scholarly journals Optimal Dynamic Investment Policies of a Value Maximizing Firm

1989 ◽  
Author(s):  
Peter M. Kort
Keyword(s):  
Investment Policies ◽  
A Value ◽  
Dynamic Investment ◽  
Optimal Dynamic

scholarly journals COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS

2012 ◽  
Vol 15 (02) ◽  
pp. 1250014 ◽  
Author(s):  
J. WANG ◽  
P. A. FORSYTH
Keyword(s):  
Asset Allocation ◽  
Optimal Investment ◽  
Quadratic Variation ◽  
Investment Policy ◽  
Investment Policies ◽  
Efficient Frontiers ◽  
Dynamic Investment ◽  
Optimal Dynamic ◽  
Hamilton Jacobi Bellman ◽  
Mean Variance

We determine the optimal dynamic investment policy for a mean quadratic variation objective function by numerical solution of a nonlinear Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE). We compare the efficient frontiers and optimal investment policies for three mean variance like strategies: pre-commitment mean variance, time-consistent mean variance, and mean quadratic variation, assuming realistic investment constraints (e.g. no bankruptcy, finite shorting, borrowing). When the investment policy is constrained, the efficient frontiers for all three objective functions are similar, but the optimal policies are quite different.

A model of optimal dynamic asset allocation in a Value-at-Risk framework

2003 ◽  
Vol 4 (4) ◽  
pp. 301 ◽  
Author(s):  
Ching-Ping Wang ◽  
David Shyu ◽  
Y. Chris Liao ◽  
Ming-Chi Chen ◽  
Miao-Ling Chen
Keyword(s):  
At Risk ◽  
Asset Allocation ◽  
Value At Risk ◽  
Dynamic Asset Allocation ◽  
A Value ◽  
Risk Framework ◽  
Optimal Dynamic

Observations of the Thermal Decomposition of Brucite

1968 ◽  
Vol 26 ◽  
pp. 446-447
Author(s):  
P. L. Burnett ◽  
W. R. Mitchell ◽  
C. L. Houck
Keyword(s):  
Thermal Decomposition ◽  
Magnesium Oxide ◽  
Basal Plane ◽  
Magnesium Ions ◽  
A Value ◽  
Reaction Proceeds

Natural Brucite (Mg(OH)2) decomposes on heating to form magnesium oxide (MgO) having its cubic ﹛110﹜ and ﹛111﹜ planes respectively parallel to the prism and basal planes of the hexagonal brucite lattice. Although the crystal-lographic relation between the parent brucite crystal and the resulting mag-nesium oxide crystallites is well known, the exact mechanism by which the reaction proceeds is still a matter of controversy. Goodman described the decomposition as an initial shrinkage in the brucite basal plane allowing magnesium ions to shift their original sites to the required magnesium oxide positions followed by a collapse of the planes along the original <0001> direction of the brucite crystal. He noted that the (110) diffraction spots of brucite immediately shifted to the positions required for the (220) reflections of magnesium oxide. Gordon observed separate diffraction spots for the (110) brucite and (220) magnesium oxide planes. The positions of the (110) and (100) brucite never changed but only diminished in intensity while the (220) planes of magnesium shifted from a value larger than the listed ASTM d spacing to the predicted value as the decomposition progressed.

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