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2 edition of Martingales and the valuation of redundant assets found in the catalog.

Martingales and the valuation of redundant assets

J. Michael Harrison

Martingales and the valuation of redundant assets

by J. Michael Harrison

  • 114 Want to read
  • 36 Currently reading

Published by Institute for Mathematical Studies in the Social Sciences, Stanford University in Stanford .
Written in English

    Subjects:
  • Arbitrage.,
  • Option (Contract)

  • Edition Notes

    Bibliography: p. 50.

    Statementby J. Michael Harrison and David M. Kreps.
    SeriesTechnical report - Stanford University, Institute for Mathematical Studies in the Social Sciences ; no. 261 : Economic series, Technical report (Stanford University. Institute for Mathematical Studies in the Social Sciences) -- no. 261., Economics series (Stanford University. Institute for Mathematical Studies in the Social Sciences)
    ContributionsKreps, David M. joint author.
    The Physical Object
    Pagination50 p. ;
    Number of Pages50
    ID Numbers
    Open LibraryOL22408645M

    Common redundant assets include excess cash in a company and marketable securities (assuming the company is not in the business of investments). An issue arises when the valuator is determining the fair market value of a company and must decide whether to account for taxes on distribution of these redundant assets. Practical guidance toward FASB ASC compliance, with expert interpretation and helpful tools. Valuation for Financial Reporting provides clear guidance toward transactions and fair value, in full alignment with the latest Financial Accounting Standards Board Accounting Standards Codification. Written by recognized valuation authorities, this useful guide provides preparers, Authors: James R. Hitchner, Mark Edwards, Michael J. Mard.

      The focus of this book is on analyzing business problems from the perspective of the user of valuation information. Not every business decision involves values. Many do. This book will concentrate on helping the readers resolve their problem as easily and inexpensively as possible. It will help them determine if they need a professional appraisal or a do-it-yourself Author: Alfred M. King. Book Value - The book value of a company is obtained from the balance sheet by taking the adjusted historical cost of the company's assets and subtracting the liabilities. Tangible book value is calculated the same way as finding regular book value, except that intangible assets (like goodwill) are excluded in the calculation.

      Equivalent Martingale Measures: In asset pricing, a probability distribution of expected payouts from an investment which is adjusted for the risk premiums of investors as a whole. An equivalent Author: Will Kenton. Arbitrage and Martingales Detailed outline 1. Consumption space { random variables in Lp(P) 2. Preferences { strictly monotone, convex, lower semicontinuous 3. Marketed payo®s 4. Prices { positive linear functionals 5. Existence of optimal demand, or viability of the price system 6. Free lunches, or arbitrage opportunities 7. Extension of the.


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Martingales and the valuation of redundant assets by J. Michael Harrison Download PDF EPUB FB2

Redundant assets are those assets that are not specifically required by a company to generate earnings and cash flow from operations. They are "redundant" to the operations of the business. Typically, the valuation of companies for sale are conducted excluding any redundant assets and their related income and expenses.

Faculty & Research › Working Papers › Martingales and the Valuation of Redundant Assets Martingales and the Valuation of Redundant Assets By David M. Kreps, J. Michael Harrison. As redundant assets are not vital to business operations, the valuation method used to determine the enterprise value may not attribute any value to these redundant assets, even though these assets may have realizable value in and of themselves.

An example of a redundant asset can include real estate that a company owns. In finance, valuation is the process of determining the present value (PV) of an ions can be done on assets (for example, investments in marketable securities such as stocks, options, business enterprises, or intangible assets such as patents and trademarks) or on liabilities (e.g., bonds issued by a company).

Valuations are needed for many reasons such as. nor unexpected: assets that generate sub-par returns can be value destroying. - Divestiture effects: If existing assets earn less than the cost of capital, the logical response is to sell or divest these assets and hope that the best buyer will pay a high price for them.

From a valuation perspective, divestitures of assets createFile Size: KB. The definitive source of information on all topics related to investment valuation tools and techniques.

