The dynamic investment strategy of online advertising based on spillover effect in duopoly competition market

Computing ◽  
2018 ◽  
Vol 100 (8) ◽  
pp. 881-905 ◽  
Author(s):  
Huini Zhou ◽  
Xiaoguang Gu ◽  
Li Li
Keyword(s):  
Online Advertising ◽  
Spillover Effect ◽  
Investment Strategy ◽  
Dynamic Investment

Dynamic investment strategies for a risky R and D project

1977 ◽  
Vol 14 (1) ◽  
pp. 144-152 ◽  
Author(s):  
S. D. Deshmukh ◽  
S. D. Chikte
Keyword(s):  
Investment Strategy ◽  
Current Status ◽  
Investment Strategies ◽  
External Market ◽  
Financing Decisions ◽  
R And D ◽  
Final Project ◽  
Dynamic Investment ◽  
Market Uncertainties ◽  
Over Time

During the course of an R and D project, it is often meaningful and possible to evaluate its status, so that this information may be used for making better financing decisions over time. The project status changes stochastically due to the internal (technological) and the external (market) uncertainties, the former being partially controlled by expenditure of resources. In addition to the resource expenditure strategy, the manager must also decide when to terminate the project. Once the project is terminated, a terminal return is collected, whose value depends on the final project status. It is shown that the project should be terminated if the current status is either too low or too high to make further expenditure worthwhile. Otherwise, for an intermediate (promising) status of the project, an aggressive investment strategy is shown to be optimal. Thus, the model unifies the problems of optimally undertaking, financing and terminating an R and D project in face of various uncertainties.

Option Based Portfolio Insurance Revisited

2007 ◽  
Vol 2 (2) ◽  
pp. 195-215
Author(s):  
R. Bouchaib
Keyword(s):  
Transaction Costs ◽  
Asset Allocation ◽  
Investment Strategy ◽  
Theoretical Framework ◽  
Market Impact ◽  
Dynamic Allocation ◽  
Portfolio Insurance ◽  
Dynamic Investment ◽  
Constant Proportion Portfolio Insurance

ABSTRACTIn recent years, Constant Proportion Portfolio Insurance (CPPI) has been the most widely recognised form of portfolio insurance among market practitioners, despite a lack of theoretical framework to support it. This paper presents a revised formulation of Option Based Portfolio Insurance (OBPI) and shows, through a case study, how it can be used as a structured product and applied in practice as a dynamic investment strategy for insurance and pensions funds such as with-profits funds. CPPI and the Revised Option Based Portfolio Insurance (ROBPI) technique adopted in this paper are similar in the sense that they rely on dynamic allocation between risky and risk-free assets to provide downside protection. Comparison between the two methods shows that ROPBI is more efficient and forward looking, giving more information about downside risk and producing less volatile asset allocation, which reduces transaction costs and any market impact.

scholarly journals Volatility spillover effect in Western Balkans

2018 ◽  
Vol 68 (1) ◽  
pp. 79-100 ◽  
Author(s):  
Milica Latinovic ◽  
Vesna Bogojevic Arsic ◽  
Milica Bulajic
Keyword(s):  
Market Integration ◽  
Spillover Effect ◽  
Investment Strategy ◽  
Investment Strategies ◽  
Volatility Spillover ◽  
Western Balkans ◽  
Developed Markets ◽  
Western Balkan Region ◽  
Balkan Region ◽  
Market Shocks

This article examines volatility spillover among Western Balkan’s stock markets and selected developed markets. If there is an evidence of weak linkage between various markets, then there are potential benefits that could arise from international diversification. However, if we analyse the relationship between two markets that are different in terms of their economic development, and if there is a strong connection between them, market shocks from the developed markets can have an impact on the frontier/emerging markets. Market integration can be indicated with returns linkage and transmission of shocks and volatility between markets. Hence, this can have implications for investment strategies. It is found that there is statistically significant regional spillover between countries of the Western Balkan region. Also, there is global spillover between developed markets and this region as well. Furthermore, there is evidence that Western Balkan’s markets are late in response to important market events, and that can be used when formulating investment strategy.

Dynamic investment strategies for a risky R and D project

1977 ◽  
Vol 14 (01) ◽  
pp. 144-152 ◽  
Author(s):  
S. D. Deshmukh ◽  
S. D. Chikte
Keyword(s):  
Investment Strategy ◽  
Current Status ◽  
Investment Strategies ◽  
External Market ◽  
Financing Decisions ◽  
R And D ◽  
Final Project ◽  
Dynamic Investment ◽  
Market Uncertainties ◽  
Over Time

During the course of an R and D project, it is often meaningful and possible to evaluate its status, so that this information may be used for making better financing decisions over time. The project status changes stochastically due to the internal (technological) and the external (market) uncertainties, the former being partially controlled by expenditure of resources. In addition to the resource expenditure strategy, the manager must also decide when to terminate the project. Once the project is terminated, a terminal return is collected, whose value depends on the final project status. It is shown that the project should be terminated if the current status is either too low or too high to make further expenditure worthwhile. Otherwise, for an intermediate (promising) status of the project, an aggressive investment strategy is shown to be optimal. Thus, the model unifies the problems of optimally undertaking, financing and terminating an R and D project in face of various uncertainties.

Dynamic Asset Allocation Techniques

2009 ◽  
Vol 15 (3) ◽  
pp. 573-655 ◽  
Author(s):  
S. Jarvis ◽  
A. Lawrence ◽  
S. Miao
Keyword(s):  
Asset Allocation ◽  
Investment Strategy ◽  
Trading Strategies ◽  
Investment Strategies ◽  
Dynamic Asset Allocation ◽  
Dynamic Investment ◽  
Tactical Asset Allocation ◽  
Relationship Of ◽  
The Relationship

ABSTRACTInvestment strategy is often static, punctuated by infrequent reviews. For most long-term investors, this practice results in large risks being taken that could otherwise be managed with a more dynamic investment policy. The bulk of this paper is aimed at analysing and describing two multi-period investment strategy problems — in order to derive potential dynamic strategies. Along the way, we show how static investment strategies can fail to deliver an investor's long-term objectives and describe the relationship of our work to other areas of the finance literature. This paper does not cover trading strategies such as Tactical Asset Allocation.This paper sets out two main approaches to the multi-period problem. The first approach optimises a utility function. The second approach uses partial differential equation (PDE) technology to optimise a target statistic (in this case, TailVaR) subject to return and long-only constraints.

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