DETERMINATION OF THE RISK-FREE RATE OF RETURN ON AN INVESTMENT EFFICIENCY BASED ON THE FRACTAL MARKETS HYPOTHESIS
Ескіз недоступний
Дата
2020
Назва журналу
Номер ISSN
Назва тому
Видавець
Варшава: УНІВЕРСИТЕТ WSB
Анотація
In determining the economic efficiency of an investment project, the rationale and choice of the discount rate is the most difficult step. The methods of investment assessment are built
on the rate of return used to discount future cash flows back to their present value. To increase the accuracy of calculations and reduce the subjective assessments of experts, statistical
methods are used. The market process is known to be stochastic. Therefore, investors know that the application of statistical methods is not practical, and thus prefer to use their
ntuition and professional experience. The alternative group of methods such as the Fractal Markets Hypothesis is not widely used because it is difficult to carry out calculations according to the proposed formulas in practice. In this paper, the aim is to propose a method for determining the risk-free rate of return on an investment project based on the Fractal Markets Hypothesis for identifying long-term dependence and assessing the contribution to the total result of changes in inflation. The objective of the study is the determination of the risk-free rate of return on an investment project. The real risk-free rate is calculated as the existing inflation rate. The result of this paper is the definition of inflation boundaries for Poland, Ukraine and Russia, which may be used for determining the risk-free rate of return on an investment project.
Опис
Ключові слова
Economic efficiency, investment project, risk, rate of return, Poland, Ukraine, Russia