Optimal investment and consumption with return predictability and execution costs
Sign Up to like & getrecommendations! Published in 2020 at "Economic Modelling"
DOI: 10.1016/j.econmod.2019.09.051
Abstract: Abstract We provide a closed-form solution to an optimal investment and consumption problem for a constant absolute risk aversion (CARA) agent, who faces execution costs when trading correlated risky assets with return predictability. The optimal… read more here.
Keywords: execution costs; consumption; optimal investment; return predictability ... See more keywords
Planning-objective based representative day selection for optimal investment decision of distribution networks
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DOI: 10.1016/j.egyr.2020.11.191
Abstract: Abstract The development of power monitoring equipment triggers the increase of various power grid data. As an important solution for the optimal investment decision, scenario analysis has been a hot topic in power grid planning.… read more here.
Keywords: framework; optimal investment; investment decision; power ... See more keywords
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2018.12.005
Abstract: Abstract In this paper we investigate an optimal investment problem under short-selling and portfolio insurance constraints faced by a defined contribution pension fund manager who is loss averse. The financial market consists of a cash… read more here.
Keywords: short selling; optimal investment; insurance; portfolio insurance ... See more keywords
Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.09.005
Abstract: Abstract A continuous time stochastic model is used to study a hybrid pension plan, where both the contribution and benefit levels are adjusted depending on the performance of the plan, with risk sharing between different… read more here.
Keywords: pension; risk sharing; hybrid pension; pension plan ... See more keywords
Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2016.09.053
Abstract: Abstract This paper considers a robust optimal investment and reinsurance problem under model ambiguity and default risk for an insurer, who can trade in a saving account, a stock and a defaultable bond and aims… read more here.
Keywords: insurer; default; robust optimal; optimal investment ... See more keywords
Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
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DOI: 10.1080/02331934.2017.1405956
Abstract: Abstract We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero-coupon bond,… read more here.
Keywords: investment; insurance; optimal investment; inflation ... See more keywords
Optimal investment problem with complete memory on an infinite time horizon
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1640877
Abstract: Abstract This paper deals with an optimal investment problem with complete memory over an infinite time horizon, where the appreciation rate of the risky asset depends on the historical information and the wealth process is… read more here.
Keywords: complete memory; investment; investment problem; problem complete ... See more keywords
Optimal investment of DC pension plan with two VaR constraints
Sign Up to like & getrecommendations! Published in 2020 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2020.1767141
Abstract: Abstract In this paper, we investigate an optimal investment problem under two value-at-risk (VaR) constraints faced by a defined contribution (DC) pension fund manager. We apply a concavification technique and a Lagrange dual method to… read more here.
Keywords: optimal investment; pension; var constraints; var ... See more keywords
Optimal investment strategies for general utilities under dynamic elasticity of variance models
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DOI: 10.1080/14697688.2017.1397284
Abstract: This paper studies the optimal investment strategies under the dynamic elasticity of variance (DEV) model which maximize the expected utility of terminal wealth. The DEV model is an extension of the constant elasticity of variance… read more here.
Keywords: investment strategies; optimal investment; dynamic elasticity; elasticity variance ... See more keywords
The Optimal Investment and Re-Guarantee Purchase of China’s Financing Guarantee Institutions Considering Risk Preference
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DOI: 10.1109/access.2022.3195504
Abstract: Financing guarantee institutions achieve capital preservation and appreciation through investment, and diversify business risks by purchasing re-guarantee. In order to study the optimal investment and re-guarantee purchase strategies of financing guarantee institutions, the geometric Brownian… read more here.
Keywords: optimal investment; guarantee; investment guarantee; guarantee purchase ... See more keywords
Optimal Investment Timing and Scale Choice of Overseas Oil Projects: A Real Option Approach
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DOI: 10.3390/en11112954
Abstract: 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… read more here.
Keywords: investment; investment timing; optimal investment; overseas oil ... See more keywords