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Dorfleitner, Gregor

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 typeArticle
Journal or Publication TitleAnnals of operations research
Publisher:Springer
Place of Publication:DORDRECHT
Volume:313
Page Range:pp. 877-897
Date2022
InstitutionsBusiness, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Identification Number
ValueType
10.1007/s10479-020-03644-2DOI
KeywordsCONDITIONAL VALUE; COHERENT; New approach; Business valuation; Project valuation; Terminal value; Risk measure
Dewey Decimal Classification300 Social sciences > 330 Economics
StatusPublished
RefereedYes, this version has been refereed
Created at the University of RegensburgYes
URN of the UB Regensburgurn:nbn:de:bvb:355-epub-431317
Item ID43131

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