Advances in Risk Management

276 TIME-VARYING RETURN CORRELATIONS AND PORTFOLIOS are made, one for the total sample, one for the low-risk portfolios and one ...

THADAVILLIL JITHENDRANATHAN 277 Fletcher, J. and Hiller, J. (2001) “An Examination of Resampled Portfolio Efficiency”, Financial ...

CHAPTER 15 The Derivation of the NPV Probability Distribution of Risky Investments with Autoregressive Cash Flows Jean-Paul Paqu ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 279 probabilistic approaches to risky investment decisions were swept awa ...

280 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS the probabilistic approach, as a general approach to capital investment, i ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 281 risk, as measured by beta, contributed significantly less than did to ...

282 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS undiversifiable rate of return variance. Volatility of stock returns and r ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 283 CAPM efficient market completely ignores the fact that the real econo ...

284 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS of bankruptcy caused by any failure to meet legal debt claims. Under the M ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 285 a distinctive legal entity prevents such a substitution but generates ...

286 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS variables, but rather a sum of discounted cash flows, then the shape of th ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 287 Table 15.1Discount rates and the first term factor of the cumulants o ...

288 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS 15.5 THE NPV PROBABILITY DISTRIBUTION AND THE CLT: SIMULATION MODELS AND S ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 289 while the second-order autoregressive process is defined by: ̃εt=ρ 1 ...

290 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS Table 15.2 Calculated Chi-square table normal distributionε ̃=ρ ̃εt− 1 +u ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 291 Table 15.4Calculated Chi-square table uniform distribution ̃εt=ρε ̃t− ...

292 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS Table 15.6 Calculated Chi-square table double exponential distribution ε ̃ ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 293 Table 15.8Calculated Chi-square table double exponential distribution ...

294 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS However and as soon as a positive discount rate is introduced into the NPV ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 295 To simplify the notation, let us defineαt=(1+kc)−t. Equation (1) beco ...