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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/33005

    Title: Some applications of fuzzy theory in discounted cash flow problems
    Other Titles: 模糊理論在現金流量折現問題之應用
    Authors: 林惠文;Lin, Huei-wen
    Contributors: 淡江大學管理科學研究所博士班
    張紘炬;Chang, Horng-jinh
    Keywords: 模糊理論;現金流量折現模式;評價;永續年金;資本預算;淨現值法;三角模糊數;Lambda符號距離方法;均勻收斂;Fuzzy theory;Discounted cash flow model;Valuation;Perpetuity;Capital budgeting;Net present value approach;Triangular fuzzy number;Lambda signed distance method;Uniform convergence
    Date: 2005
    Issue Date: 2010-01-11 03:07:44 (UTC+8)
    Abstract: 本文提出模糊理論在現金流量折現問題的應用。以現金流量折現模式的基本架構為基礎,藉由模糊集合理論的導入,來探討財務管理領域中運用現金流量模式評價的相關議題。
    第三章主要發展出模糊邏輯系統來延伸傳統現金流量折現模式,其中模糊現金流量及折現率同時被考慮在模式中。為了明確地構建出一個較符合實際的評價模型,模式中具不確定性的參數將被模糊化為三角模糊數來量化及評估公司或金融資產的內在真實價值。利用 符號距離方法解模糊化後,可證明本章所提出之模糊現金流量折現模式為傳統現金流量折現模式的一種延伸。
    This thesis puts forward some applications of fuzzy theory in discounted cash flow (DCF) problems. On the basis of the basic frameworks of financial valuation models, the fuzzy set theory is introduced to deal with the related topics of DCF models such as perpetuity and capital budgeting.
    A fuzzy logic system has been developed and it can be concluded that it is some extensions of the classical DCF models. In order to explicitly construct a more appropriate valuation model, uncertain information will be fuzzified as triangular fuzzy numbers to quantify and evaluate the intrinsic value of a company or a financial asset. Using signed distance method to defuzzify the fuzzy model, we find that the fuzzy discounted cash flow (FDCF) model proposed in this thesis is some extensions of classical (crisp) model and it is considered to be more suitable to capture the imprecise elements of valuation.
    Following the basic framework of Chapter 3, Chapter 4 stresses the DCF model on the analysis of perpetuity model, in which the impreciseness and the decision maker’s attitude toward the estimate of the uncertain parameters are simultaneously incorporated into the descriptions of different cash flow streams, required rate of return and growth rate. Similar to Chapter 3, the uncertain information will be fuzzified as triangular fuzzy numbers; therefore it would be more realistic for typical decision maker to analyze the present values of ordinary and growing perpetuities. We also find that the fuzzy perpetuity models are one extension of crisp perpetuity models.
    In Chapter 5, we further develop a fuzzy capital budgeting model by extending the classical net present value (NPV) method that takes the vague future cash flows and required rates of returns in different time periods into account. The results are more useful and practical for financial manager to analyze the capital budgeting decision of firms by means of the derivations of fuzzy model with numerical simulation.
    Through conscientious and concrete mathematical analyses, this thesis addressed that the FDCF model is one reasonable extension of the crisp models. In addition, numerical examples are also used to illustrate each theorem in this thesis. In summary, the main contributions of this thesis are to construct the easier understand and more realistic FDCF model and then apply it to extend some important valuation models in financial management without losing the essence of original models.
    Appears in Collections:[管理科學學系暨研究所] 學位論文

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