Abstract
An alternative formulae is derived for NPV. First, the equivalence of NPV formulae and the value of a special portfolio is shown and weights of special portfolio is derived by minimizing the variance of portfolio.
Highlights
The concept of NPV plays important role in finance
(iii) Assuming distributions of Fi's are given, the Monte Carlo simulation involved variance reduction may be used in Modelrisk software to calculate the Net present value at risk (NPVaR), as did Ye and Tiong (2000)
Suppose that Fj − Fj −1 be a sequence of independent variables with mean μi variance σj[2]
Summary
The concept of NPV plays important role in finance. Ye and Tiong (2000) introduced the concept of Net present value at risk (NPVaR) for financed infrastructure projects. For given discrete time cash flow stream i, Fi , i = 1,2, ..., the NPV is I =1 where r is given interest rate and Z is the z-transform function, see Park and Sharp-bette (1990).
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
