Int. J. Simul. Multidisci. Des. Optim.
Volume 12, 2021
|Number of page(s)||9|
|Published online||15 October 2021|
Incorporating simulated annealing algorithm in the Weibull distribution for valuation of investment return of Malaysian property development sector
School of Mathematical Sciences, Universiti sains Malaysia, Penang, Malaysia
2 Department of Mathematics, Isa Kaita College of Education, Dutsin-Ma, Nigeria
* e-mail: email@example.com
Accepted: 28 September 2021
In this study, a simulated annealing algorithm(SAA) has been incorporated in the Weibull Distribution (WD) for Valuation of Investment Return. The purpose is to examine the behaviour of investment's attractiveness in the Malaysian property development sector (MPDS) for a long-term investment period. The research intends is to produce parameters estimates of the WD using MIRR data extracted from the financial report of MPDS for 5 years investment period. The shape parameter of the WD reflects the effectiveness in maximizing the investment performance on MPDS with lower returns and is represented as the slope of the fitted line on a Weibull probability plot. The estimated results obtained using the Simulated annealing algorithm (SAA) has been compared with Differential Evolution (DE) and other existing estimation methods in terms of root mean square error (R-MSE) and coefficient of determination (R-Square). The findings revealed that Weibull distribution parameters estimated via Simulated annealing algorithm have good agreement with parameters estimated via Differential Evolution (DE) and other existing methods based on the transformed MIRR data from the MPDS. The study is expected to provide an overview of the investment behaviour for the long-term investment return in the MPDS. Therefore, SAA in estimating the WD parameters can serve as a good alternative approach for the assessment of the investment potential using MIRR data. The study will be extended to accommodate the growth rate arising from the financial data such as investment growth and insurance claim data.
Key words: Investment modelling / modified internal rate of return / Weibull distribution / Maximum likelihood / simulated annealing algorithm / goodness-of-Fit tests
© H. Abubakar and S.R.M. Sabri, Published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.