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Évaluation de projets : la valeur actualisée nette optimisée (VAN-O)


  • Marcel Boyer
  • Éric Gravel


We clarify the foundations of project evaluation under multiple risk sources and we show that the way the NPV method is typically applied in most firms and organizations violates some fundamental principles of value creation such as the additivity and absence of arbitrage principles. Project evaluation must be done through (i) decomposing the project cash flows into components corresponding to the different sources of risk and (ii) obtaining the present value of each component with a specific risk-adjusted discount rate. The value of the project is obtained as the sum of the present values so obtained. Alternatively, the different components can be corrected for their respective risk to obtain their certainty equivalents. The value of the project is then obtained as the sum of those certainty equivalents discounted at the unique, observable, identical, risk free rate. Nous clarifions les fondements de l'évaluation de projet en présence de multiples sources de risque et nous concluons que la méthode VAN telle qu'appliquée dans la plupart des entreprises et organisations viole certains principes fondamentaux de la création de valeur tels l'additivité et l'absence d'arbitrage. L'évaluation d'un projet doit se faire en (i) décomposant les flux monétaires en composantes correspondant aux diverses sources de risque et (ii) actualisant chaque composante à l'aide d'un taux spécifique à cette composante. La valeur du projet est obtenue en sommant les valeurs présentes des diverses composantes. Alternativement, les différentes composantes peuvent être corrigées pour leur risque respectif afin d'obtenir leurs équivalents certains. La valeur du projet est alors obtenue en prenant la somme des équivalents certains actualisée au taux sans risque, identique, unique et observable.

Suggested Citation

  • Marcel Boyer & Éric Gravel, 2005. "Évaluation de projets : la valeur actualisée nette optimisée (VAN-O)," CIRANO Working Papers 2005s-37, CIRANO.
  • Handle: RePEc:cir:cirwor:2005s-37

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    Cited by:

    1. Claude Montmarquette & Iain Scott, 2007. "Taux d'actualisation pour l'évaluation des investissements publics au Québec," CIRANO Project Reports 2007rp-02, CIRANO.

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    project evaluation; multiple risks; évaluation de projet; risques multiples;

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