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Erweiterungen zu „Simplified Discounting Rules in Binomial Models“ von Frank Richter
Rosarius, Stephan; Wiese, Jörg - Volkswirtschaftliche Fakultät, … - 2005
Bei der Bewertung von Unternehmen ist es üblich, die erwarteten Überschussverteilungen mit Kapitalkosten zu … Anwendung von konstanten Kapitalkosten erlauben. Die vorliegende Arbeit erweitert die Überlegungen von Richter dahingehend, dass …, dass sich die Kapitalkosten auf Basis der unterstellten Verteilungsparameter der Wachstumsraten und der Marktrendite sowie …
Persistent link: https://www.econbiz.de/10005649763
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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
Muteba Mwamba, John; Suteni, Mwambi - Volkswirtschaftliche Fakultät, … - 2010
This paper constructs an alternative investment strategy to portfolio optimization model in the framework of the Mean–Variance portfolio selection model. To differentiate it from the ubiquitously applied Mean–Variance model, which is constructed on an assumption that returns are normally...
Persistent link: https://www.econbiz.de/10011259339
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Empirical policy functions as benchmarks for evaluation of dynamic capital structure models
Bazdresch, Santiago - Volkswirtschaftliche Fakultät, … - 2011
This paper presents a set of benchmark moments for evaluation or estimation of quantitative capital structure models. The moments are directly related to the models being studied: the main features of each models' empirical policy functions. The paper describe a general method for estimating...
Persistent link: https://www.econbiz.de/10009402057
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Optimal Cash Management Under Uncertainty
Bensoussan, Alain; Chutani, Anshuman; Sethi, Suresh - Volkswirtschaftliche Fakultät, … - 2009
We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...
Persistent link: https://www.econbiz.de/10008567676
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Mathematic Modelling of the Transaction in the Bugetary Activity
Stegaroiu, Carina-Elena - Volkswirtschaftliche Fakultät, … - 2008
The submitted paper is intended to revolutionize the handling methods of credit sheets and the means of collecting … phenomenon in the area of credit ordination through the help of inserting rare matrix in the mathematical designs of complex …
Persistent link: https://www.econbiz.de/10005789795
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CAPM-based capital budgeting and nonadditivity
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2006
This paper deals with the CAPM-derived capital budgeting criterion, and in particular with Rubinstein’s (1973) criterion, according to which a project is profitable if the project rate of return is greater than the risk-adjusted cost of capital, where the latter depends on the project’s...
Persistent link: https://www.econbiz.de/10011267900
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Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
The M&A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M&A transactions can be successfully implemented by taking to an account the size of investments,...
Persistent link: https://www.econbiz.de/10011259891
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The phased approach to time value of money in economic analysis of investment projects
Daskovskiy, Vadim; Kiselyov, Vladimir - Volkswirtschaftliche Fakultät, … - 2010
factor in modeling IP economic flows, banks’ feasibility study of credit repayment was used. …
Persistent link: https://www.econbiz.de/10011260371
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Assessment of investment projects on the basis of production efficiency
Daskovskiy, Vadim; Kiselyov, Vladimir - Volkswirtschaftliche Fakultät, … - 2010
Methodologically, the recommended investment project (IP) selection system is distinguished from one in force by: new conception allowing for time factor; evaluating IP efficiency by eventual reproduction results, not by intermediate investment activity results (included is a generalized...
Persistent link: https://www.econbiz.de/10011260914
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Project valuation and investment decisions: CAPM versus arbitrage
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM-based valuation violates value additivity. As a consequence, the...
Persistent link: https://www.econbiz.de/10005260104