论文标题
评估风险投资项目。投资确定性等效
On Evaluation of Risky Investment Projects. Investment Certainty Equivalence
论文作者
论文摘要
该研究的目的是提出一种评估和排名风险投资项目的方法。投资确定性等效方法是针对基于现金流量确定性等效性的常规分离无风险和风险贡献的常规分离。拟议的投资项目排名是基于欧米茄措施来衡量他们，该措施定义为获得利润/回报的机会比，比获得利润/回报的机会大于一些关键的利润/回报的机会，而不是关键的利润。讨论了对投资项目进行特征的各种绩效指标，特别关注重新投资的作用。讨论了根据风险调整后的折现率（RADR）利用的拟议方法与常规方法之间的关系。发现的结果是一个说明性的例子。提出的方法可用于对不同性质，规模和寿命的项目进行排名。与用于投资项目评估的常规RADR方法相反，在拟议的方法中，特定项目的风险概况通过适当的绩效措施分布明确分析。没有关于合适的风险基质的临时假设。
The purpose of the study is to propose a methodology for evaluation and ranking of risky investment projects.An investment certainty equivalence approach dual to the conventional separation of riskless and risky contributions based on cash flow certainty equivalence is introduced. Proposed ranking of investment projects is based on gauging them with the Omega measure, which is defined as the ratio of chances to obtain profit/return greater than some critical (minimal acceptable) profitability over the chances to obtain the profit/return less than the critical one.Detailed consideration of alternative riskless investment is presented. Various performance measures characterizing investment projects with a special focus on the role of reinvestment are discussed. Relation between the proposed methodology and the conventional approach based on utilization of risk-adjusted discount rate (RADR) is discussed. Findings are supported with an illustrative example.The methodology proposed can be used to rank projects of different nature, scale and lifespan. In contrast to the conventional RADR approach for investment project evaluation, in the proposed method a risk profile of a specific project is explicitly analyzed in terms of appropriate performance measure distribution. No ad-hoc assumption about suitable risk-premium is made.
