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On the use of the terminal-value approach in risk-value models
Dorfleitner, Gregor
(2022)
On the use of the terminal-value approach in risk-value models.
Annals of operations research 313, pp. 877-897.
Date of publication of this fulltext: 07 May 2020 04:57
Article
DOI to cite this document: 10.5283/epub.43131
Abstract
We extend risk-value models for valuing streams of risky cash flows by establishing the well-known concept of terminal value in this context. For a constant growth assumption we are able to derive upper and lower bounds for the terminal value in the case of a translation-invariant and in the case of a position-invariant risk measure. For both cases we also obtain an exact formula under a special ...
We extend risk-value models for valuing streams of risky cash flows by establishing the well-known concept of terminal value in this context. For a constant growth assumption we are able to derive upper and lower bounds for the terminal value in the case of a translation-invariant and in the case of a position-invariant risk measure. For both cases we also obtain an exact formula under a special growth assumption for the future cash flows. Furthermore, we provide results on the applicability of the general findings for the case that the log-return of the risky investment follows a Brownian motion.
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Details
| Item type | Article | ||||
| Journal or Publication Title | Annals of operations research | ||||
| Publisher: | Springer | ||||
|---|---|---|---|---|---|
| Place of Publication: | DORDRECHT | ||||
| Volume: | 313 | ||||
| Page Range: | pp. 877-897 | ||||
| Date | 2022 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
| Identification Number |
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| Keywords | CONDITIONAL VALUE; COHERENT; New approach; Business valuation; Project valuation; Terminal value; Risk measure | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| URN of the UB Regensburg | urn:nbn:de:bvb:355-epub-431317 | ||||
| Item ID | 43131 |
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