搜索结果: 76-90 共查到“经济学 Investment”相关记录205条 . 查询时间(0.017 秒)
Optimal dividend control for a generalized risk model with investment incomes and debit interest
Absolute ruin dividend optimization stochastic control value function viscosity solution
2011/3/23
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound ...
Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms
stochastic optimal control consumption-investment problems life-insurance
2011/3/23
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random ...
Optimal consumption and investment for markets with randoms coefficients
Black-Scholes market Stochastic volatility Optimal consumption and Investment Hamilton-Jacobi-Bellman equation Banach fixed point theorem Feynman - Kac formula.
2011/3/23
We consider an optimal consumption - investment problem for financial markets of Black-Scholes's type with the random coefficients. The existence and uniqueness theorem for the Hamilton-Jacobi-Bellman...
The Role of Fair Value Accounting for Investment in Securities: Evidences from the Chinese Stock Exchanged Market
Fair Value Accounting Investment Securities Role Relevance
2013/2/23
The purpose of this study is to examine the relevance of fair value accounting measurement for investment in securities. We use three measurements for fair value: net asset based on fair value per sha...
Optimal consumption and investment in incomplete markets with general constraints
Optimal consumption investment incomplete markets
2010/10/22
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with expo...
Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/10/19
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
Recovery Rates investment-grade pools credit assets
2010/10/20
We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we study the structure...
上海财经大学宏观经济学课件Chapter7 Consumption, Saving and Investment
上海财经大学宏观经济学 课件 Chapter7 Consumption Saving Investment
2010/6/28
上海财经大学宏观经济学课件Chapter7 Consumption, Saving and Investment。
Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/4/28
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/19
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, ...
Optimal investment with bounded VaR for power utility functions
VaR power utility functions
2010/10/18
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is f...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
The International Tax and Investment Center (ITIC) is an independent nonprofit research and education foundation with offices in Russia, Azerbaijan, Kazakhstan, the Philippines, Ukraine, the United Ki...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
expected profit cost yields investment under uncertainty
2010/10/18
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
Economic Freedom and Foreign Direct Investment: How Different are the MENA Countries from the EU
Economic Freedom European Union (EU) Countries Foreign Direct Investment Fuzzy Clustering Institutions Middle East North Africa (MENA) Countries
2013/2/23
The risk perceived by investors is crucial in the decision to invest, in particular when it concerns a foreign country. The risk associated to any (foreign) investment is a multi-faceted element given...