Optimal investment risks and debt management with backup security in a financial crisis

2018 ◽  
Vol 338 ◽  
pp. 129-152 ◽  
Author(s):  
Charles I. Nkeki
Keyword(s):  
Financial Crisis ◽  
Optimal Investment ◽  
Debt Management

Optimal investment risks management strategies of an economy in a financial crisis

2018 ◽  
Vol 05 (01) ◽  
pp. 1850003 ◽  
Author(s):  
Charles I. Nkeki
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Linear Combination ◽  
Stock Exchange ◽  
Management Strategies ◽  
Efficient Frontier ◽  
Real Data ◽  
Optimal Investment ◽  
Lagrangian Multiplier ◽  
Investment Portfolio

In this paper, we consider a strategic management of investment risks of an economy that faces financial crisis. The assets consider are multiple stocks and multiple fixed assets. Asset of the economy is a linear combination of portfolio weights and the expected stock returns plus a linear combination of the price of fixed and quantities of assets. Also, the debt profile, consumption and income growth of the economy are studied. The resulting optimization problem was solved by the method of Lagrangian multiplier. The aims of this paper are to determine the (i) mean–variance investment portfolio of the economy, (ii) optimal investment of the economy, (ii) optimal debt ratio of the economy, (iii) efficient frontier for the economy (iv) global minimum risks in the investment portfolio. Empirical results using real data collected from Nigerian Stock Exchange are considered.

scholarly journals Optimal investment and dividend payment strategies with debt management and reinsurance

2018 ◽  
Vol 14 (4) ◽  
pp. 1323-1348 ◽  
Author(s):  
Qian Zhao ◽  
◽  
Zhuo Jin ◽  
Jiaqin Wei ◽  
◽  
...  
Keyword(s):  
Optimal Investment ◽  
Debt Management ◽  
Dividend Payment

RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS

2017 ◽  
Vol 47 (2) ◽  
pp. 501-525 ◽  
Author(s):  
Chou-Wen Wang ◽  
Hong-Chih Huang
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Asset Allocation ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Investment Strategy ◽  
Dependence Structure ◽  
Allocation Strategy ◽  
Investment Performance ◽  
Optimal Investment Strategy

AbstractThis paper provides an optimal asset allocation strategy to enhance risk management performance in the face of a financial crisis; this strategy entails constructing a good asset model – a multivariate jump-diffusion (MJD) model which includes idiosyncratic and systematic jumps simultaneously – and choosing suitable asset allocations and objective functions for fund management. This study also provides the dependence structure for the MJD model. The empirical implementation demonstrates that the proposed MJD model provides more detailed information about the financial crisis, allowing fund managers to determine an appropriate asset allocation strategy that enhances investment performance during the crisis.

scholarly journals Optimized Portfolios: All Seasons Strategy

2020 ◽  
Author(s):  
Raúl D. Navas ◽  
Sónia R. Bentes ◽  
Helena V. G. Navas
Keyword(s):  
Financial Crisis ◽  
Efficient Frontier ◽  
Optimal Investment ◽  
Excess Returns ◽  
Linear Solver ◽  
Reduce Risk ◽  
Diversified Portfolio

Our study explores the efficient frontier of optimal investment, taking behind the Markowitz’s theory, while advocating a diversified portfolio to reduce risk. To perform it, six portfolio models are proposed, and its formation are made by a solver, where the selected solving method is the GRG Nonlinear engine for linear solver problems. Our main goal is to design portfolios that resists to financial crisis but at the same time persists in a wealthy period. We analyze the decade where we assisted to two crashes (2000–2010) and a semi-decade where we assist to a wealthy period (2011–2018). The assets used are varied, such as Equities indexes form various countries, sector equities, bonds, commodities, EURUSD exchange and VIX. Results show that the GRG Nonlinear engine is powerful, providing excess returns in all six models.

Debt Management in India

2018 ◽  
Author(s):  
Charan Singh
Keyword(s):  
Debt Management
Sign in / Sign up

Export Citation Format

Share Document