Download or read book Optimal Investment and Consumption Strategies Under Risk and Uncertain Lifetime and Insurance written by Nils H. Hakansson and published by . This book was released on 1967 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a previous paper, the author presented a normative model of the individual's economic decision problem under risk. This model is now extended to include the case in which the individual has an uncertain life-time, a bequest motive, and the opportunity to enter into contracts of insurance. Optimal investment and consumption strategies are derived, where possible, for the class of utility functions whose proportional risk aversion indices are constants, and their properties are noted. In consequence of one of these properties, it is shown that the model gives rise to an induced theory of the firm under risk, which may be viewed as an extension of the theory developed for the case in which the horizon is certain. In addition, it is found that when the premium charged is 'fair, ' any given individual may be able to make himself better off both by the purchase of insurance on his own life and the sale of insurance on the lives of others. (Author).

Download or read book Optimal Investment and Consumption Strategies for a Class of Utility Functions written by Nils Hemming Hakansson and published by . This book was released on 1969 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Investment and Consumption Strategy for a Retiree Under Stochastic Force of Mortality written by Kanav Gupta and published by . This book was released on 2020 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: With an increase in the self-driven retirement plans during past few decades, more and more retirees are managing their retirement portfolio on their own. Therefore, they need to know the optimal amount of consumption they can afford each year, and the optimal proportion of wealth they should invest in the financial market. In this project, we study the optimization strategy proposed by Delong and Chen (2016). Their model determines the optimal consumption and investment strategy for a retiree facing (1) a minimum lifetime consumption, (2) a stochastic force of mortality following a geometric Brownian motion process, (3) an annuity income, and (4) non-exponential discounting of future income. We use a modified version of the Cox, Ingersoll, and Ross (1985) model to capture the stochastic mortality intensity of the retiree and, subsequently, determine a new optimal consumption and investment strategy using their framework. We use an expansion method to solve the classic Hamilton-Jacobi-Bellman equation by perturbing the non-exponential discounting parameter using partial differential equations.

Download or read book Strategic Financial Planning Over the Lifecycle written by Narat Charupat and published by Cambridge University Press. This book was released on 2012-05-28 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a final-year college level textbook on personal finance, jointly written by business school and mathematics professors. It is aimed at a wide audience of people who are interested in wealth management from a more rigorous perspective. It may be used in both personal applications and professional classrooms.

Download or read book Optimal Investment and Financial Strategies Under Tax Rate Uncertainty written by Alessandro Fedele and published by . This book was released on 2010 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Life Insurance Purchase Consumption and Portfolio Under an Uncertain Life written by Jinchun Ye and published by . This book was released on 2006 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Selection written by Harry Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.

Download or read book Determinants of Life Insurance Consumption across Countries written by Thorsten Beck and published by World Bank Publications. This book was released on 2002 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Programming and Stochastic Control written by Bertsekas and published by Academic Press. This book was released on 1976-11-26 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Programming and Stochastic Control

Download or read book Kelly Capital Growth Investment Criterion The Theory And Practice written by Leonard C Maclean and published by World Scientific. This book was released on 2011-02-10 with total page 883 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) "(D Bernoulli)"A New Interpretation of Information Rate "(J R Kelly, Jr)"Criteria for Choice among Risky Ventures "(H A Latan‚)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the ?Growth-Optimum-Model? "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hopp‚)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"

Download or read book Economic Decisions Under Uncertainty written by Hans-Werner Sinn and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Fundamental Issues Involved Why do we need a theory of uncertainty? It is a fact that almost all man's economic decisions are made under conditions of uncertainty, but this fact alone does not provide a strong enough argument for making the effort necessary to generalize ordinary preference theory designed for a world of perfect certainty. In accordance with Occam's Razor, the mathematician may well welcome a generalization of assumptions even if it does not promise more than a restatement of known results. The economist, however, will only be well disposed towards making the effort if he can expect to achieve new insights and interesting results, for he is interested in the techniques necessary for the generalization only as means to an end, not as ends in themselves. A stronger reason for developing a theory of uncertainty, therefore, seems to be the fact that there are kinds of economic activities to which the non-stochastic preference theory has no access or has access only through highly artificial constructions. Such activities include portfolio decisions of wealth holders, speculation, and insurance. These will be considered in detail in the last chapter of the book. The main purpose of this book, however, is not to apply a theory of uncertainty to concrete economic problems, the purpose rather is to formulate such a theory.

Download or read book Optimization and Control for Systems in the Big Data Era written by Tsan-Ming Choi and published by Springer. This book was released on 2017-05-04 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on optimal control and systems engineering in the big data era. It examines the scientific innovations in optimization, control and resilience management that can be applied to further success. In both business operations and engineering applications, there are huge amounts of data that can overwhelm computing resources of large-scale systems. This “big data” provides new opportunities to improve decision making and addresses risk for individuals as well in organizations. While utilizing data smartly can enhance decision making, how to use and incorporate data into the decision making framework remains a challenging topic. Ultimately the chapters in this book present new models and frameworks to help overcome this obstacle. Optimization and Control for Systems in the Big-Data Era: Theory and Applications is divided into five parts. Part I offers reviews on optimization and control theories, and Part II examines the optimization and control applications. Part III provides novel insights and new findings in the area of financial optimization analysis. The chapters in Part IV deal with operations analysis, covering flow-shop operations and quick response systems. The book concludes with final remarks and a look to the future of big data related optimization and control problems.

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Download or read book The Optimal Investment Strategy Through Universal variable Life Insurance written by Keunchang Lee and published by . This book was released on 1987 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2006-07-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well.*Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope

Download or read book U S Government Research Development Reports written by and published by . This book was released on 1967 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Optimal Portfolios and Life Insurance Problems in a Le vy Market written by Calisto Guambe and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis solves various optimal investment, consumption and life insurance problems described by jump-diffusion processes. In the first part of the thesis, we solve an optimal investment, consumption, and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions. Secondly, we prove the sufficient and necessary maximum principle for the similar problem proposed in the first part. Then we apply the results to solve an investment, consumption, and life insurance problem with stochastic volatility, that is, we consider a wage earner investing in one risk-free asset and one risky asset described by a jump-diffusion process and has to decide concerning consumption and life insurance purchase. We assume that the life insurance for the wage earner is bought from a market composed of M > 0 life insurance companies offering pairwise distinct life insurance contracts. The goal is to maximize the expected utilities derived from the consumption, the legacy in the case of a premature death and the investor's terminal wealth. The third part discusses 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, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the theory of quadratic-exponential backward stochastic differential equation (BSDE) with jumps approach, we derive the optimal strategy for the two typical utilities (exponential and power) and the value function is characterized as a solution of BSDE with jumps. The explicit solutions for the optimal investment in both cases of exponential and power utility functions for a diffusion case are derived.