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Simplification of Utility Indifference Net Present Value Method
https://ncu.repo.nii.ac.jp/records/780
https://ncu.repo.nii.ac.jp/records/7800fdb52a5-f0c8-410f-b793-2f52e51300fc
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
B41-20100201-123 (474.1 kB)
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| アイテムタイプ | 紀要論文2 / Departmental Bulletin Paper(1) | |||||||||||
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| 公開日 | 2014-06-19 | |||||||||||
| タイトル | ||||||||||||
| タイトル | Simplification of Utility Indifference Net Present Value Method | |||||||||||
| 言語 | en | |||||||||||
| 言語 | ||||||||||||
| 言語 | eng | |||||||||||
| 資源タイプ | ||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||||
| 資源タイプ | departmental bulletin paper | |||||||||||
| 著者 |
三澤, 哲也
× 三澤, 哲也
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| 抄録(英) | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | The net present value (NPV) method is a well-known and established standard approach for assessing project value, but in this method, the risk to investors caused by uncertainty about future cash inflow is not taken into consideration entirely. From this point of view, Miyahara has recently proposed a risk assessment method for generation investment using the net present value based on utility indifference pricing, which is called the “utility indifference net present value (UNPV) method.” If one applies the UNPV method to an actual project value assessment, however, a vital problem on the utility function of the investor remains to be solved; it is generally difficult to identify this function. In this paper, a simplified procedure of the UNPV method is proposed, which is expected to circumvent the problem. The new procedure is formulated through a simple regression equation which is described in terms of some moments of randomized NPV: The regression equation is derived by approximating the utility function and estimating a probit model on the sign of UNPV under the assumption that the investor pays attention only to the execution of the project. Then, the sign of the equation determines whether or not one should execute the project. The additional remarks and conjectures on the proposed method are also given. | |||||||||||
| 書誌情報 |
オイコノミカ 巻 46, 号 3, p. 123-135, 発行日 2010-02-01 |
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| 収録物識別子タイプ | ISSN | |||||||||||
| 収録物識別子 | 03891364 | |||||||||||
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| 収録物識別子タイプ | NCID | |||||||||||
| 収録物識別子 | AN00025971 | |||||||||||
