| 投资项目风险模拟分析中样本量的决定方法 |
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| 引用本文： | 张宏亮,王其文.投资项目风险模拟分析中样本量的决定方法[J].系统工程理论与实践,2004,24(2):14-18. |
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| 作者姓名： | 张宏亮 王其文 |
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| 作者单位： | 北京大学光华管理学院 |
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| 基金项目： | 国家自然科学基金(79970019) |
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| 摘 要： | 介绍了蒙特卡罗模拟应用中两种判断模拟样本量的方法——绝对偏差方法和相对偏差方法.结合一个风险投资项目的事例,通过大最模拟计算,对模拟样本量的判断方法进行了验证,将双样本方法、多阶段方法与基本的单样本方法的结果果进行了比较,并且分析了置信区间与置信度的参数改变对所需模拟样本量的影响.
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| 关 键 词： | 风险分析 蒙特卡罗模拟 模拟样本量 |
| 文章编号： | 1000-6788(2004)02-0014-05 |
| 修稿时间： | 2003年3月3日 |
Sample Size Determination Methods for Simulation in the Risk Analysis of Investment Projects |
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| ZHANG Hong-liang,WANG Qi-wen.Sample Size Determination Methods for Simulation in the Risk Analysis of Investment Projects[J].Systems Engineering —Theory & Practice,2004,24(2):14-18. |
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| Authors: | ZHANG Hong-liang WANG Qi-wen |
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| Institution: | Guanghua School of Management, Peking University |
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| Abstract: | This paper introduces two methods: Absolute Error Method and Relative Error Method,which are used to determine the proper sample size in Monte Carlo simulation. An example of risk investment projects is presented and analyzed based on a lot of repaeated simulations. The results validate these methods and show the difference among the Single Sample Method, Double Sample Method, and Multiple Stage Method. The influences to the required sample size by changing parameters, such as the length of the confidence interval and the confidence degree, are analyzed also. |
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| Keywords: | risk analysis monte carlo simulation sample size determination |
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