scholarly journals A Modified Markowitz Multi-Period Dynamic Portfolio Selection Model Based on the LDIW-PSO

2015 ◽  
Vol 8 (1) ◽  
pp. 90 ◽  
Author(s):  
Shuai Shao ◽  
Li-qun Yang ◽  
Yuan-biao Zhang ◽  
Zhi-hui Meng
Keyword(s):  
Financial Market ◽  
Optimal Investment ◽  
Capital Allocation ◽  
Sharpe Ratio ◽  
Estimation Errors ◽  
Portfolio Returns ◽  
Real Risk ◽  
Study Results ◽  
Capital Allocation Efficiency ◽  
Dynamic Portfolio

<p>Modern financial market is an extremely complicated nonlinear system, while gaming and speculation in the market makes the returns and risks of financial assets a great deal of uncertainty. How to construct an effective portfolio, realize the maximization of portfolio returns and the minimization of risks, and optimize the investment capital allocation efficiency are becoming increasingly a hot topic. This paper discusses a revised Markowitz Multi-period Dynamic portfolio mode by introducing LDIW-PSO in the process of solving the optimal investment weight. The LDIW-PSO has greatly improved the efficiency of searching the optimal weight of the portfolio. In addition, this paper introduces exponential-revised Sharpe ratio (Ex-Sharpe) as the objective function and adopts the optimal variance bound to reflect the real risk preferences of the investors in the financial markets better and modify covariance estimation errors of Mean-Variance model. The empirical study results show that the LDIW-PSO is very suitable for solving the dynamic portfolio model, and the exponential-revised Sharpe ratio can reflect financial market investment situation accurately and avoid covariance errors effectively.</p>

Optimal Investment Rule in an Inefficient Financial Market

2005 ◽  
Author(s):  
Yaping Wang ◽  
Yunhong Yang ◽  
Chunsheng Zhou
Keyword(s):  
Financial Market ◽  
Optimal Investment

Impact of capital enrichment on resource allocation efficiency in China’s manufacturing industry

2021 ◽  
pp. 1-17
Author(s):  
Lina Ma ◽  
Fengju Xu ◽  
Lihua Wang ◽  
Akther Taslima
Keyword(s):  
Resource Allocation ◽  
Manufacturing Industry ◽  
Evaluation Model ◽  
Development Trend ◽  
Inhibitory Effect ◽  
Capital Allocation ◽  
Curvilinear Relationship ◽  
Allocation Efficiency ◽  
Capital Allocation Efficiency ◽  
Resource Allocation Efficiency

Capital enrichment (CE) results from capital flows, which reflect the capital distribution among different regions and industries. This paper constructs the evaluation model of resource allocation efficiency from the perspective of capital and innovation resources. It expounds on CE’s theoretical mechanism by using the panel data from 2011 to 2018 for system GMM estimation. It finds that the manufacturing capital allocation efficiency (CAE) and innovation resource allocation efficiency (IRAE) show a volatile development trend. Both static and dynamic panel models show that there is a significant U-shaped curvilinear relationship between CE and CAE, CE and IRAE. CE’s inhibitory effect on CAE and IRAE decreases with the improvement of CE until it exceeds the critical value of 8.27 and 8.93. After that, its impact on CAE and IRAE changes from negative to positive.

scholarly journals Optimal Investment and Consumption for Multidimensional Spread Financial Markets with Logarithmic Utility

Stats ◽  
2021 ◽  
Vol 4 (4) ◽  
pp. 1012-1026
Author(s):  
Sahar Albosaily ◽  
Serguei Pergamenchtchikov
Keyword(s):  
Financial Markets ◽  
Numerical Simulations ◽  
Financial Market ◽  
Optimal Investment ◽  
Optimal Consumption ◽  
Dynamical Programming ◽  
Verification Theorem ◽  
Logarithmic Utility ◽  
Hamilton Jacobi Bellman ◽  
Optimal Investment And Consumption

We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method. We show a special verification theorem for this case. We find the solution to the Hamilton–Jacobi–Bellman (HJB) equation in explicit form and as a consequence we construct optimal financial strategies. Moreover, we study the constructed strategies with numerical simulations.

scholarly journals Financing Efficiency Evaluation and Influencing Factors of Hydrogen Energy Listed Enterprises in China

Energies ◽  
2022 ◽  
Vol 15 (1) ◽  
pp. 281
Author(s):  
Yuanying Chi ◽  
Meng Xiao ◽  
Yuexia Pang ◽  
Menghan Yang ◽  
Yuhao Zheng
Keyword(s):  
External Environment ◽  
Malmquist Index ◽  
Capital Allocation ◽  
Utilization Efficiency ◽  
Hydrogen Energy ◽  
External Financing ◽  
Carbon Neutrality ◽  
Financing Cost ◽  
Capital Allocation Efficiency ◽  
Management Characteristic

Existing studies of financing efficiency concentrate on capital structure and a single external environment or internal management characteristic. Few of the studies include the internal and external financing environments at the same time for hydrogen energy industry financing efficiency. This paper used the data envelopment analysis (DEA) model and the Malmquist index to measure the financing efficiency of 70 hydrogen energy listed enterprises in China from 2014 to 2020 from both static and dynamic perspectives. Then, a tobit model was constructed to explore the influence of external environment and internal factors on the financing efficiency. The contributions of this paper are studying the internal and external financing environments, and integrating financing cost efficiency and capital allocation efficiency into the financing efficiency of hydrogen energy enterprises. The results show that, firstly, the financing efficiency of China’s hydrogen energy listed enterprises showed an upward trend during the years 2014–2020. Secondly, China’s hydrogen energy enterprises mainly gather in the eastern coastal areas, and their financing efficiency is more than that in western areas. Thirdly, the regional economic development level, enterprise scale, financing structure, capital utilization efficiency and profitability have significant effects on the financing efficiency. These results can promote the achievement of “carbon neutrality” in China.

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