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BOUNDING CERTAINTY EQUIVALENT FACTORS AND RISK ADJUSTED DISCOUNT RATES (1983)

Bøhren, Øyvind

Oxford, UK : Blackwell Publishing Ltd

Journal of business finance & accounting 10 (1983), S. 0

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ISSN: 1468-5957

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: The risk adjustment parameters of the certainty equivalent and risk adjusted discount rate models are defined under the additive time-state-preference valuation. Bounding numerical values of such parameters before estimation starts is of little help when expected cashflow value is close to zero or if the cashflow is a mixture of contingent in - and outflows. A constant parameter over time involves very restrictive cashflow and valuation assumptions in either model. Intuition may be a poor guide for a priori sefecting a class of time profiles, particularly so if the cashflow changes sign over time.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1468-5957.1983.tb00417.x

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