A New Model for Risk Management in Investment Projects Selection by Fuzzy FMEA and ANP

Document Type : applied

Authors

1 Assistant Prof. Industrial Engineering, Payame Noor University,Tehran, Iran

2 MSc., Industrial Engineering, Payame Noor University, Tehran, Iran

Abstract

Since the risk is an important subject in the selection of oil projects, many researchers focus on the optimization of project selection and enhancement of the security of energy supplies development. Previous studies have been widely developed using optimization techniques to somewhat reduce the risk of energy resources. This study selected National Iranian Oil Company as a case study and classified the risks of the development and production projects and then the weight of each risk was determined using the failure analysis techniques and fuzzy numbers. Then, the relative impact of each risk on return of projects was obtained by fuzzy analytical hierarchy process. Then using the weight of each risk, its relative impact on return and the proposed model based Markowitz model, the overall effect of risks on the portfolio final return was determined. The results show in optimistic situation investment in developing projects will be profitable but in pessimistic situation, it suggests investment in production projects for risky investor and investment in development projects for risk-averse investor.
JEL: G11, G21, G32
How to cite this paper: Salehi, M., & Hoseinpour, Z. (2016). A New Model for Risk Management in Investment Projects Selection by Fuzzy FMEA and ANP. Quarterly Journal of Risk Modeling and Financial Engineering, 1(2), 244–263. (In Persian)

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Journal of Risk modeling and Financial Engineering
Volume 1, Issue 2 - Serial Number 2
December 2016
Pages 244-263

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