . Financial risk analysis of project finance in Indonesian toll roads . Journal of Construction Engineering & Management , 131 ( 9 ) : 963 – 972 .
  • Yang , I. 2005 . Chance-constrained time–cost tradeoff analysis considering funding variability . Journal of Construction Engineering & Management , 131 ( 9 ) : 1002 – 1012 .
  • Yun , S. , Han , S. , Kim , H. and Ock , J. 2009 . Capital structure optimization for build–operate–transfer (BOT) projects using a stochastic and multi-objective approach . Canadian Journal of Civil Engineering , 36 ( 5 ) : 777 – 790 .
  • Zhang , X. 2005 . Financial viability analysis and capital structure optimization in privatized public infrastructure projects . Journal of Construction Engineering & Management , 131 ( 6 ) : 656 – 668 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.