The Role of the Investment Horizon in Optimal Portfolio Sequencing (An Intuitive Demonstration in Discrete Time)

1994 ◽  
Vol 29 (4) ◽  
pp. 557-576 ◽  
Author(s):  
John F. Marshall
Keyword(s):  
Discrete Time ◽  
Optimal Portfolio ◽  
Investment Horizon

Financial impact of high land prices on the viability of winery startup projects

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Michael Santos ◽  
Vincent Richman ◽  
Aidong Hu
Keyword(s):  
Net Present Value ◽  
Weighted Average ◽  
Capital Budgeting ◽  
Investment Horizon ◽  
Internal Rate Of Return ◽  
Content Type ◽  
Land Prices ◽  
Practical Implications

Purpose Does it make economic sense to invest in winery startups with high land prices? This paper aims to apply a capital budgeting analysis for a startup project to investigate the role of land prices in the decision-making of a wine entrepreneur. Design/methodology/approach This paper uses a capital budgeting analysis to evaluate the value of a winery project using the six investment criteria: net present value (NPV), internal rate of return (IRR), modified IRR, profitability index, payback period (PB) and discounted PB. Findings This study finds that high land prices are economically justifiable (NPV is greater or equal to zero) when the weighted average capital cost is sufficiently low for investors who are able to diversify risks and with access to a cheap source of funds. Additionally, this study demonstrates that wine entrepreneurs need a long-term investment horizon because the recovery of the initial investment in winery startup projects takes many years. Research limitations/implications The startup winery projects are heavily influenced by wine pricing, production and cost assumptions. As a result, different assumptions made at other wine regions may result in slightly different outcomes for the acceptability of the wine startup projects. Practical implications High land prices are economically justified for investors and entrepreneurs with the ability to diversify risk and access to cheap financial resources. As such, land prices can be a critical obstacle for individual entrepreneurs who experience a lack of capital. Social implications In the famous wine regions of the world, high land prices may result in more wineries being owned by the capital rich wine conglomerates. Originality/value This paper provides estimations of land prices based on financial methods to discuss the justification of observed prices and the implications regarding the ability of investors and entrepreneurs to access capital.

scholarly journals A Discrete Time Benchmark Approach for Insurance and Finance

2003 ◽  
Vol 33 (2) ◽  
pp. 153-172 ◽  
Author(s):  
Hans Bühlmann ◽  
Eckhard Platen
Keyword(s):  
Discrete Time ◽  
Jel Classification ◽  
Optimal Portfolio ◽  
Contingent Claim ◽  
Fair Price ◽  
Growth Optimal Portfolio ◽  
Fair Pricing ◽  
Pricing Rule ◽  
Benchmark Approach ◽  
Secondary 60G30

This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as reference unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales. Benchmarked fair price processes are characterized as martingales. No measure transformation is needed for the fair pricing of insurance policies and derivatives. The standard actuarial pricing rule is obtained as a particular case of fair pricing when the contingent claim is independent from the growth optimal portfolio.1991 Mathematics Subject Classification: primary 90A12 secondary 60G30, 62P20JEL Classification: G10, G13

scholarly journals Optimal Risk Budgeting under a Finite Investment Horizon

Risks ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 86
Author(s):  
Marcos López de Prado ◽  
Ralph Vince ◽  
Qiji Jim Zhu
Keyword(s):  
Quantitative Methods ◽  
Optimal Portfolio ◽  
Investment Horizon ◽  
Risk Averse ◽  
Growth Optimal Portfolio ◽  
Risk Budgeting ◽  
Risk Parity ◽  
Risk Neutral ◽  
Mean Variance

The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz’s mean-variance or risk parity. The GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that, under this more realistic setting, the optimal bet sizes are considerably smaller than previously suggested by the GOP literature. We also develop quantitative methods for determining the risk-adjusted growth allocations (or risk budgeting) for a given finite investment horizon.

EFFECT OF TIME-DELAY ON A PREY–PREDATOR MODEL WITH MICROPARASITE INFECTION IN THE PREDATOR

2011 ◽  
Vol 19 (02) ◽  
pp. 365-387 ◽  
Author(s):  
SWETA PATHAK ◽  
ALAKES MAITI ◽  
SHYAM PADA BERA
Keyword(s):  
Time Delay ◽  
Discrete Time ◽  
Predator Population ◽  
Dynamical Characteristics ◽  
Dynamical Behaviors ◽  
Discrete Time Delay ◽  
Mathematical Analyses ◽  
Predator Model ◽  
Living Organisms

To increase a prey population that is attacked by a predator it is more convenient and economical to choose the living organisms to control the predator. In this paper, the dynamical behaviors of a prey–predator model with microparasitic infection in the predator have been discussed. In this epidemiological model the microparasite is horizontally transmitted and attacks the predator population only. The infected population does not recover or become immune. The dynamical characteristics of the system are studied through mathematical analyses. The role of discrete time-delay has been discussed to show that time-delay can induce instability and oscillation. Numerical simulations are carried out. Biological implications have been discussed.

Fertility Following Marital Dissolution

2000 ◽  
Vol 21 (4) ◽  
pp. 501-524 ◽  
Author(s):  
SUSAN L. BROWN
Keyword(s):  
United States ◽  
Life Course ◽  
Discrete Time ◽  
National Survey ◽  
Marital Dissolution ◽  
The United States ◽  
Event History ◽  
Married Mothers ◽  
Nonmarital Births

Surprisingly, nearly one third of all nonmarital births in the United States are to formerly married mothers. The author uses data from the National Survey of Families and Households to investigate the level and timing of such births as well as their determinants. Discrete time-event history analyses are used to evaluate the associations between various life course factors and postmarital childbearing. The present study improves on prior research by examining the role of postmarital cohabitation experience in fertility following marital dissolution. Postmarital cohabitation experience more than doubles the odds of having a postmarital birth. In fact, about 20% of postmarital births occur to cohabiting mothers.

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