optimal investment strategy model
The Optimal Investment Strategy Based on the DEA Model
... organizations’ investment. The DEA (Data Estimate Analysis) model is developed to determine an optimal investment strategy for the Goodgrant ...the investment. Before the ...
9
Optimal investment strategy with debt financing under stochastic interest rates
... into investment when the book value of equity is ...the investment strategies and its ...efficient strategy which will consider the macroeconomic effects on debt financing for the ...The ...
19
Working Paper Optimal housing, consumption, and investment decisions over the life-cycle
... main model exhibits market completeness ...our model with housing than in the models with labor income, but no housing, studied in the existing literature (ref- erences given ...trading strategy in ...
61
Correlation of Brownian Motions and Its Impact on a Reinsurer’s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model
... the optimal proportional reinsurance and investment for a constant elasticity of variance model under variance ...CEV model and obtain the techniques of stochastic control theory and ...
10
The Models of Investing Schools
... a model to deter- mine an optimal investment strategy that identifies the schools, the investment amount per ...that investment, and the time duration that the organization’s ...
9
Optimal Investment Strategy for Kinked Utility Maximization: Covered Call Option Strategy
... call strategy case), I per- formed a Monte Carlo ...solution strategy means that the investor’s wealth is under the target wealth currently (under-funding), and the strategy aims to achieve the ...
20
Asymptotic and numerical analysis of the optimal investment strategy for an insurer
... basic model of ruin in the ...fixed investment in a risky asset has on the ruin ...the optimal investment problem for an insurer has mirrored the development of ruin ...
50
Optimal Investment Problem for Life Insurance Company by Considering Health Level
... In this paper, we study the optimal investment strategy for a life insurance company in a health-level framework. The income-levels of residents in dif- ferent regions are different and this leads to ...
14
Exponential Utility Optimization Of An Investor’s Optimal Portfolios, Under Constant Elasticity Of Variance Model
... Ho-Lee model and be correlated with stock price and derived optimal strategies for power and logarithm utility ...the optimal investment strategies by applying dynamic programming principle ...
6
Optimal Investment and Risk Control Strategy for an Insurer under the Framework of Expected Logarithmic Utility
... the model and optimization problem are different from ...this model, we can obtain the optimal property of the total ...to model an insurer’s ...
9
Optimal investment of a time dependent renewal risk model with stochastic return
... we model the integrated risk process con- sisting of underwriting risks and investment ...analytical investment strat- egy, uniform asymptotic estimate for the ruin probability is given in Section ...
12
Effect of Extra Contribution on Stochastic Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model
... In order to deal with optimal investment strategy, the need for maximization of the expected utility of the terminal wealth became necessary. Example, the Constant Relative Risk Aversion (CRRA) ...
13
Mean-variance hedging and optimal investment in Heston's model with correlation
... Our contribution is threefold: using a new concept of opportunity- neutral measure we present a simplified strategy for computing a can- didate solution in the correlated case. We then go on to show that this ...
24
Optimal Investment Strategy for Defined Contribution Pension Scheme under the Heston Volatility Model
... constant investment scenario, others have looked at different stochastic scenarios such as stochastic interest rates or stochastic ...The investment-consumption problems with the Heston model was ...
10
Measure of Investment Optimal Strategy
... utility maximization in incomplete markets through semimartingale model for incomplete markets, and to characterize it via the associated dual problem. Schweizer [23] developed area of pricing and hedging ...
6
Optimal Excess of Loss Reinsurance and Investment Problem for Insurers with Loss Aversion
... the optimal reinsurance and investment ...Cramér-Lundberg model (see Zeng et al . [20], et al .), the diffusion risk model (Chen and Li [21], et al ...risk model (Gu et al ...C-L ...
23
OPTIMAL INVESTMENT STRATEGY FOR A CERTAIN CLASS OF PROBABILISTIC INVESTMENT PROBLEMS
... Probabilistic dynamic programming is a branch of Dynamic programming characterized by the uncertainty of states and returns at each stage. It arises for the most part in the treatment of stochastic inventory models and ...
14
Battery optimal charging strategy based on a coupled thermoelectric model
... charging strategy is a key issue to ensure the reliability and safety of battery charging ...battery optimal charging strategy is proposed by applying TLBO algorithm to solve the optimal ...
9
Venture Capital and Sequential Investments
... entire investment projects, we consider the speed and structure of the investment cycle once a project has been ...and investment within a single portfolio ...continuous investment ‡ow, and ...
59
Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion
... Our results are relevant to a wide range of financial service providers and regulators in the retirement marketplace. Money managers and insurers should note that many retirees hold suboptimal asset allocations, as we ...
29