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An Analysis of the Kuhn-Tucker Conditions of Stochastic Programming with Reference to the Estimation of Discount Rates and Risk Premia (1974)

HAEGERT, LUTZ ; Adelson, R. M.

Oxford, UK : Blackwell Publishing Ltd

Journal of business finance & accounting 1 (1974), S. 0

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ISSN: 1468-5957

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: The interpretation of the duality conditions of linear programming in the determination of optimal investment programmes has definitively clarified the question of the ‘correct’ discount rate in the deterministic case (Chames, Cooper, Miller, 1959). A similar total analysis of the multiple expectations case facilitates superior indications of the nature of the present value calculation for a piecemeal approach to project appraisal. A controversial issue is the question of whether the expected values of net cash flows should be discounted with a ‘risk-adjusted’ rate or whether such flows should first be adjusted for risk and then be discounted at a ‘risk free’ rate.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1468-5957.1974.tb00865.x

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