| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18496 |
| 来源ID | Working Paper 18496 |
| Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates | |
| Martin L. Weitzman | |
| 发表日期 | 2012-10-25 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | What is the best way to incorporate a risk premium into the discount rate schedule for a real investment project with uncertain payoffs? The standard CAPM formula suggests a beta-weighted average of the return on a safe investment and the mean return on an economy-wide representative risky investment. Suppose, though, that the project constitutes a tail-hedged investment, meaning that it is expected to yield positive payoffs in catastrophic states of nature. Then the model of this paper suggests that what should be combined in a weighted average are not the two discount rates, but rather the corresponding two discount factors. This implies an effective discount rate schedule that declines over time from the standard CAPM formula down to the riskfree rate alone. Some simple numerical examples are given. Implications are noted for discounting long-term public investments and calculating the social cost of carbon in climate change. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Environmental and Resource Economics ; Environment |
| URL | https://www.nber.org/papers/w18496 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576171 |
| 推荐引用方式 GB/T 7714 | Martin L. Weitzman. Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18496.pdf（218KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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