Download or read book Optimal Investment Decisions with Exponential Utility Function written by Roman Kozhan and published by . This book was released on 2005 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Sequential Binary Investment Decisions written by Werner Jammernegg and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the beginning of the planning process. This is termed as decision-making under conditions of uncer tainty. Thirdly, in large parts of the work we restrict the analysis to binary decision models. In a binary model, the decision-maker must choose one of two actions. For example, one decision means to undertake the invest ·ment project in a planning period, whereas the other decision prescribes to postpone the project for at least one more period. The analysis of dynamic decision models under conditions of uncertainty is not a very common approach in economics. In this framework the op timal decisions are only obtained by the extensive use of methods from operations research and from statistics. It is the intention to narrow some of the existing gaps in the fields of investment and portfolio analysis in this respect. This is done by combining techniques that have been devel oped in investment theory and portfolio selection, in stochastic dynamic programming, and in Bayesian statistics. The latter field indicates the use of Bayes' theorem for the revision of the probability distributions of the random variables over time.

Download or read book Optimal Investment with Behavioral Utilities Using a Bionomial Tree Model for Asset returns written by Aparna Gupta and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.

Download or read book A Decision Theoretic Approach to Optimal Investment Decisions and an Optimal Financial Structure Under Risk written by Franz Josef Sosnowski and published by . This book was released on 1971 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Investment and Consumption Portfolio Choice Problem for Assets Modeled by Levy Processes written by Ryan G. Sankarpersad and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: We consider an extension of Merton's optimal portfolio choice and consumption problem for a portfolio in which the underlying risky asset is an exponential Levy process. The investor is able to move money between a risk free asset and a risky asset and consume from the risk free asset. Given the dynamics of the total wealth of the portfolio we consider the problem of finding portfolio weights and a consumption process which optimizes the investors expected utility of consumption over the investment period. The problem is solved in both the finite and infinite horizon cases for a family of hyperbolic absolute risk aversion utility functions using the techniques of stochastic control theory. The general closed form solutions are found for for the case of a power utility function and then for a more generalized utility. We consider a variety of Levy processes and make a comparison of the optimal portfolio weights. We find that our results are consistent with expectations that the greater the inherent uncertainty of a given process leads to a smaller fraction of wealth invested in the risky asset. In particular an investor is more careful when the risky asset is a discontinuous Levy process when compared to the continuous case such as those found in a geometric Brownian motion model.

Download or read book Financial Decision Making Under Uncertainty written by ANDERSON ANDERSON WEBSTER and published by Academic Press. This book was released on 2014-06-28 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Dec Making under Uncertainty

Download or read book The Investment Decisions of Firms written by S. J. Nickell and published by Welwyn : Nisbet ; Cambridge : Cambridge University Press. This book was released on 1978 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Costly Investment Decisions and Portfolio Optimization written by Barbara A. Bukhvalova and published by . This book was released on 2006 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Stocks Bonds And The Investment Horizon Decision making For The Long Run written by Haim Levy and published by World Scientific. This book was released on 2022-04-28 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: A century ago, life expectancy was roughly 40 years, hence all income could be consumed, as for most people, there was no need to save for retirement. Today, things have drastically changed: Life expectancy exceeds 80 years in many countries, and one should expect to live and consume many years after retirement. Thus, we have many investors with various investment horizons, where the length of the investment horizon becomes a crucial factor in determining the best investment diversification.This book analyzes the effect of the investment horizon on the optimal diversification, specifically between stocks and bonds: Should a young investor and an older investor have the same portfolio? Is it recommended to savers for retirement to change the asset allocation between stocks and bonds as they grow older, as life cycle mutual funds do in practice? Is the idiom 'stocks for the long run' backed by scientific evidence? We analyze for which horizons it is recommended to employ the popular Mean-Variance rule and for which horizons employing this rule induces an economic distortion, hence a loss to the investors. It is shown that all relevant parameters for investment choice (means, variances, and correlations) change in a non-linear way with the horizon, a fact that makes the investment horizon crucial for investment choices. Similarly, the popular Sharpe, Treynor, and Jensen performance indices vary with the assumed horizon even in the case of independence over time. To analyze all the above issues, we employ the Mean-Variance rule and Stochastic Dominance rules, as well as direct expected utility calculations.

