Certainty Equivalents and Timing Uncertainty

B-Tier
Journal: Journal of Financial and Quantitative Analysis
Year: 1975
Volume: 10
Issue: 1
Pages: 109-118

Score contribution per author:

2.018 = (α=2.02 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Three important methods exist for the treatment of risk in capital budgeting problems: the certainty equivalent method (CE), the risk-adjusted discount method (RAD), and the probability distribution or Hillier-Hertz approach (PD, based on [4]). Each one of these methods evaluates the multiperiod stream of risky returns generated by an investment for given distributions of the returns in each period. A common assumption for all three methods is the certainty of the occurrence of a given risky cash inflow (defined by its distribution) in a given time period. This assumption is probably derived from accounting practices. In references [8] and [9] the PD approach was generalized by removing the certain timing assumption. This paper examines the implications of random timing of cash returns within the framework of the better known CE method.

Technical Details

RePEc Handle
repec:cup:jfinqa:v:10:y:1975:i:01:p:109-118_01
Journal Field
Finance
Author Count
1
Added to Database
2026-01-29