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Optimal Investment with Stopping in Finite Horizon [PDF]
, 2014 In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed dynamic ...
Jian, Xiongfei, Li, Xun, Yi, Fahuai
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Frontiers in Energy Research, 2021 Power grid enterprises are faced with a serious mismatch between limited investment capacity and numerous investment projects. How to accurately match the weak links with investment projects according to the power system diagnosis is the key to improve ...
Jianping Yang +4 more
doaj +1 more source
Optimal Regulation of Lumpy Investments [PDF]
SSRN Electronic Journal, 2012 When a monopolist has discretion over the timing of infrastructure investments, regulation of post-investment prices interferes with incentivizing socially optimal investment timing. In a model of regulated lumpy investment under uncertainty, we study regulation when the regulator can condition price caps on investment timing.
Zwart, G., Broer, D.P.
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Diversification and limited information in the Kelly game [PDF]
, 2008 Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward.
Browne +18 more
core +3 more sources
Dispositional Optimism and Stock Investments [PDF]
SSRN Electronic Journal, 2015 This paper analyzes the relationship between dispositional optimism and stock investments, controlling for cognitive skills and personality traits such as trust, social interactions and risk aversion. We use data from the Survey of Health, Ageing and Retirement in Europe (SHARE) on investors aged 50+ in twelve European countries.
Angelini, Viola, CAVAPOZZI, Danilo
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Optimizing insurers’ investment portfolios: incorporating alternative investments
Zbornik radova Ekonomskog fakulteta u Rijeci: časopis za ekonomsku teoriju i praksu/Proceedings of Rijeka Faculty of Economics: Journal of Economics and Business, 2023 The challenge posed by historically low-interest rates is particularly significant for insurance companies, especially those specializing in life insurance. This study investigates a potential solution by analyzing the impact of introducing low correlation alternative investments into traditional investment portfolios.
Mihovil Anđelinović, Filip Škunca
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Optimal Taxation and Investment‑ Specific Technological Change
Notas Económicas, 2020 In this paper, we look at the relationship between Investment Specific Technological Change (ISTC) and optimal level of labor income progressivity. We develop an incomplete markets overlapping generations model that matches relevant features of the US ...
Valter Nóbrega
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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
doaj +1 more source
Optimal Investment and Optimal Reinsurance [PDF]
, 2018 In this paper, Aiming at the delay claim risk model, the optimal investment and optimal reinsurance strategy which makes the expected index utility maximum of the final wealth are studied under the principle of variance premium principle.
Liu, Y. (Yuedi)
core
Optimal Investment to Minimize the Probability of Drawdown
, 2016 We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value
Angoshtari, Bahman +2 more
core +1 more source