Risk-Aware Multi-Objective Optimization of Capital Structure for Private Financing in Infrastructure Projects

This study proposes a simulation-based and risk-aware multi-objective optimization framework to determine the capital structure for private financing in infrastructure projects to align the interests between the lender and the shareholder. Monte Carlo simulation is used for project valuation and conditional value at risk is introduced to measure the inherent risk associated with the expected project performance. A multi-objective optimization problem is formulated, where the decision variables are the amounts of diversified debt instruments, the first objective is to maximize the net present value while minimize the conditional cash flow at risk from the shareholder’s perspective, and the second objective is to maximizes the rate of return on the loans while minimize the default risk of shareholders from the lender’s perspective. Fast non-dominated sorting genetic algorithm NSGA-II is used to solve the problem. The case of Indiana Toll Road is presented as a numerical study to prove the concept.

Language

  • English

Media Info

  • Media Type: Web
  • Features: Figures; References;
  • Pagination: 8p
  • Monograph Title: Computing in Civil Engineering 2017: Information Modeling and Data Analytics

Subject/Index Terms

Filing Info

  • Accession Number: 01683721
  • Record Type: Publication
  • ISBN: 9780784480823
  • Files: TRIS, ASCE
  • Created Date: Oct 4 2018 4:26PM