Results 51 to 60 of about 847,676 (248)
Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary [PDF]
, 2014 We derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential L\'evy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic control problem.
Ferrari, Giorgio, Salminen, Paavo
core
Optimal Investment Horizons for Stocks and Markets
, 2006 The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a time coined the
A. Johansen +6 more
core +1 more source
Optimal investment under behavioural criteria -- a dual approach [PDF]
, 2014 We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in a previous paper under certain conditions ...
Rodríguez-Villarreal, José G. +1 more
core +2 more sources
Optimal Investment in Clean Production Capacity [PDF]
Environmental and Resource Economics, 2004 For the mitigation of long-term pollution threats, one must consider that both the process of environmental degradation and the switchover to new and cleaner technologies are dynamic. We develop a model of a uniform good that can be produced by either a polluting technology or a clean one; the latter is more expensive and requires investment in ...
Fischer, Carolyn +2 more
openaire +5 more sources
The optimal model of oilfield development investment based on Data Envelopment Analysis
Petroleum, 2016 The investment problem of oilfield development is to trade off the investment exploration investment and development investment. With low return on investment got by using the existing method to solve this problem, we construct an optimal model to ...
Yihua Zhong, Jiao Zhao
doaj +1 more source
Growth Optimal Investment and Pricing of Derivatives
, 1999 We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games.
Angelo Vulpiani +41 more
core +1 more source
Optimal Investment with Fixed Financing Costs [PDF]
Finance and Economics Discussion Series, 2001 Case studies show that corporate managers seek financial independence to avoid interference by outside financiers. We incorporate this financial xenophobia as a fixed cost in a simple dynamic model of financing and investment. To avoid refinancing in the future, the firm alters its behavior depending on the extent of its financial xenophobia and the ...
Jason G. Cummins, Ingmar Nyman
openaire +2 more sources
On Long Term Investment Optimality [PDF]
Applied Mathematics & Optimization, 2017 We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate of the probability that the portfolio exceeds the benchmark or to maximise the decay rate that the portfolio falls ...
openaire +3 more sources
Optimal Cybersecurity Investments Using SIS Model: Weakly Connected Networks [PDF]
, 2022 Van Sy Mai +2 more
openalex +1 more source
OPTIMAL CONTROL THEORETIC APPROACH TO INVESTMENT IN DOCTORS
Copernican Journal of Finance & Accounting, 2020 Health care is ever more important with aging population. Assuming the number of doctors per patient is one of the determinants of patient satisfaction, optimal investment in practitioner doctors, specialist doctors and foreign doctors are analyzed given
Mustafa Akan
doaj +3 more sources