optimal investment
On the optimal investment
... On the optimal investment Fajardo, José and Corcuera, José Manuel and Menouken Pamen, Olivier FGV/EBAPE, Universitat de Barcelona, University of Liverpool.[r] ...
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Lifecycle optimal investment policy for pension funds with transaction costs
... the optimal investment policy as well as the consumption-savings decision from a lifecycle ...take optimal consumption choice into consideration while making strategic decision on behalf of their ...
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The Optimal Investment Strategy Based on the DEA Model
... the optimal investment bilevel programming models of prior development colleges as well as that of indiscriminate investment in all colleges and given the optimal in- vestment scheme of both ...
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Optimal Investment and Proportional Reinsurance with Risk Constraint
... In solving this optimal investment and proportional reinsurance problem, one popular way is to employ the stochastic dynamic programming approach [1,9,15,16]. By using the dynamic programming principle, the ...
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Optimal Investment under Price and Wage Uncertainty
... on investment while financial factors may be important in some ...their investment and hiring, and the increased volatility from the shock induces an overshoot in output, employment, and ...between ...
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Asymptotic and numerical analysis of the optimal investment strategy for an insurer
... per unit time. If the stock is lognormally distributed, the coefficient of volatility σ is also quoted per annum. This represents the observed standard deviation of the log return of the asset after one year, rather than ...
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Optimal Investment in Electricity Generation in the Texas Market
... the investment that would occur under competitive procurement in Texas, and the associated efficiency ...the optimal investment in each technology available to generate ...the optimal ...
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Asymmetric Suppliers’ Optimal Investment Timing Decisions
... an investment project are determined not only by asymmetric investment costs, but also by asymmetric financing capacities between the two ...the investment timing game and their optimal ...
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OPTIMAL INVESTMENT STRATEGY FOR A CERTAIN CLASS OF PROBABILISTIC INVESTMENT PROBLEMS
... the optimal investment strategy and corresponding rewards for a class probabilistic stationary investment problems, using backward dynamic programming recursive ...
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Information uncertainty related to marked random times and optimal investment
... the optimal investment problem with a random time and consider the information revealed at the random time as an exogenous factor of ...their investment strategy based on the corresponding ...
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A General Framework of Optimal Investment
... In addition to the proposal of a general framework, we work with a large class of optimal investment strategies based on a rotation of the original asset space. For some of the strategies, we do not try to ...
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Non smooth analysis method in optimal investment BSDE approach
... quadratic optimal control problems (see, ...the optimal terminal wealth; the second step is to compute the replicating portfolio strategy corre- sponding to the obtained optimal terminal ...the ...
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Capital Requirements and Optimal Investment with Solvency Probability Constraints
... The Pareto distribution is one of the most commonly used distributions for modeling extreme events, and it has been generally used for fitting large non-life insurance claim data for various business lines (e.g. see ...
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HOW FAR FINANCIAL LITERACY IS REQUIRED FOR OPTIMAL INVESTMENT BEHAVIOUR?
... Economic development of the nation depends upon the financial well being of its countrymen and for being financially sound, everyone wants one’s wealth to appreciate. Wealth can be appreciated if the available money is ...
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Exact properties of measures of optimal investment for institutional investors
... Our investor chooses to maximise U, where U = µ ' ( ω − b ) − λ 2 ( ω − b )' Ω ( ω − b ); note that there is also a constraint ( ω − b )' i = 0 . This is a classical MV problem equivalent, as we demonstrate, to computing ...
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A General Optimal Investment Model in the Presence of Background Risk
... the investment in housing plays an important role in asset accumulation and in portfolio choice among financial ...of investment with background ...of investment with an additive background ...
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Research on Optimal Investment Portfolio of Enterprise Annuity under Investment Constraints
... assets investment was limited to bank deposits and govern- ment bonds, resulting in extremely low investment returns, which made it una- ble to effectively support the government to build a multi-pillar ...
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Mean-variance hedging and optimal investment in Heston's model with correlation
... risky investment performs poorly the gap between agent’s wealth and the bliss point widens and the agent increases her risky position in direct proportion to the gap ...(The optimal dynamic ...
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Optimal investment with stopping in finite horizon
... 18. Karatzas, I, Wang, H: Utility maximization with discretionary stopping. SIAM J. Control Optim. 39, 306-329 (2000) 19. Karatzas, I, Ocone, D: A leavable bounded-velocity stochastic control problem. Stoch. Process. ...
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Exponential Utility Optimization Of An Investor’s Optimal Portfolios, Under Constant Elasticity Of Variance Model
... an optimal investment ...the optimal investment strategy in power and exponential utility ...the optimal investment problem for utility maximization with taxes, dividends and ...
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