نشریه تحقیقات مالی
پیاپی 34 (پاییز و زمستان 1391)

In most of the multi-criteria decision making problems، it is important to have necessary information about relative importance of each criteria. In this group of problems، weights measure the relative importance of preferences of each criteria in comparison with the other decision making criteria. In this research، the NISE method has been used for mapping Mean-Variance efficient frontier. NISE is a technique for creating sets of non-inferior points. In this technique، preferential information about relative value of each objective is not applicable. This ability is the main advantage of this technique، which in this research has been used for selecting optimum portfolio for investors.

In this study، in order to consider the effects of cash flow fluctuations on project profitability، the new risk kind indicators are proposed to assess projects risk. Firstly، Project cash flow calculates on the basis of cost and revenue data in an LNG project. Then distribution curves of two variables، oil price and interest rate of foreign loans، are utilized to determine distribution curve of net present value of cash flow in project life time through Monte Carlo simulation method. Based on this result distribution curve of profitability index and two risk indices، value at risk and expected shortfall، are estimated. The risk assessment results show that profit volatility in LNG projects greatly affected by dependence on feed gas price and factory revenue with oil price. Financial risk assessment of Iran LNG project، as the case study of this research، shows the deterministic price formula for calculating upstream gas is such that with rising oil prices and factory revenues، upstream gas prices to be raised proportionally. Despite the positive effect on reducing financial risk of the project، this relationship between revenues and costs has limited the range of shareholder profits، significantly.