期刊名称：Asian Journal of Economics, Business and Accounting
印刷版ISSN：2456-639X
出版年度：2017
卷号：2
期号：1
页码：1-7
DOI：10.9734/AJEBA/2017/29173
语种：English
出版社：Sciencedomain International
摘要：Applications of three computational methods in the evaluation of NPV and NPV at risk (NPVaR) of a project are studied. These methods are stochastic dominance, dynamic programming and Bayes filtering. First, the definition of NPVaR is related to the stochastic dominance as a maximization problem, then the dynamic programming method is used to solve the maximization in the presence of an investor belief parameter. To enter this parameter to the problem, the Bayes filter method is applied. Literatures is reviewed about these three methods. The sensitivity analysis of the results to the different utility functions as well as to the continuous compounding methods are also studied. A real data set is presented. Finally, a conclusion section is also given.
关键词：Bayes filter;cash flow;dynamic programming;NPVaR;sensitivity analysis;stochastic dominance;utility function
