This chapter presents an method alternative to estimating risk-adjusted discount rates used in valuation of privately held capital assets, which is derived directly from post-CAPM asset pricing theory. The method—which can be termed the certainty-equivalent risk pricing method—is particularly useful in estimating values of privately held capital assets in emerging markets because of its conceptual simplicity, objectivity, and transparency. As a means of explaining the optimality of the method, common problems encountered in estimating the value of privately held capital assets are reviewed and how such problems have commonly resulted in the use of subjective, ad hoc methods. Asset pricing theory underlying the certainty-equivalent risk pricing method is briefly explained and the method is then explicitly derived from the theory. Finally, a realistic example of international risk pricing and valuation of a hypothetical Brazilian company that exports manufactured products into the global economy is presented.