Determination of the Risk-free Rate of Return on an Investment Efficiency Based on the Fractal Markets Hypothesis

• Autorzy: Andrii Kozlovsky , Daria Bilenko , Serhii Kozlovskyi , Ruslan Lavrov , Oleh Skydan , Natalya Ivanyuta
• Języki publikacji: EN

Abstrakty

EN

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 intuition 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. (original abstract)

Słowa kluczowe

EN

Economic efficiency; Investment; Risk; Rate of return

PL

Efektywność ekonomiczna; Inwestycje; Ryzyko; Stopa zwrotu

• Czasopismo: Forum Scientiae Oeconomia
• Rocznik: 2020
• Tom: 8
• Numer: nr 3
• Strony: 61--72

Twórcy

autor

Andrii Kozlovsky

• Miratech, Inc., New York, United States

autor

Daria Bilenko

• University of State Fiscal Service of Ukraine, Irpin, Ukraine

autor

Serhii Kozlovskyi

• Vasyl' Stus Donetsk National University, Vinnytsia, Ukraine

autor

Ruslan Lavrov

• Chernihiv National University of Technology, Chernihiv, Ukraine

autor

Oleh Skydan

• Zhytomyr National Agroecological University, Zhytomyr, Ukraine

autor

Natalya Ivanyuta

• Donetsk Law Institute of the Ministry of Internal Affairs of Ukraine, Kryvyi Rih, Ukraine

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Identyfikatory

DOI

10.23762/FSO_VOL 8_NO3_4