Valuing Streams of Risky Cash Flows with Risk-Value Models

Journal of Risk, Forthcoming

38 Pages Posted: 16 May 2017

See all articles by Gregor Dorfleitner

Gregor Dorfleitner

University of Regensburg - Department of Finance

Werner Gleißner

Independent

Date Written: May 11, 2016

Abstract

Based on risk-value models we introduce a multi-period approach to the valuation of streams of risky cash flows. The valuation is based on the (expected) value of the output’s or input’s magnitude and the risk of the output cash flow, as captured by a risk measure. We derive three formulae for valuing single cash flows and utilize the principles of separate valuation and of cumulating the cash flows to derive a multi-period valuation method. In an axiomatic way, the article sets the foundations for a new approach and suggests several directions for its further development.

Keywords: Risk-Value Models, Company Valuation, Project Valuation, Alternative Approach

Suggested Citation

Dorfleitner, Gregor and Gleißner, Werner, Valuing Streams of Risky Cash Flows with Risk-Value Models (May 11, 2016). Journal of Risk, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2967282

Gregor Dorfleitner (Contact Author)

University of Regensburg - Department of Finance ( email )

Regensburg, 93040
Germany

Werner Gleißner

Independent ( email )

No Address Available

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