Download or read book Advances in Mathematical Finance written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2007-06-22 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

Download or read book Economic and Financial Decisions under Risk written by Louis Eeckhoudt and published by Princeton University Press. This book was released on 2011-10-30 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of risk and how to deal with it is an essential part of modern economics. Whether liability litigation for pharmaceutical firms or an individual's having insufficient wealth to retire, risk is something that can be recognized, quantified, analyzed, treated--and incorporated into our decision-making processes. This book represents a concise summary of basic multiperiod decision-making under risk. Its detailed coverage of a broad range of topics is ideally suited for use in advanced undergraduate and introductory graduate courses either as a self-contained text, or the introductory chapters combined with a selection of later chapters can represent core reading in courses on macroeconomics, insurance, portfolio choice, or asset pricing. The authors start with the fundamentals of risk measurement and risk aversion. They then apply these concepts to insurance decisions and portfolio choice in a one-period model. After examining these decisions in their one-period setting, they devote most of the book to a multiperiod context, which adds the long-term perspective most risk management analyses require. Each chapter concludes with a discussion of the relevant literature and a set of problems. The book presents a thoroughly accessible introduction to risk, bridging the gap between the traditionally separate economics and finance literatures.

Download or read book Approximate Value Iteration Approaches to Constrained Dynamic Portfolio Problems written by Alexander Che-Wei Wang and published by . This book was released on 2004 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis considers a discrete-time, finite-horizon dynamic portfolio problem where an investor makes sequential investment decisions with the goal of maximizing expected terminal wealth. We allow non-standard utility functions and constraints upon the portfolio selections at each time. These problem formulations may be computationally difficult to address through traditional optimal control techniques due to the high dimensionality of the state space and control space. We consider suboptimal solution methods based on approximate value iteration. The primary innovation is the use of mean-variance portfolio selection methods. We present two case studies that employ these approximate value iteration methods. The first case study explores the effect of an insolvency constraint that prohibits further investing when an investor reaches non-positive wealth. When the investor has an exponential utility function, the insolvency constraint leads to more conservative investment policies when there are many investment periods remaining, except when wealth is very low. The second case study explores the effects of dollar position constraints that represent limited liquidity in certain investment strategies. When the investor has a CRRA utility function, we find that these constraints lead to non-myopic policies that are more conservative than the constrained myopic policy.

Download or read book Calculation of Investment Portfolios with Risk Free Borrowing and Lending written by Stanford University. Department of Operations Research. Operations Research House and published by . This book was released on 1972 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper considers the problem of portfolio selection for a rish averting investor wishing to allocate his resources among several investment opportunities in order to maximize the expected utility of final wealth. When the investment returns are joint normally distributed and there is a riskless asset it is known that the investment proportions in the risky assets are independent of the utility function. These proportions are generally unique and may be obtained from the solution of a fractional program or a linear complementary problem. Given the investor's utility function the optimal investment proportions in all assets may be found by solving a stochastic program having one random variable and one decision variable. The two stage procedure provides an efficient computational scheme to solve large scale portfolio problems. Data on the major pooled Canadian equity pension funds was used to provide an empirical test of the suggested solution approach using several common utility function classes. (Author).

Download or read book Optimal Financial Decision Making under Uncertainty written by Giorgio Consigli and published by Springer. This book was released on 2016-10-17 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management. The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows: Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas. Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods. Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems. Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.

Download or read book How to Spend and Investretirement Savings written by Aparna Gupta and published by . This book was released on 2000 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: