Results 1 to 10 of about 847,676 (248)
Optimal Investment Horizons [PDF]
SSRN Electronic Journal, 2002 In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year.
Jensen, Mogens H. +2 more
core +4 more sources
Optimal Decentralized Investment Management [PDF]
SSRN Electronic Journal, 2006 We study a decentralized investment problem in which a CIO employs multiple asset managers to implement and execute investment strategies in separate asset classes.
Jules H. van Binsbergen +2 more
core +5 more sources
Optimal Investment under Cost Uncertainty [PDF]
Risks, 2018 This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims.
Jerome Detemple, Yerkin Kitapbayev
doaj +3 more sources
Optimal Investment with Lumpy Costs [PDF]
Journal of Economic Dynamics and Control, 2005 In this paper we solve a continuous-time model of investment with uncertainty, irreversibility and a broad class of lumpy adjustment costs. In addition to being general, our solution is quite tractable and intuitive. We show that, in contrast to standard
Duc T. Le, John Bailey Jones
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Optimal Investment With Default Risk [PDF]
SSRN Electronic Journal, 2003 In this paper, we investigate how investors who face both equity risk and credit risk would optimally allocate their financial wealth in a dynamic continuous-time setup. We model credit risk through the defaultable zero-coupon bond and solve the dynamics
Xiangrong Jin, Yuanfeng Hou
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OPTIMAL INVESTMENT IN INTERRELATED PROJECTS [PDF]
International Journal of Theoretical and Applied Finance, 2022 This paper addresses the effects in partial equilibrium models of relaxing one of the critical underlying assumptions of [A. K. Dixit & R. S. Pindyck (1994) Investment Under Uncertainty. Princeton: Princeton University Press] to investment under uncertainty: either the potential investor has access to a single project or can consider competing (or
Naindebam, Shasikanta +2 more
openaire +2 more sources
Optimal investment with time-varying transition probabilities for regime switching [PDF]
Seonmul yeongu, 2021 – This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a certain threshold.
Hyo-Chan Lee +2 more
doaj +1 more source
Optimal Investment and Reinsurance Policies in a Continuous-Time Model
Mathematics, 2023 In the field of finance and insurance, addressing the optimal investment and reinsurance issue is a focal point for researchers. This paper contemplates the optimal strategy for insurance companies within a model where wealth dynamics adhere to a jump ...
Yan Tong, Tongling Lv, Yu Yan
doaj +1 more source
Mathematics, 2021 In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are
Katia Colaneri +2 more
doaj +1 more source
Optimal Electric Vehicle Parking Lot Energy Supply Based on Mixed-Integer Linear Programming
Energies, 2023 E-mobility represents an important part of the EU’s green transition and one of the key drivers for reducing CO2 pollution in urban areas. To accelerate the e-mobility sector’s development it is necessary to invest in energy infrastructure and to assure ...
Damir Jakus +2 more
doaj +1 more source