Modeling Decisions

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+v1
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 :

EMV (Low-Risk Stock)  EMV (High-Risk Stock)

1000t + 200v – (1- t- v) 100  1500t + 100v - (1–t–v) 1000

 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)

500  1500t + 100v - (1–t–v) 1000

 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