This paper proposes a new discount rate that pension funds can use to discount their future obligations. If the payouts of a pension fund depend on the return of the fund's assets, then neither the risk-free rate nor the expected return is an equitable way to discount future liabilities. Using...

Expected utility of net present value is the practitioner's approach to incorporate risk aversion into the evaluation of a project's cash flows. The discount rate and the convergence with the risk-neutral beta-adjusted approach from finance have always been a question. To fill this gap, we adopt...