Cash Flow Modelling and Forecasting in Capital Budgeting Under Uncertainty*
研究了资本投资中现金流的建模与预测方法，将自回归、移动平均等时间序列模型应用于资本预算，推导了项目净现值的均值和方差表达式，并探讨了均衡定价模型对定价和风险分析的影响。
ABSTRACT The subject of this paper is modelling and forecasting of cash flows generated by a capital investment. The paper proposes the application of autoregressive, moving average, and mixed autoregressive moving‐average processes to capital budgeting. In addition, models for deterministic, stochastic and seasonal trends are considered. For each class of cash flows, analytical expressions are developed for the mean and variance of a project's net present value (NPV). Also considered are several equilibrium pricing models. For two of them, the forecasting methodology developed here is integrated into the pricing equation. Although the overall emphasis of the paper is on modelling and forecasting of cash flows, the implications for NPV pricing and risk analysis are also investigated. Several examples are used to illustrate the impact of particular cash flow models on the price and risk of a project.