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.

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.

Mutual fund management in the period of financial crisis

2017 ◽  
Vol 31 (2) ◽  
pp. 75-81
Author(s):  
О. А. Bank
Keyword(s):  
Financial Crisis ◽  
Mutual Fund ◽  
Economic Recession ◽  
Investment Strategy ◽  
Economic Conditions ◽  
Investment Strategies ◽  
Fixed Income ◽  
Fund Management ◽  
Fund Managers ◽  
Different Types

Mutual fund managers do not have full freedom in choosing investment strategies - they are limited both by the laws and by investment declarations of the funds. Investment strategy cannot be fully changed even in financial crisis but it only can be corrected. This fact could not be characterized as a disadvantage because different types of funds are efficient in different time even during the same economic recession. Mutual fund manager should rationally invest funds of their clients: it is better to keep the maximum possible part of the portfolio in cash and instruments with fixed income on the declining market and it is better to keep shares on the rising market. However the choice of bonds also as the choice of shares should pay respect for the features of these instruments during unfavorable economic conditions. Russian mutual fund management differs from fund management in other countries as in stable economic situation so in the circumstances of financial crisis.

scholarly journals Western-style capital market reforms in Russia: Implications for market efficiency and firms’ financing decisions

2020 ◽  
Vol 10 (3) ◽  
pp. 62-74
Author(s):  
Oksana Kim
Keyword(s):  
Financial Reporting ◽  
Capital Market ◽  
Weak Form ◽  
Foreign Direct Investments ◽  
Informational Efficiency ◽  
Russian Government ◽  
Public Firms ◽  
Financing Decisions ◽  
Russian Stock Market ◽  
Over Time

Over the past decade, the Russian government implemented numerous reforms aimed at attracting investor capital and improving the capital market conditions. These reforms included adoption of stringent listing regulations and governance norms, revisions in the tax and ownership laws, restructuring of the major stock exchanges, and more importantly, adoption of International Financial Reporting Standards (IFRS) in 2011. We employ an adaptive market hypothesis (AMH) perspective formulated by Lo (2004, 2005) to examine whether the informational efficiency of the market changed over time as a result of these reforms. While we report that the Russian stock market is still not weak-form efficient, as it was before the reforms, we find the evidence of improvement in efficiency over time. Next, we find that financing decisions of Russian public firms changed following adoption of IFRS when financial statements became more transparent and better aligned with informational needs of local and foreign investors. Particularly, Russian companies that adopted IFRS were more likely to raise finance via issuance of equity rather than debt instruments, whereas for non-adopters there was no change in the firm capital structure. Finally, we report that there was an increase in the inflow of foreign direct investments (FDI) in the post-reform period, suggesting that the above noted reforms conferred significant benefits to the entire Russian economy.

scholarly journals Effectiveness of Selected Investment Strategies in the Opinion of Polish Individual Investors Depending on their Personal Preferences

2020 ◽  
Vol 13 (4) ◽  
pp. 442-451
Author(s):  
Katarzyna Daniluk
Keyword(s):  
Risk Aversion ◽  
Investment Strategy ◽  
Capital Allocation ◽  
Survey Method ◽  
Individual Investors ◽  
Investment Horizon ◽  
Investment Strategies ◽  
Research Material ◽  
Individual Needs ◽  
Level Of Risk

SummarySubject and purpose of work: The work aimed at identifying and characterising the interdependence between Polish investors’ personal preferences in investing and their opinion about the effectiveness of investment strategies. It was examined how the adopted investment horizon, the level of risk aversion and the time spent daily on investing impact the interviewees’ experiences and opinions on the effectiveness of investment strategies.Materials and methods: As the survey method was employed, a questionnaire was sent to randomly selected Polish individual investors. The research material consisted of 652 questionnaire forms.Results: The study showed a relevant dependence between Polish investors’ personal preferences and their opinions on the effectiveness of the particular strategies.Conclusions: The interdependencies revealed in the study may be used by potential investors in the process of matching a strategy to individual needs so as to enhance the effectiveness of the choice. A higher awareness of the problem of matching an investment strategy to personal preferences will lead to improved effectiveness of capital allocation among Polish investors.

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