Long-Term Optimal Investment with a Generalized Drawdown Constraint

2013 ◽  
Vol 4 (1) ◽  
pp. 452-473 ◽  
Author(s):  
Jun Sekine
Keyword(s):  
Optimal Investment ◽  
Drawdown Constraint

ON THE CONSUMPTION/DISTRIBUTION THEOREM UNDER THE LONG-RUN GROWTH CRITERION SUBJECT TO A DRAWDOWN CONSTRAINT

2010 ◽  
Vol 13 (06) ◽  
pp. 931-957 ◽  
Author(s):  
MICHAEL J. KLASS ◽  
KRZYSZTOF NOWICKI
Keyword(s):  
Growth Rate ◽  
Short Term ◽  
Long Run ◽  
Time Period ◽  
Total Capital ◽  
Growth Criterion ◽  
Drawdown Constraint ◽  
Riskless Asset ◽  
Distribution Theorem

Consider any discrete time sequence of investment fortunes Fn which has a finite long-run growth rate [Formula: see text] when subject to the present value capital drawdown constraint Fne-rn ≥ λ* max 0≤k≤nFke-rk, where 0 ≤ λ* < 1, in the presence of a riskless asset affording a return of er dollars per time period per dollar invested. We show that money can be withdrawn for consumption from the invested capital without either reducing the long-run growth rate of such capital or violating the drawdown constraint for our capital sequence, while simultaneously increasing the amount of capital withdrawn for consumption at the identical long-term rate of V(r, λ*). We extend this result to an exponentially increasing number of consumption categories and discuss how additional yearly contributions can temporarily augment the total capital under management. In addition, we assess the short-term practicality of creating such an endowment/consumption/distribution program.

Relationship-Specificity, Contract Enforceability, and Income Smoothing

2013 ◽  
Vol 88 (5) ◽  
pp. 1629-1656 ◽  
Author(s):  
Yiwei Dou ◽  
Ole-Kristian Hope ◽  
Wayne B. Thomas
Keyword(s):  
Incomplete Contracts ◽  
Optimal Investment ◽  
Income Smoothing ◽  
Additional Risk ◽  
Specific Investment ◽  
Specific Investments ◽  
Contractual Obligations ◽  
The Cost ◽  
The Relationship

ABSTRACT: Contracting parties, such as the firm and its supplier, have cost-reducing incentives to make investments that support the unique transactions between them. However, to the extent that one party may renege on its contractual obligations, the other party incurring the cost of the relationship-specific investment bears additional risk and is less willing to invest such that sub-optimal investment occurs. In countries where enforceability of explicit contracts is particularly weak, parties have incentives to signal their willingness to fulfill implicit claims and maintain long-term relationships. We predict that firms engage in income smoothing to send such a signal to their suppliers. Consistent with these expectations, we find that firms that both reside in countries with weak contract enforceability and operate in industries with a greater need for relationship-specific investments tend to smooth reported income more. We further decompose income smoothing into “informational” and “garbled” components and find that results are driven by the informational component of income smoothing. Our results support the important role that accruals play in providing information in the presence of incomplete contracts. JEL Classifications: F14, K12, L14, M41, M43

The Portfolio Choice on Long Term Investors and The Factor Analysis of ESG Optimal Investment

2021 ◽  
Vol 34 (8) ◽  
pp. 1491-1504
Author(s):  
Sangkyun Hyun ◽  
Jeongseok Lee ◽  
Joon-hee Rhee
Keyword(s):  
Factor Analysis ◽  
Portfolio Choice ◽  
Optimal Investment

Sangkyun Hyun(Soongsil University) Jeongseok Lee(Soongsil University) Joon-hee Rhee(Soongsil

scholarly journals Observed heterospecific clutch size can affect offspring investment decisions

2011 ◽  
Vol 8 (3) ◽  
pp. 341-343 ◽  
Author(s):  
Jukka T. Forsman ◽  
Janne-Tuomas Seppänen ◽  
Inka L. Nykänen
Keyword(s):  
Clutch Size ◽  
Bird Species ◽  
Investment Decisions ◽  
Optimal Investment ◽  
Migratory Bird ◽  
Lifetime Reproductive Success ◽  
Egg Mass ◽  
Artificial Nests ◽  
Fine Tune

