Derivation of an intertemporal correlation coefficient model based on cash flow components and probabilistic evaluation of a project's NPV.(net present value): An article from: Engineering Economist

This digital document is an article from Engineering Economist, published by Institute of Industrial Engineers, Inc. (IIE) on September 22, 1999. The length of the article is 4881 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the author: 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.

Citation Details
Title: Derivation of an intertemporal correlation coefficient model based on cash flow components and probabilistic evaluation of a project's NPV.(net present value)
Author: Sang-Hoon Kim
Publication:Engineering Economist (Refereed)
Date: September 22, 1999
Publisher: Institute of Industrial Engineers, Inc. (IIE)
Volume: 44 Issue: 3 Page: 276(1)

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