scholarly journals Optimal Investment Model for New Technology Project

2020 ◽  
Author(s):  
M.L. Lapshina ◽  
V.E. Sukhova ◽  
N.A. Safonova
Keyword(s):  
New Technology ◽  
Optimal Investment ◽  
Investment Model ◽  
Technology Project

A Dynamic Investment Model with Profit-Sharing in an Interest-Free Economy

1991 ◽  
Vol 8 (1) ◽  
pp. 109-127
Author(s):  
Zaidi Sattar
Keyword(s):  
Optimal Investment ◽  
Integrated Approach ◽  
Building Blocks ◽  
Profit Sharing ◽  
Comparative Statics ◽  
Investment Model ◽  
Financial Contracts ◽  
Endogenous Variables ◽  
Rate Of Profit ◽  
Component Models

The present paper is a contribution to the building blocks of an investmentmodel within the framework of an integrated macroeconomic model of anIslamic economy. Investment behavior in the model is guided by an Islamicethicalvalue system and profit-sharing financial contracts. The typical firm’sinvestment decision is believed to emerge from a dynamic inter-temporalmaximization exercise within an infinite time horizon. The method of Calculusof Variations is applied to arrive at the optimal investment and employmentcriteria for the firm. The result is then incorporated into a macroeconomicmodel to study the behavior of key endogenous variables like national incomeand the rate of profit-share. Comparative statics exercised within a generalequilibrium framework reveal the potency of monetary policy but the neutralityof fiscal policy with respect to output and employment.IntroductionThe past decade has witnessed a tremendous outpouring of interest aswell as effort in the formalization of economic models based on profit-sharingfinancial arrangements as an Islamic alternative to the conventional interestbasedeconomic system. Several macroeconomic models for interest-freeeconomies have been proposed (Anwar 1987; Habibi 1987; Metwally 1981& 1983). The rigor of an integrated approach to such macroeconomic modelhgdepends on the rigor of the component models, namely, the consumption,investment, monetary, and fiscal relationships. Economists have writtenextensively on different aspects of consumer behavior in Islamic societies.Kahf (1978) and Khan (1984), among others, have contributed to the conceptualand analytical formulation of the consumption function under ...

An optimal investment model with Markov-driven volatilities

2011 ◽  
Vol 14 (9) ◽  
pp. 1651-1661
Author(s):  
Shangzhen Luo ◽  
Xudong Zeng
Keyword(s):  
Optimal Investment ◽  
Investment Model

scholarly journals A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK

2016 ◽  
Vol 11 (01) ◽  
pp. 1650001 ◽  
Author(s):  
MOAWIA ALGHALITH ◽  
XU GUO ◽  
WING-KEUNG WONG ◽  
LIXING ZHU
Keyword(s):  
Utility Function ◽  
Dynamic Model ◽  
Dynamic Models ◽  
Factor Model ◽  
Optimal Investment ◽  
Background Risk ◽  
Investment Model ◽  
General Utility ◽  
Stochastic Factor ◽  
Stochastic Factor Model

In this paper we present two dynamic models of background risk. We first present a stochastic factor model with an additive background risk. Then, we present a dynamic model of simultaneous (correlated) multiplicative background risk and additive background risk. In so doing, we use a general utility function.

scholarly journals Risk-Sensitive Control and an Optimal Investment Model

2000 ◽  
Vol 10 (2) ◽  
pp. 197-213 ◽  
Author(s):  
W. H. Fleming ◽  
S. J. Sheu
Keyword(s):  
Optimal Investment ◽  
Investment Model ◽  
Risk Sensitive ◽  
Risk Sensitive Control

scholarly journals Oligopoly Power Producer’s Capacity Investment Model with Contracts for Differences

2013 ◽  
Vol 2013 ◽  
pp. 1-13
Author(s):  
Xinhua Zhang ◽  
Hairong Huang ◽  
Xiaohua Xia
Keyword(s):  
Power Supply ◽  
Supply And Demand ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Investment Model ◽  
Capacity Investment ◽  
Unit Load ◽  
Price Cap ◽  
Renewable Power ◽  
Regulation Policy

This paper presents a three-level oligopoly power producer’s capacity investment game model, whose first level considers optimal regulation policy, and second-level models producer’s capacity investment strategy based on the analysis of power producer’s equilibrium biding strategy with capacity and price cap constraints at third level. We solve the model with backward induction and simulate the symmetric case. Precisely, we examine the effect of the number of oligopoly power producers, price cap, and contracts for differences (CFDs) on the unit load and power sale price and explore the optimal investment policy based on the maximization of discounted social welfare. For the proportion of power in CFDs being very big and power supply being relatively nervous in Chinese power market, we discuss the effect of power capacity investment subsidies and CFDs power price on power supply and demand, whose results indicate that reducing the proportion of CFDs’ power in the power producer’s access grid power is an effective way to alleviate the tension in power supply and demand, and the current renewable energy policy can neither necessarily ease the tension condition of power supply nor can it necessarily promote the construction of renewable power generation units.

scholarly journals Research on Optimal Investment Reinsurance of Insurance Companies under Delayed Risk Model

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Yun Xiao ◽  
Zhijian Qiu
Keyword(s):  
Risk Model ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Optimization Criterion ◽  
Investment Model ◽  
Insurance Companies ◽  
Investment Portfolio ◽  
Market Competitiveness ◽  
Optimal Investment Strategy ◽  
Risk Investment

The reinsurance and investment portfolio of insurance companies has always been a hot issue in insurance business. In insurance practice, it is inevitable for insurance companies to invest their own funds in order to expand their capital scale and enhance market competitiveness so as to obtain greater returns. At the same time, in order for insurance companies to disperse insurance risks and to avoid too concentrated claims or catastrophes caused by failure to perform compensation responsibilities, the purchase of reinsurance business has also become an important way. Stochastic control theory is widely used in reinsurance and investment issues. Based on the reinsurance system architecture, this paper establishes a reinsurance delay risk investment model, which reduces the amount of claims to be borne by buying proportional reinsurance to avoid bankruptcy caused by the excessive amount of claims. By using the delayed venture capital model to describe the earnings of insurance companies, the optimal investment and reinsurance strategy are solved under the optimization criterion of minimizing the probability of bankruptcy. By analyzing the model parameter data, the influence of each parameter on optimal investment strategy and optimal reinsurance strategy is discussed.

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