Wow! eBook
Risk Sensitive Value Measure Method: A New Method Of Project Evaluation
Author(s): Yoshio Miyahara (Author)
- Publisher: WSPC
- Publication Date: June 23, 2025
- Language: English
- Print length: 284 pages
- ISBN-10: 9819808553
- ISBN-13: 9789819808557
Book Description
What is the most effective method for project evaluation? While the standard Net Present Value (NPV) method is widely used for its simplicity, it has notable limitations: it insufficiently accounts for the random complexity of cash flows and fails to capture the flexibility inherent in project execution. This book introduces an innovative evaluation method designed to address these shortcomings. It begins by analyzing the evaluation of random variables, representing the Random Present Values (RPVs) of cash flows, and identifies the optimal evaluation functional for RPVs. Through this analysis, the concave monetary value measure — or concave monetary utility function — emerges as the most suitable tool. The study is then extended to dynamic value measures, leading to the conclusion that the risk-sensitive value measure is the most robust approach for project evaluation. Practical applications of this method are thoroughly explored, offering valuable insights for tackling real-world project evaluation challenges.
Editorial Reviews
About the Author
Yoshio Miyahara: Professor Emeritus from Nagoya City University, and Advisory Editor of Asian-Pacific Financial Markets. A distinguished researcher in mathematical finance, Professor Miyahara is celebrated for introducing the minimal entropy martingale measure and advancing the study of incomplete asset markets. He served as a Council Member of the Bachelier Finance Society (2004–2007) and President of the Japanese Association of Financial Econometrics and Engineering (2011–2013). His notable work, Option Pricing in Incomplete Markets: Modelling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures (ICP, WCPC, 2012), highlights his expertise in modeling complex financial systems.