Dorfleitner, Gregor and Gleissner, Andwerner (2018) Valuing streams of risky cashflows with risk-value models. JOURNAL OF RISK, 20 (3). pp. 1-27. ISSN 1465-1211, 1755-2842
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Based on risk-value models, we introduce a multiperiod approach to the valuation of streams of risky cashflows. The valuation is based on the (expected) value of the output's or input's magnitude and the risk of the output cashflow, as captured by a risk measure. We derive three formulas for valuing single cashflows and utilize the principles of separate valuation and of cumulating the cashflows to derive a multiperiod valuation method. In an axiomatic way, the paper sets out the foundations for a new approach and suggests several directions for its further development.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | ASSET PRICING MODEL; EXPECTED RETURNS; STOCK RETURNS; UNCERTAINTY; VOLATILITY; VALUATION; FINANCE; FIRM; risk-value models; company valuation; project valuation; alternative approach; valueat-risk (VaR) |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 20 Mar 2020 12:20 |
| Last Modified: | 20 Mar 2020 12:20 |
| URI: | https://pred.uni-regensburg.de/id/eprint/15120 |
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