{"id":"https://openalex.org/W2068372385","doi":"https://doi.org/10.1080/00137919808903195","title":"On the Use of Martingales in Monte Carlo approaches to multiperiod Parameter Uncertainty in Capital Investment Risk Analysis","display_name":"On the Use of Martingales in Monte Carlo approaches to multiperiod Parameter Uncertainty in Capital Investment Risk Analysis","publication_year":1998,"publication_date":"1998-01-01","ids":{"openalex":"https://openalex.org/W2068372385","doi":"https://doi.org/10.1080/00137919808903195","mag":"2068372385"},"language":"en","primary_location":{"id":"doi:10.1080/00137919808903195","doi":"https://doi.org/10.1080/00137919808903195","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00137919808903195","pdf_url":null,"source":{"id":"https://openalex.org/S51113653","display_name":"The Engineering Economist","issn_l":"0013-791X","issn":["0013-791X","1547-2701"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-3"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Engineering Economist","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5109982566","display_name":"W. J. Hurley","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I51768193","display_name":"Royal Military College of Canada","ror":"https://ror.org/04yr71909","country_code":"CA","type":"education","lineage":["https://openalex.org/I51768193"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"W.J. Hurley","raw_affiliation_strings":["Royal Military College of Canada","Royal Military College of Canada#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Royal Military College of Canada","institution_ids":["https://openalex.org/I51768193"]},{"raw_affiliation_string":"Royal Military College of Canada#TAB#","institution_ids":["https://openalex.org/I51768193"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5109982566"],"corresponding_institution_ids":["https://openalex.org/I51768193"],"apc_list":null,"apc_paid":null,"fwci":1.3978,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.88573696,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":97},"biblio":{"volume":"43","issue":"2","first_page":"169","last_page":"182"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10395","display_name":"Construction Project Management and Performance","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/martingales","display_name":"martingales","score":0.9490000009536743},{"id":"https://openalex.org/keywords/net-present-value","display_name":"net present value","score":0.906000018119812},{"id":"https://openalex.org/keywords/monte-carlo-simulation","display_name":"Monte Carlo simulation","score":0.9330000281333923},{"id":"https://openalex.org/keywords/project-risk","display_name":"project risk","score":0.34200000762939453}],"concepts":[{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7877017855644226},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.7760758399963379},{"id":"https://openalex.org/C181230689","wikidata":"https://www.wikidata.org/wiki/Q192472","display_name":"Net present value","level":3,"score":0.5910016894340515},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5403485894203186},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5027179718017578},{"id":"https://openalex.org/C57918260","wikidata":"https://www.wikidata.org/wiki/Q1354666","display_name":"Capital budgeting","level":3,"score":0.49717286229133606},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4787137508392334},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.47359707951545715},{"id":"https://openalex.org/C149441793","wikidata":"https://www.wikidata.org/wiki/Q200726","display_name":"Probability distribution","level":2,"score":0.4555252492427826},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4514748156070709},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.33854126930236816},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.31486159563064575},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.24033123254776},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.1299738585948944},{"id":"https://openalex.org/C21425071","wikidata":"https://www.wikidata.org/wiki/Q7249389","display_name":"Project appraisal","level":2,"score":0.0},{"id":"https://openalex.org/C2778348673","wikidata":"https://www.wikidata.org/wiki/Q739302","display_name":"Production (economics)","level":2,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/00137919808903195","doi":"https://doi.org/10.1080/00137919808903195","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00137919808903195","pdf_url":null,"source":{"id":"https://openalex.org/S51113653","display_name":"The Engineering Economist","issn_l":"0013-791X","issn":["0013-791X","1547-2701"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-3"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Engineering Economist","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W610496329","https://openalex.org/W651843245","https://openalex.org/W1526295091","https://openalex.org/W1589346870","https://openalex.org/W1977860103","https://openalex.org/W1989048905","https://openalex.org/W2028827104","https://openalex.org/W2045761066","https://openalex.org/W2048376108","https://openalex.org/W2059216412","https://openalex.org/W2066394738","https://openalex.org/W2067722023","https://openalex.org/W2086449444","https://openalex.org/W3214476041","https://openalex.org/W4297081765"],"related_works":["https://openalex.org/W7058493505","https://openalex.org/W2055472619","https://openalex.org/W2942860701","https://openalex.org/W2915071839","https://openalex.org/W6983547113","https://openalex.org/W2413409921","https://openalex.org/W2022299934","https://openalex.org/W2405799274","https://openalex.org/W2546642201","https://openalex.org/W3171355824"],"abstract_inverted_index":{"A":[0],"popular":[1],"risk":[2],"analysis":[3],"technique":[4],"used":[5],"for":[6,28,64],"capital":[7],"investment":[8],"projects":[9],"is":[10,50],"Monte":[11],"Carlo":[12],"simulation":[13],"of":[14,36,72],"net":[15],"present":[16],"value":[17],"(NPV).":[18],"Typically,":[19],"the":[20,34,37,46,55,70],"analyst":[21],"makes":[22],"an":[23],"assumption":[24],"about":[25],"probability":[26,47],"distributions":[27,43],"parameters":[29],"in":[30],"each":[31],"period":[32],"over":[33],"life":[35],"project":[38],"and":[39],"then":[40],"uses":[41],"these":[42],"to":[44,58],"generate":[45],"that":[48,54],"NPV":[49],"positive.":[51],"We":[52],"argued":[53],"conventional":[56],"approaches":[57],"multiperiod":[59],"uncertainty":[60],"may":[61],"be":[62],"unrealistic":[63],"some":[65],"parameters.":[66],"Our":[67],"solution":[68],"modeled":[69],"evolution":[71],"a":[73,76,79],"parameter":[74],"as":[75],"Martingale":[77],"with":[78],"shrinking":[80],"error":[81],"variance.":[82]},"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-06-24T00:00:00"}
