DERIVATION OF AN INTERTEMPORAL CORRELATION COEFFICIENT MODEL BASED ON CASH FLOW COMPONENTS AND PROBABILISTIC EVALUATION OF A PROJECT'S NPV
作者:
SANG-HOON KIM,
HUSSEINH. ELSAID,
DAVIDJ. KIM,
期刊:
The Engineering Economist
(Taylor Available online 1999)
卷期:
Volume 44,
issue 3
页码: 276-294
ISSN:0013-791X
年代: 1999
DOI:10.1080/00137919908967524
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
If the first two moments (mean and variance) of the net present value (NPV) are known, various probabilistic information of possible NPV can be derived. However, in general, it is practically impossible to estimate the variance of lengthy investment projects due to difficulties in estimating all the intertemporal correlation coefficients between cash flows of two different periods. In this paper, we derive an estimation model for the intertemporal coefficients based on cash flow components and show how the model, under a certain assumption, can be used for estimating and deriving probabilistic information.
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