[PDF] Top 20 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] ... See full document

... 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 ... See full document

... asymmetric investment costs, we show that asymmetric financing capacities crucially impact the roles of leader and follower and optimal investment timing ...of investment costs leads to ...the ... See full document

... The cost of achieving the optimal outcome is assumed to be zero. It is possible that the benefit of implementing the optimal investment does not pay its cost. A perfectly competitive market implies ... See full document

... 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 ... See full document

... 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 ... See full document

... To do this, two questions are solved for the Goodgrant Foundation: how to choose a suitable team of schools and how to allocate the investment. In order to solve the two questions, the DEA model is established to ... See full document

... an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous ran- dom mark added at default ...compare optimal wealth ... See full document

... 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 ... See full document

... We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed ... See full document

... the optimal investment strategy and optimal return for a class of investment problems with stationary returns under uncertainty, using the principle of mathematical induction, as suggested by ... See full document

... 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 ... See full document

... shareholders’ investment is not significant after a specific level of risk ...the optimal capital required relative to the correlation ...an optimal risk capital of around 9000 for Pareto losses, ... See full document

... and optimal stopping in a finite time ...dynamic optimal control and stopping problems in the existing ...the optimal strategy and the right time to achieve a certain level over a finite time ... See full document

... annuity investment portfolio based on existing foreign ...the investment risk by optimizing the investment portfolio of the enterprise annuity, so as to manage the enterprise annuity ...the ... See full document

... Optimal investment problem of utility maximization is an important issue in mathematical finance and has drawn attention of many researchers after Merton’s work in which he proposed the stochastic control ... See full document

... certain investment portfolio and obtained the optimal investment strategies using backward dynamic programming recursive ...the optimal allocation of funds from the investment ...for ... See full document

... To recap Proposition 4: a If r is sufficiently low, then agent 0 prefers the optimal investment outcome V ∗ to the pure saving no-investment outcome V̄s ; b If β is sufficiently low, then a[r] ... See full document

... per-loss optimal reinsurance and derived the optimal investment and rein- surance strategy with the criteria that minimization the ruin ...an optimal proportional reinsurance and ... See full document

... of investment development to the static models of optimal investment allocation between two ...of investment policy, while prospective analysis gave implicit recommendation about ... See full document