[PDF] Top 20 Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model
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Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model
... general risky assets’ prices, but most found specific solutions for geometric Brownian motion (GBM) model or a similar one ...the risky assets’ prices satisfy geo- metric Brownian ... See full document
8
Optimal dynamic mean variance asset liability management under the Heston model
... the risky as- set (stock) follows a geometric Brownian motion, which implies that the volatility of risky asset price is a constant or a deterministic ...the constant elasticity of ... See full document
16
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 ...a risky asset whose price is modeled by a ... See full document
10
The Portfolio Optimizationfor Commercial Banks under Constant Elasticity of Variance Model
... the risky assets are modelled by constant elasticity of variance model in determining the optimal portfolio strategy for any commercial ...The constant ... See full document
14
Exponential Utility Optimization Of An Investor’s Optimal Portfolios, Under Constant Elasticity Of Variance Model
... selection model that is formulated as a bi-criteria optimization problem and the problem was seen as a class of auxiliary stochastic linear- quadratic (LQ) ...an optimal investment ... See full document
6
Choice between Mixed and Multiplicative Models in Time Series Decomposition
... of model in the literature and the emphasis has been on choice between additive and multiplicative ...of model and detection of seasonal effect in time series, [1] showed that when the trend-cycle component ... See full document
7
ENVIRONMENTAL ACCOUNTING: A REVIEW OF SHAREHOLDERS VALUES AND ASSESSMENT
... The Late 1990's and early 2000's were a turbulent period for the global investment community, with vast amounts of shareholder wealth being created and destroyed. Both multinational, national and retail investors ... See full document
14
A Growth Framework Using the Constant Elasticity of Substitution Model
... the elasticity of substitution between the input variables is always equal to 1 (for a proof see, ...production model in several applications, as claimed by many ...the elasticity of substitution ... See full document
13
Essays in applied public economics using computable general equilibrium models
... the model, the sensitivity analysis provides another important ...this model, however, the idea was to capture the largest size of inefficiency possible, under plausible ... See full document
189
The risk taking channel of monetary policy in the USA: Evidence from micro level data
... The sample comprises quarterly balance sheet information for US insured commercial banks taken from the FDIC Call Reports over the period 1985q1-2010q2. The use of quarterly data is considered to be sufficiently ... See full document
43
A scalar dynamic conditional correlation model : structure and estimation
... DCC model of Engle (2002) in the sense that we assume the conditional variance of every single asset to be constant but the correlation of the assets is ...SDCC model to practice, one ... See full document
38
Path dependent functionals of constant elasticity of variance and related processes distributional results and applications in finance
... general CEV case for elasticities strictly between 0 and ...function. Under the least restrictive hypothesis th at the elasticity is a rational number, we provide an expression for the Laplace ... See full document
237
Optimal Investment Strategy for Defined Contribution Pension Scheme under the Heston Volatility Model
... the optimal investment problem for a pension plan par- ticipants in a defined contribution (DC) ...are constant over time and stock price follows a Heston volatility ... See full document
10
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 risky asset and found the behaviour of the ruin probability for small and large volatility of the ...the ... See full document
50
Stochastic Control in Financial Models of Investment and Consumption.
... tion based optimization where Monte Carlo simulations are run as estimates of an actual system, and problems where there is experimental (random) error in the measurements of the criterion. In such cases, knowledge that ... See full document
99
Integrated inventory management and supplier base reduction in a supply chain with multiple uncertainties
... the optimal procurement decisions to both sup- pliers are the same with an order size 5, whereas the optimal pro- duction decision is producing with the rate ...the optimal procurement and production ... See full document
16
An Islamic Wealth Management Investment Appraisal of Oil Tankers
... of investment performance, over a period of 20 years (1996-2015), for an equal portfolio of the three asset classes, the aggregate unlevered IRR was 13%, although our analysis reveals that between 1996 and 2009 ... See full document
12
Target matrix estimators in risk-based portfolios
... asymptotic properties (Ledoit and Wolf 2004b) SCVm Constant Correlation Model Optimal shrinkage constant Classical Markowitz problem Portfolio Performance comparison (Briner [r] ... See full document
19
Leverage Effect and Stochastic Volatility in the Agricultural Commodity Market under the CEV Model
... The wheat futures market is characterized more by driftless conditions than in the case of wheat futures prices. From the concept of calculating stochastic volatility models, there is a parameter σ, which is focused on ... See full document
8
Why Initialization Matters for IBM Model 1: Multiple Optima and Non Strict Convexity
... IBM Model 1 is not strictly convex and that there is large variance in the set of optimal parameter ...This variance impacts a significant fraction of word types and re- sults in ... See full document
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