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11-Sensitivity Analysis2
11-Sensitivity Analysis2
SENSITIVITY ANALYSIS
Two-Way Sensitivity Analysis
for 3 Alternatives
An investor has funds available to invest in one of three choices: a
high-risk stock, a low-risk stock, or a savings account that
pays a sure $500. If he invests in the stocks, he must pay a
brokerage fee of $200.
His payoff for the two stocks depends in part on what happens to
the market as a whole. If the market goes up (as measured, say,
by the Standard and Poor’s 500 Index increasing 8% over the
next 12 months), he can expect to earn $1700 from the high-risk
stock and $1200 from the low-risk stock. Finally, if the stock
market goes down (as indicated by the index decreasing by 3% or
more), he will lose $800 with the high-risk stock but still gain $100
with the low-risk stock. If the market stay at roughly the same
level, his payoffs for the high- and low-risk stock will be $300 and
$400, respectively
Teknik Industri 2
Two-Way Sensitivity Analysis
for 3 Alternatives
t = P(market up)
v = P(market same)
P(market down) = 1 – t – v
Teknik Industri 3
Two-Way Sensitivity Analysis
for 3 Alternatives
v 1
Daerah yang memenuhi
t+v1
0.8 Cari region dimana Saving Account lebih
A prefer dari Low-risk Stock :
0.6 EMV (Saving Account) EMV (Low-risk Stock)
500 t (1000) + v (200) + (1–t–v) (-100)
0.4
v 2 – 11 t
3
Misal: v = 0 maka :
Savings
6 = 11 t t = 0,545
0.2
Account
Low-risk Stock
t = 0 maka:
t v=2
0.2 0.4
B 0.6 0.8 1
Teknik Industri 4
Cari region dimana Low -Risk Stock lebih prefer dari
High-Risk Stock :
This reduces to :
9 7t
v
8 4
Teknik Industri 5
Two-Way Sensitivity Analysis
for 3 Alternatives
Teknik Industri 6
EMV (Saving Account) EMV (High-Risk Stock)
This reduces to :
15 25t
v
11 11
Teknik Industri 7
Two-Way Sensitivity Analysis
for 3 Alternatives
Teknik Industri 8
Two-Way Sensitivity Analysis: Texaco – Penzoil
Teknik Industri 9
Two-Way Sensitivity Analysis: Texaco – Penzoil
Teknik Industri 10
Two-Way Sensitivity Analysis: Texaco – Penzoil
Teknik Industri 11
Two-Way Sensitivity Analysis: Texaco – Penzoil
Teknik Industri 12
Two-Way Sensitivity Analysis: Texaco – Penzoil
Teknik Industri 13
Two-Way Sensitivity Analysis: Texaco – Penzoil
Teknik Industri 14
Two-Way Sensitivity Analysis: Texaco – Penzoil
Teknik Industri 15
Latihan
In trying to make an investment decision, a decision analyst
draws the following decision tree. The decision analyst is not
sure of his assessment of the probability p or q. When pressed,
he says he is sure that 0.4 p 0.6 and 0.1 q 0.4, but he is
not sure of the actual values. Can he make the decision?
Teknik Industri 16