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A Model for the Optimal Investment Strategy in the Context of Pandemic Regional Lockdown
Mathematics, 2021 The Covid-19 pandemic has generated major changes in society, most of them having a negative impact on the quality of life and income obtained by the population and businesses.
Antoine Tonnoir +3 more
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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
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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
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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
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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
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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
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Robust Optimal Investment Strategies with Exchange Rate Risk and Default Risk
Mathematics, 2023 The problem of robust optimal investment with exchange rate risk and default risk is studied. We assume that investors are ambiguity averse and they have access not only to the domestic market but also to the foreign market.
Wei Wang, Qianyan Li, Quan Li, Song Xu
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Optimal Investments in Volatility [PDF]
SSRN Electronic Journal, 2008 Volatility has evolved as an attractive new asset class of its own. The most common instruments for trading volatility are variance swaps. Mean returns of DAX and ESX variance swaps over the time period of 1995 to 2004 are strongly negative, and only part of the negative premium can be explained by the negative correlation of variance swap returns with
Hafner, Reinhold, Wallmeier, Martin
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Optimal Investment Horizons [PDF]
SSRN Electronic Journal, 2002 Latex, 5 pages including 4 ...
Ingve Simonsen +2 more
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Optimizing Cybersecurity Investments over Time
Algorithms, 2022 In the context of growing vulnerabilities, cyber-risk management cannot rely on a one-off approach, instead calling for a continuous re-assessment of the risk and adaptation of risk management strategies.
Alessandro Mazzoccoli, Maurizio Naldi
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