A note on the optimal investment policy of the regulated firm

1976 ◽  
Vol 4 (3) ◽  
pp. 51-55 ◽  
Author(s):  
David W. Peterson ◽  
James H. Vander Weide
Keyword(s):  
Optimal Investment ◽  
Investment Policy ◽  
Regulated Firm

Determining the Optimal Investment Policy for the Tourism Sector of a Developing Country

1973 ◽  
Vol 20 (4-part-i) ◽  
pp. 487-497 ◽  
Author(s):  
Charles E. Gearing ◽  
William W. Swart ◽  
Turgut Var
Keyword(s):  
Developing Country ◽  
Optimal Investment ◽  
Investment Policy ◽  
Tourism Sector

Optimal investment policy of an insurance firm

1983 ◽  
Vol 2 (2) ◽  
pp. 103-112 ◽  
Author(s):  
Charles S. Tapiero ◽  
Dror Zuckerman
Keyword(s):  
Optimal Investment ◽  
Investment Policy

PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS

2014 ◽  
Vol 45 (1) ◽  
pp. 207-238 ◽  
Author(s):  
Ming Zhou ◽  
Kam C. Yuen
Keyword(s):  
Portfolio Selection ◽  
Risk Model ◽  
Numerical Study ◽  
Optimal Investment ◽  
Investment Policy ◽  
Model Parameters ◽  
Capital Injection ◽  
Surplus Process ◽  
Insurance Portfolio ◽  
Special Cases

AbstractThis paper considers the portfolio selection and capital injection problem for a diffusion risk model within the classical Black–Scholes financial market. It is assumed that the original surplus process of an insurance portfolio is described by a drifted Brownian motion, and that the surplus can be invested in a risky asset and a risk-free asset. When the surplus hits zero, the company can inject capital to keep the surplus positive. In addition, it is assumed that both fixed and proportional costs are incurred upon each capital injection. Our objective is to minimize the expected value of the discounted capital injection costs by controlling the investment policy and the capital injection policy. We first prove the continuity of the value function and a verification theorem for the corresponding Hamilton–Jacobi–Bellman (HJB) equation. We then show that the optimal investment policy is a solution to a terminal value problem of an ordinary differential equation. In particular, explicit solutions are derived in some special cases and a series solution is obtained for the general case. Also, we propose a numerical method to solve the optimal investment and capital injection policies. Finally, a numerical study is carried out to illustrate the effect of the model parameters on the optimal policies.

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