The Discount Rate for Investment Analysis Applying Expected Utility

Published Online:https://doi.org/10.1287/deca.2022.0059

References

  • Abbas AE (2007) Invariant utility functions and certain equivalent transformations. Decision Anal. 4(1):17–31.LinkGoogle Scholar
  • Baucells M, Sarin RK (2007) Evaluating time streams of income: Discounting what? Theory Decision 63(2):95–120.CrossrefGoogle Scholar
  • Bell DE (1974) Evaluating time streams of income. Omega Internat. J. Management Sci. 2(5):691–699.CrossrefGoogle Scholar
  • Bickel JE (2006) Some determinants of corporate risk aversion. Decision Anal. 3(4):233–251.LinkGoogle Scholar
  • Brandão LE, Dyer JS, Hahn WJ (2005) Using binomial decision trees to solve real-option valuation problems. Decision Anal. 2(2):69–88.LinkGoogle Scholar
  • Brealey R, Myers S, Allen F, Edmans A (2023) Principles of Corporate Finance. 14th ed. (Tata McGraw-Hill Education, New York).Google Scholar
  • Campbell JY, Viceira LM (2002) Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (Clarendon Lectures in Economic, Oxford, United Kingdom).CrossrefGoogle Scholar
  • Clemen RT, Reilly T (2014) Making Hard Decisions, 3rd ed. (Cengage Learning, Boston).Google Scholar
  • Cochrane JH (2001) Asset Pricing (Princeton University Press, Princeton, NJ).Google Scholar
  • Faig M, Shum P (2002) Portfolio choice in the presence of personal illiquid projects. J. Finance 57(1):303–328.CrossrefGoogle Scholar
  • Fama EF, French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.CrossrefGoogle Scholar
  • Garlappi L, Skoulakis G (2011) Taylor series approximations to expected utility and optimal portfolio choice. Math. Financial Econom. 5:121–156.CrossrefGoogle Scholar
  • Graham JR, Harvey CR (2001) The theory and practice of corporate finance: Evidence from the field. J. Financial Econom. 60(2):187–243.CrossrefGoogle Scholar
  • Greenwald BC, Stiglitz JE (1993) Financial market imperfections and business cycles. Quart. J. Econom. 108(1):77–114.CrossrefGoogle Scholar
  • Grossman SJ, Hart OD (1979) A theory of competitive equilibrium in stock market economies. Econometrica 47(2):293–329.CrossrefGoogle Scholar
  • Grossman SJ, Vila JL (1992) Optimal dynamic trading with leverage constraints. J. Financial Quant. Anal. 27(02):151–168.CrossrefGoogle Scholar
  • Hazen G (2009) An extension of the internal rate of return to stochastic cash flows. Management Sci. 55(6):1030–1034.LinkGoogle Scholar
  • Henderson V (2002) Valuation of claims on nontraded assets using utility maximization. Math. Finance 12(4):351–373.CrossrefGoogle Scholar
  • Henderson V, Hobson D (2007) Horizon-unbiased utility functions. Stochastic Processes Appl. 117(11):1621–1641.CrossrefGoogle Scholar
  • Howard RA (1988) Decision analysis: Practice and promise. Management Sci. 34(6):679–695.LinkGoogle Scholar
  • Johnstone D, Lindley D (2013) Mean–variance and expected utility: The Borch paradox. Statist. Sci. 28(2):223–237.CrossrefGoogle Scholar
  • Keeney R, Raiffa H (1976) Decisions with Multiple Objectives: Preference and Value Tradeoffs (John Wiley, New York).Google Scholar
  • Kim TS, Omberg E (1996) Dynamic nonmyopic portfolio behavior. Rev. Financial Stud. 9(1):141–161.CrossrefGoogle Scholar
  • MacLean L, Ziemba WT, Blazenko G (1992) Growth vs. security in dynamic investment analysis. Management Sci. 38(11):1562–1585.LinkGoogle Scholar
  • Magill M, Quinzii M (2002) Theory of Incomplete Markets, vol. 1 (MIT Press, Cambridge, MA).Google Scholar
  • Merton R (1990) Continuous-Time Finance (Blackwell, Cambridge, UK).Google Scholar
  • Øksendal B (2013) Stochastic Differential Equations: An Introduction with Applications. 5th ed. (Springer Science & Business Media, Berlin).Google Scholar
  • Rubinstein M (1976) The strong case for the generalized logarithmic utility model as the premier model of financial markets. J. Finance 31(2):551–571.CrossrefGoogle Scholar
  • Schwartz ES, Tebaldi C (2006) Illiquid assets and optimal portfolio choice. NBER Working Paper No. 12633, National Bureau of Economic Research, Cambridge, MA.Google Scholar
  • Smith JE (2004) Risk sharing, fiduciary duty, and corporate risk attitudes. Decision Anal. 1(2):114–127.LinkGoogle Scholar
  • Smith JE, Nau RF (1995) Valuing risky projects: Option pricing theory and decision analysis. Management Sci. 41(5):795–816.LinkGoogle Scholar
  • Vila JL, Zariphopoulou T (1997) Optimal consumption and portfolio choice with borrowing constraints. J. Econom. Theory 77(2):402–431.CrossrefGoogle Scholar
  • Walls MR, Dyer JS (1996) Risk propensity and firm performance: A study of the petroleum exploration industry. Management Sci. 42(7):1004–1021.LinkGoogle Scholar
  • Wilson R (1968) The theory of syndicates. Econometrica 36(1):119–132.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.