Displaying similar documents to “An explicit solution for optimal investment problems with autoregressive prices and exponential utility”

Optimal stopping of a 2-vector risk process

Krzysztof Szajowski (2010)

Banach Center Publications

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The following problem in risk theory is considered. An insurance company, endowed with an initial capital a > 0, receives insurance premiums and pays out successive claims from two kind of risks. The losses occur according to a marked point process. At any time the company may broaden or narrow down the offer, which entails the change of the parameters of the underlying risk process. These changes concern the rate of income, the intensity of the renewal process and the distribution...

Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Łukasz Stettner (2005)

Applicationes Mathematicae

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Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk...

Decision-making of portfolio investment with linear plus double exponential utility function

Qingjian Zhou, Jia Jiao, Datian Niu, Deli Yang (2013)

RAIRO - Operations Research - Recherche Opérationnelle

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This paper broadens the exponential utility function commonly used by risk-averse investors to the linear plus double exponential utility function, which is applicable in most cases. Thus it is of essential and supreme significance to conduct a research on its optimal investment portfolio in securities investment. This paper, by means of the non-difference curve method, carries out a research into the optimal portfolio decision-making by investors who have this type of utility function....

A DEA model for two-stage parallel-series production processes

Alireza Amirteimoori, Feng Yang (2014)

RAIRO - Operations Research - Recherche Opérationnelle

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Data envelopment analysis (DEA) has been widely used to measure the performance of the operational units that convert multiple inputs into multiple outputs. In many real world scenarios, there are systems that have a two-stage network process with shared inputs used in both stages of productions. In this paper, the problem of evaluating the efficiency of a set of specialized and interdependent components that make up a large DMU is considered. In these processes the first stage consists...

Risk minimizing strategies for a portfolio of interest-rate securities

Andrzej Palczewski (2008)

Banach Center Publications

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The paper presents an application of stochastic control methods to fixed income management in an incomplete market with external economic factors. The objective of an investor is the minimization of a shortfall risk. The problem is reduced to the multidimensional Bellman equation. It is shown that for a large class of loss functions the equation possesses a continuous solution. We also consider loss functions from the HARA class and prove that for such functions the Hamilton-Jacobi-Bellman...

Growth-optimal portfolios under transaction costs

Jan Palczewski, Łukasz Stettner (2008)

Applicationes Mathematicae

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This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depends on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that there exists a self-financing trading strategy maximizing the average growth rate of the portfolio wealth. We show that this strategy has a Markovian form. Our result...

Exponential martingales and CIR model

Wojciech Szatzschneider (2008)

Banach Center Publications

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With the use of exponential martingales and the Girsanov theorem we show how to calculate bond prices in a large variety of square root processes. We clarify and correct several errors that abound in financial literature concerning these processes. The most important topics are linear risk premia, the Longstaff double square model, and calculations concerning correlated CIR processes.

Explicit formulae of distributions and densities of characteristics of a dynamic advertising and pricing model

Kurt L. Helmes, Torsten Templin (2015)

Banach Center Publications

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We analyze the optimal sales process of a stochastic advertising and pricing model with constant demand elasticities. We derive explicit formulae of the densities of the (optimal) sales times and (optimal) prices when a fixed finite number of units of a product are to be sold during a finite sales period or an infinite one. Furthermore, for any time t the exact distribution of the inventory, i.e. the number of unsold items, at t is determined and will be expressed in terms of elementary...