Risk Sensitive Value Measure Method A New Method of Project Evaluation (True ) | 2.37 MB
Title: Risk Sensitive Value Measure Method: A New Method of Project Evaluation
Author: Yoshio Miyahara
Category: Nonfiction, Science & Nature, Mathematics, Statistics, Business & Finance, Finance & Investing, Finance
Language: English | 193 Pages | ISBN: 9789819808571
Description:
What is the most effective method for project evaluation? While the standard Net Present Value (NPV) method is widely used for its simplicity, it has notable limitations: it insufficiently accounts for the random complexity of cash flows and fails to capture the flexibility inherent in project execution.
This book introduces an innovative evaluation method designed to address these shortcomings. It begins by analyzing the evaluation of random variables, representing the Random Present Values (RPVs) of cash flows, and identifies the optimal evaluation functional for RPVs. Through this analysis, the concave monetary value measure – or concave monetary utility function – emerges as the most suitable tool.
The study is then extended to dynamic value measures, leading to the conclusion that the risk-sensitive value measure is the most robust approach for project evaluation. Practical applications of this method are thoroughly explored, offering valuable insights for tackling real-world project evaluation challenges.
Readership: Mathematical finance researchers in academia and industry; Mathematicians of probability and statistics; Graduate students of mathematical finance; Project managers; Risk analysts; Economists.
What is the most effective method for project evaluation? While the standard Net Present Value (NPV) method is widely used for its simplicity, it has notable limitations: it insufficiently accounts for the random complexity of cash flows and fails to capture the flexibility inherent in project execution.
This book introduces an innovative evaluation method designed to address these shortcomings. It begins by analyzing the evaluation of random variables, representing the Random Present Values (RPVs) of cash flows, and identifies the optimal evaluation functional for RPVs. Through this analysis, the concave monetary value measure – or concave monetary utility function – emerges as the most suitable tool.
The study is then extended to dynamic value measures, leading to the conclusion that the risk-sensitive value measure is the most robust approach for project evaluation. Practical applications of this method are thoroughly explored, offering valuable insights for tackling real-world project evaluation challenges.
Readership: Mathematical finance researchers in academia and industry; Mathematicians of probability and statistics; Graduate students of mathematical finance; Project managers; Risk analysts; Economists.
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