Valuation is at the heart of any investment decision, whether that decision is buy, sell or hold. But the pricing of many assets has become a more complex task in modern markets, especially after the recent financial by: From a business valuation perspective, non-operating assets (often referred to as “redundant” assets) are assets owned by a company, but not used in the day-to-day operations of the business.

Common redundant assets include cash, marketable securities, loans receivable, unutilized equipment and vacant land. The identification of non-operating assets is an. Professor Harrison is the author of one book and more than 75 articles in scholarly journals.

Michael Harrison Cambridge University Press, December 2, Book Chapters. Martingales and the Valuation of Redundant Assets | PDF. David M. Kreps, J. Michael Harrison This name is given to the redundant assets due to the fact that they are not an integral part of the operating activities of a company.

The example of a redundant asset can be given as an example of a company XYZ who was used to make plastic model kits as their core product. other variables as book-value, earnings or cash-flow.

The third and the most researched in the past decade was contingent claim valuation that uses option pricing models (OPM) to estimate the value of assets with the characteristics of an option (Wang and Halal, ).

In this paper different valuation models areFile Size: KB. consistent valuation procedures and escalation process • Account for the proper and independent valuation of AIF’s assets FUND MANAGER / AIFM • Advice for the design and implementation of valuation policies & procedures and for the drafting of valuation principles in the offering documents • Assistance on all aspects of the preparation of.

book value of an asset definition. The book value of an asset is the asset's cost minus the accumulated depreciation since the asset was acquired.

This net amount is not an indication of the asset's fair market value. The book value of an asset is also referred to as the asset's. The main goal of the first chapter is to introduce the one-period finite state model of financial markets with elementary financial concepts such asbasis assets,focus assets,portfolio,Arrow–Debreu securities,ide the financial topics we will encounter mathematical tools—linear algebra and matrices—essential for formulating and.

This allows us to focus on the market's valuation of intangible assets that have been on the firms' books for some length of time rather than on recently acquired intangible assets.6 The second portfolio comprises the same firms as the experimental portfolio.

However, the book value of intangible assets has been subtracted from each firm's Cited by: Notes on Elementary Martingale Theory by John B. Walsh 1 Conditional Expectations Motivation Probability is a measure of ignorance.

When new information decreases that ignorance, it changes our probabilities. Suppose we roll a pair of dice, but don’t look immediately at the Size: KB. The definitive source of information on all topics related to investment valuation tools and techniques Valuation is at the heart of any investment decision, whether that decision is buy, sell or hold.

But the pricing of many assets has become a more complex task in modern markets, especially after the recent financial crisis. In order to be successful at this endeavor, Reviews: 1. Common Analyst Misconceptions.

The first article in this series provided an introduction to valuation analysts (analyst) regarding the need to integrate and use the Asset-based Approach to value going-concern businesses and securities. This second installment addresses common analyst misconceptions regarding the use of the Asset-based Approach to value both asset.

Dynamic Asset Pricing Theory is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty.

The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium.

Depreciating assets to their residual value. If a fixed asset is depreciated over its useful life, then the asset’s residual value is the lowest value that it can be depreciated to.

If we take the machine from the example above for example, and depreciate it using the straight-line method, then we must first subtract the estimated residual. described in the structure and valuation methodology and it is assumed that this document would outline the main assets and the valuation methodologies that should be further developed by valuators and the municipalities in the actual valuation of the fixed assets to Size: KB.

Abstract. This is a brief and informal presentation, for mathematicians not familiar with the topic, of the connections in finance theory between the notions of arbitrage and martingales, with applications to the pricing of securities and to portfolio by: 3.A convex function of a martingale is a submartingale, by Jensen's inequality.

For example, the square of the gambler's fortune in the fair coin game is a submartingale (which also follows from the fact that X n 2 − n is a martingale).

Similarly, a concave function of a martingale is a supermartingale. Martingales and stopping times. A write-down is an accounting term for the reduction in the book value of an asset when its fair market value (FMV) has fallen below the carrying book value, and thus become an impaired