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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, S. 877-897.
Veröffentlichungsdatum dieses Volltextes: 07 Mai 2020 04:57
Artikel
DOI zum Zitieren dieses Dokuments: 10.5283/epub.43131
Zusammenfassung
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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| Dokumentenart | Artikel | ||||
| Titel eines Journals oder einer Zeitschrift | Annals of operations research | ||||
| Verlag: | Springer | ||||
|---|---|---|---|---|---|
| Ort der Veröffentlichung: | DORDRECHT | ||||
| Band: | 313 | ||||
| Seitenbereich: | S. 877-897 | ||||
| Datum | 2022 | ||||
| Institutionen | Wirtschaftswissenschaften > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
| Identifikationsnummer |
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| Stichwörter / Keywords | CONDITIONAL VALUE; COHERENT; New approach; Business valuation; Project valuation; Terminal value; Risk measure | ||||
| Dewey-Dezimal-Klassifikation | 300 Sozialwissenschaften > 330 Wirtschaft | ||||
| Status | Veröffentlicht | ||||
| Begutachtet | Ja, diese Version wurde begutachtet | ||||
| An der Universität Regensburg entstanden | Ja | ||||
| URN der UB Regensburg | urn:nbn:de:bvb:355-epub-431317 | ||||
| Dokumenten-ID | 43131 |
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