Planning-objective based representative day selection for optimal investment decision of distribution networks

This paper establishes the payoff models of the European option for research and development (R&D) projects with two enterprises in a research joint venture (RJV). The models are used to assess the timing and payoffs of the R&D project investment under quantified uncertainties. After the option game, the two enterprises can make optimal investment decision for the R&D project investment in the RJV.

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Optimal Investment Decision of Security Investment Fund Based on the Experiment Design

2008 International Conference on Risk Management & Engineering Management ◽

10.1109/icrmem.2008.51 ◽

2008 ◽

Author(s):

Wei Cheng ◽

Jin-yu Wang ◽

Jing-ting Ma

Keyword(s):

Investment Decision ◽

Optimal Investment ◽

Experiment Design ◽

Investment Fund ◽

Security Investment ◽

Security Investment Fund

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The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments

Journal of Financial and Quantitative Analysis ◽

10.1017/s0022109010000463 ◽

2010 ◽

Vol 45 (5) ◽

pp. 1279-1310 ◽

Cited By ~ 166

Author(s):

Daniel Egloff ◽

Markus Leippold ◽

Liuren Wu

Keyword(s):

Term Structure ◽

Investment Decision ◽

Market Price ◽

Optimal Investment ◽

Stock Index ◽

Structure Variation ◽

Variance Swap ◽

Variance Risk ◽

Negative Estimate ◽

Swap Rates

AbstractThis paper performs specification analysis on the term structure of variance swap rates on the S&P 500 index and studies the optimal investment decision on the variance swaps and the stock index. The analysis identifies 2 stochastic variance risk factors, which govern the short and long end of the variance swap term structure variation, respectively. The highly negative estimate for the market price of variance risk makes it optimal for an investor to take short positions in a short-term variance swap contract, long positions in a long-term variance swap contract, and short positions in the stock index.

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The Dynamic Programming Model for Investment Decision of Enterprise

Applied Mechanics and Materials ◽

10.4028/www.scientific.net/amm.519-520.1468 ◽

2014 ◽

Vol 519-520 ◽

pp. 1468-1471

Author(s):

Jun Quan Gong ◽

Xiao Hong Qin

Keyword(s):

Genetic Algorithm ◽

Dynamic Programming ◽

Capital Investment ◽

Programming Model ◽

Investment Decision ◽

Fuzzy Optimization ◽

Optimal Investment ◽

Financial Resources ◽

Risks And Benefits ◽

Dynamic Programming Model

Enterprise often face to limit financial resources but also have to consider how to invest effectively on a number of projects in the various factors of the risks and benefits in different periods. In order to assure the optimal investment results of capital investment, this paper has established dynamic programming model which is multi-dimensional and multi-objective and fuzzy optimization, dynamic programming and genetic algorithm is combination to solve investment decision of enterprise. At last, this paper through an example to verify the validity of dynamic programming model.

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Technological Innovation, Product Life Cycle and Market Power: A Real Options Approach

International Journal of Information Technology & Decision Making ◽

10.1142/s0219622014500874 ◽

2015 ◽

Vol 14 (01) ◽

pp. 93-113 ◽

Cited By ~ 6

Author(s):

Johnson T. S. Cheng ◽

I-Ming Jiang ◽

Yu-Hong Liu

Keyword(s):

Life Cycle ◽

Real Options ◽

Market Power ◽

Technological Innovation ◽

Product Life Cycle ◽

Investment Decision ◽

Investment Decisions ◽

Optimal Investment ◽

Product Life ◽

Real Options Approach

This paper employs a real options approach to analyze optimal investment decisions. When investment projects have the characteristics of irreversibility, uncertainty and the option to wait or exit, the traditional net present value (NPV) method would underestimate the value of investment, since it neglects the values of timing and operational flexibility. The distinctive feature of this paper is that the effects of product life cycle (PLC) as well as market power are incorporated into the model. In addition, and different to the approach in Liao et al. [Optimal investment decision and product life cycle: A real options approach, Sun Yat-Sen Management Review 11(3) (2003) 1–36], we introduce the concept of technological innovation into the model. It is shown that the optimal waiting time for the investment is longer than both those in the American call options model of McDonald and Siegel [The value of waiting to invest, Quarterly Journal of Economics 101(4) (1986) 707–727], which does not incorporate dividend yield, and Liao et al. [Optimal investment decision and product life cycle: A real options approach, Sun Yat-Sen Management Review 11(3) (2003) 1–36], but is shorter than that in Dixit and Pindyck's [Investment under Uncertainty (Princeton University Press, Princeton, NJ, 1994)] model, which incorporates dividend yield. Finally, a comparative static is used to analyze the determinants of optimal investment decisions. Our results indicate that the investment-ratio threshold will be higher, and thus the optimal entry time for an investment will be delayed, when (1) the PLC is longer, (2) the uncertainty is greater, (3) the discounting rate is higher, (4) market power is larger, (5) jump size intensity is stronger and (6) the payoff out ratio (R&D/revenue) is larger.

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Reliability as Main Factor for Future Value Creation

Proceedings of 5th International Scientific Conference Contemporary Issues in Business, Management and Education ‘2017 ◽

10.3846/cbme.2017.075 ◽

2017 ◽

Cited By ~ 1

Author(s):

Aleksandras Vytautas Rutkauskas ◽

Viktorija Stasytytė ◽

Andrius Rutkauskas

Keyword(s):

Stochastic Optimization ◽

Utility Function ◽

Optimal Allocation ◽

Investment Decision ◽

Value Added ◽

Optimal Investment ◽

Currency Markets ◽

Reliability Management ◽

Investment Decision Making ◽

Optimal Resource

The main objective of the paper is to present the solution to the problem of possibilities’ reliability management, which is an important problem of uncertainty (risk) economics. Also, the paper aims to propose adequate methods of stochastic optimization and reveal their broad implementation possibilities. Along with that, the concept of utility function is being disclosed, when we take into account not only the possibilities of prices and costs, but also their reliability, in order to achieve the highest value added in this process. The original methods of stochastic optimization are used, while searching for the optimal allocation of invested capital among the investment assets. Adequate investment portfolio is treated as theoretically sound and practically effective instrument for investment decision-making in capital and currency markets, as well as for other problems related with optimal resource allocation. The adequate portfolio supplements the modern portfolio by adding the third portfolio parameter – the reliability of return. Also, the utility function based on return, reliability and risk is used to find the optimal investment possibility for particular investor. The formed portfolio solutions were tested in the markets of NYSE, UK and France.

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