Duration and interest rate risk for uncertain cash flow streams

Article Abstract:

An extension of the Hicks-Macaulay-Samuelson duration analysis is made to allow for uncertainty in asset cash flows. The duration measure may have a density function that does not have central moments when the cash flows are functions of a Brownian moment. However, the revised version of the duration measure is shown to be normally distributed. It is applicable to probability assessments of the sensitivity of the current value of the cash flow stream of an asset to interest rate movements.

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A modified 'square root' process for determining the value of the option to (dis)invest

Article Abstract:

A study involving capital project and determining optimal investment criteria, whose cash flows are calculated in the form of 'modified square root' process, is presented.

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Discussion of estimating the equity risk premium using accounting fundamentals

Article Abstract:

The use of accounting fundamentals in estimating equity risk premium is examined.

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