Dorfleitner, Gregor (2020) On the use of the terminal-value approach in risk-value models. ANNALS OF OPERATIONS RESEARCH. ISSN 0254-5330, 1572-9338
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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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | CONDITIONAL VALUE; COHERENT; New approach; Business valuation; Project valuation; Terminal value; Risk measure |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) |
| Depositing User: | Petra Gürster |
| Date Deposited: | 09 Apr 2021 09:41 |
| Last Modified: | 09 Apr 2021 09:41 |
| URI: | https://pred.uni-regensburg.de/id/eprint/44509 |
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