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Showing 1 to 8 of 8 for “"Optimal investment strategy"”.
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Estimating the cost of deposit insurance for a commercial bank following an optimal investment strategy
Commercial banks play a dominant role in facilitating the economic growth of a country by acting as an intermediary between the de cit spending unit (borrowers) and the surplus spending unit (lenders). In particular, they transform short-term deposits into medium and long-term loans. Due to their …
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Essay 1. Equity Style Identification. Essay 2. Equity Fund Performance Evaluation: The Importance of Fund Style. Essay 3. A Dynamic Model of Mutual Fund Managers' Investment Strategies
… presents a continuous time model to describe the optimal investment strategy of money managers. A manager seeks the optimal skill level that has the best trade-off between the portfolio's expected return and its volatility of tracking error. When the time is close to the end of the assessment …
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Discrete and continuous time methods of optimization in pension fund management
… daunting task of selecting the most appropriate investment strat-egy as to maximize the returns from the financial assets. Due to the volatile nature of stock markets, some pension companies have attached minimum guarantees to pension contracts. These guarantees come at a price, but ensure that …
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Measuring the capacity of a port system : a case study on a Southeast Asian port
As economies develop and trade routes change, investment in port infrastructure is essential to maintain the necessary capacity for an efficiently functioning port system and to meet expected demand for all types of cargo. However, these largescale, expensive investments in long-term infrastructure …
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Mathematical models for optimal management of bank capital, reserves and liquidity
… propose continuous-time mathematical models for optimal management of bank capital, reserves and liquidity. This aim emanates from the global financial crisis of 2007 − 2009. In this regard and as a first task, our objective is to determine an optimal investment strategy for a commercial bank …
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A model of pension portfolios with salary and surplus process
… Blake, D., Dowd, K., Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans, Journal of Economic Dynamics and Control, Volume 30, Issue 2006, Pages 843-877, with added details and background material in order to demonstrate the mathematical methods. In …
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Analysis of the Benefits of Resource Flexibility, Considering Different Flexibility Structures
… to understand the impact of the firm's pricing strategy on its resource investment decision, considering a partially flexible resource. Secondly, we study the benefits of a flexible resource strategic approach, considering a resource flexibility structure that has not been studied in the …
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Some optimal control problems in financial and actuarial mathematics
… variable annuities, pension management, and the optimal insurance strategies for policyholders of a mutual insurance company (MIC). In the last chapter, we present an optimal stopping problem which concerns with finding the optimal time to sell or purchase a risky asset in the financial market. …