Optimal Deterministic Investment Strategies for Insurers
Risks, 2013 We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market.
Ulrich Rieder, Nicole Bäuerle
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Finite-Horizon Optimal Consumption and Investment with Upper and Lower Constraints on Consumption
MathematicsWe study a finite-horizon optimal consumption and investment problem in a complete continuous-time market where consumption is restricted within fixed upper and lower bounds. Assuming constant relative risk aversion (CRRA) preferences, we employ the dual-
Geonwoo Kim, Junkee Jeon
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Optimal selection method for investment project
Business, Management and Education, 2010 Under the modern world market conditions the investment activity of enterprises is increasing. Therefore, one of the main aspects of the investment activity guarantee is a selection and apprehension of the main principles of the investment control and ...
Vytautas Jonas Žilinskas
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Weighted entropy and optimal portfolios for risk-averse Kelly investments
, 2017 Following a series of works on capital growth investment, we analyse log-optimal portfolios where the return evaluation includes `weights' of different outcomes.
D Kramkov +12 more
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The Maximal and Minimal Distributions of Wealth Processes in Black–Scholes Markets
MathematicsThe Black–Scholes formula is an important formula for pricing a contingent claim in complete financial markets. This formula can be obtained under the assumption that the investor’s strategy is carried out according to a self-financing criterion; hence ...
Shuhui Liu
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Optimal investment under partial information [PDF]
Mathematical Methods of Operations Research, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Björk, Tomas +2 more
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A Stochastic Maximum Principle and Cox, Ingersoll, Ross Interest Rate Model for an Optimal Investment under Partial Information [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2022 Eric K. TATIAGOUM
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Optimal Investment Timing and Scale Choice of Overseas Oil Projects: A Real Option Approach
Energies, 2018 This article presents a real option model for helping investors to determine the optimal investment timing and scale of overseas oil projects. The model is suitable for the highly uncertain environments in which many oil companies operate, where they ...
Jia-Yue Huang +5 more
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Environmental variability affects optimal trade‐offs in ecological immunology
Ecosphere, 2021 The costs of mounting and maintaining an immune response lead to trade‐offs with investment in (or maintenance of) other organ systems or functions such as reproduction, as has been observed in several taxa, including birds, insects, and mammals.
Devin Kirk +3 more
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Optimal investment with vintage capital: Equilibrium distributions [PDF]
Journal of Mathematical Economics, 2019 The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are indexed not only by time $ $ but also by age $s$.
Silvia Faggian +2 more
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