Results 11 to 20 of about 847,676 (248)
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 Investment in a Dual Risk Model
Risks, 2023 Dual risk models are popular for modeling a venture capital or high-tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrates on the optimal
Arash Fahim, Lingjiong Zhu
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Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model
Risks, 2021 Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the ...
Leonie Violetta Brinker
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Maximizing the goal-reaching probability before drawdown with borrowing constraint
AIMS Mathematics, 2021 We study the optimal investment problem in a constrained financial market,where the proportion of borrowed amount to the current wealth level is no more than a given constant.
Yu Yuan, Qicai Li
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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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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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Deviation from Optimal Capital Structure and Inefficiencies of Investment [PDF]
مجله دانش حسابداری, 2020 Objective: Investment efficiency is one important factor affecting a firm's performance. Also, financing decisions affect investment decisions, regarding the effects of the non-optimal capital structure on the rate of capital cost and cash flows of the ...
Fatemeh Soheilyfar +3 more
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Asymmetric Suppliers’ Optimal Investment Timing Decisions [PDF]
Eurasian Journal of Business and Economics, 2019 This paper extends Boyle and Guthrie (2003) to investigate the interdependent effects of asymmetric financing capacities and investment costs on investment timing decisions in a duopoly with a first-mover advantage.
Manoj KUMAR
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A Differential Game with Random Time Horizon and Discontinuous Distribution
Mathematics, 2020 One class of differential games with random duration is considered. It is assumed that the duration of the game is a random variable with values from a given finite interval.
Anastasiia Zaremba +2 more
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Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model
Mathematics, 2023 In this paper, we investigate the optimal consumption and investment problem under the expected utility maximization criterion. It is supposed that the financial market consists of a risky asset and a risk-free asset, and the risky asset prices follow ...
Aiqin Ma, Cuiyun Zhang, Yubing Wang
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