Optimal investment in offspring is important in maximizing lifetime reproductive success. Yet, very little is known how animals gather and integrate information about environmental factors to fine tune investment. Observing the decisions and success of other individuals, particularly when those individuals initiate breeding earlier, may provide a way for animals to quickly arrive at better breeding investment decisions. Here we show, with a field experiment using artificial nests appearing similar to resident tit nests with completed clutches, that a migratory bird can use the observed high and low clutch size of a resident competing bird species to increase and decrease clutch size and egg mass, accordingly. Our results demonstrate that songbirds can discriminate between high and low quantity of heterospecific eggs, and that social information can have long-term physiological consequences affecting reproductive strategies. Such behaviour may help animals to better adapt to changing environments and lead to convergent traits with competitors.

scholarly journals Optimal Investment Strategy for Risky Assets

1998 ◽  
Vol 01 (03) ◽  
pp. 377-387 ◽  
Author(s):  
Sergei Maslov ◽  
Yi-Cheng Zhang
Keyword(s):  
Growth Rate ◽  
Brownian Motion ◽  
Continuous Time ◽  
Optimal Strategy ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Risky Assets ◽  
Average Return ◽  
Optimal Investment Strategy

We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and volatility of an asset are relevant indicators determining its optimal weight. Our results are particularly relevant for very risky assets when traditional continuous-time Gaussian portfolio theories are no longer applicable.

Minimizing the Risk of Shortfall in Cash Flow for Long-Term Service Agreements Provision

2013 ◽  
Vol 5 (4) ◽  
pp. 72-92
Author(s):  
Aparna Gupta ◽  
Chaipat Lawsirirat
Keyword(s):  
Cash Flow ◽  
Operations Management ◽  
Gas Turbines ◽  
Management Strategies ◽  
Optimal Investment ◽  
Financial Risks ◽  
Hedging Strategies ◽  
Optimal Maintenance ◽  
Basic Infrastructure

Long-term service agreements (LTSAs) for the maintenance of capital-intensive equipments like gas turbines, medical equipments, aircraft and locomotive engines, are gaining popularity. A typical LTSA contract, spanning 5-20 years, makes a provider responsible for fully maintaining the equipments. Effective management of LTSAs, using reliability assessment and maintenance strategy, is important since these equipments are vital to basic infrastructure and the economy of a country. Even if a provider utilizes optimal maintenance and operations management strategies, residual financial risks of cash flow shortfalls remain. In this article, a framework for LTSAs risk management is developed to construct hedging strategies that minimize cash flow shortfall risk, while maximizing profit through the life of a contract. Optimal investment decisions for a set of securities are determined to construct the hedging strategies. Using the framework, a combined risk-return objective of the provider is significantly improved by the optimal hedging strategy.

scholarly journals Economic and mathematical models of development of the railway tourism

2019 ◽  
Vol 67 ◽  
pp. 06044
Author(s):  
Oleksandr Pshinko ◽  
Larysa Martseniuk ◽  
Volodymyr Bobyl ◽  
Olena Kakhovska
Keyword(s):  
Mathematical Models ◽  
Optimal Investment ◽  
Transport Infrastructure ◽  
Optimal Planning ◽  
Infrastructure Projects ◽  
Railway Transport ◽  
Special Interests ◽  
Models Of Development

The authors used a complex of mathematical models meant for the optimal investment of the processes of creation and use of the railway transport infrastructure. The specific features of these models are as follows: long-term period of realization of the infrastructure projects, many participants with special interests, which do not always coincide, a lot of factors of uncertainty connected with the choice of quantities of the calculation parameters, etc. The authors created economic-mathematical models of the discrete optimal planning of the railway tourism operations. This takes into account conditions of risks and cooperation, and allows to determine sets of effective routes which are most profitable ones, provided they meet the established demands. The latter includes routes which meet maximum criteria of the net costs under the conditions of the established system of demands for the activity of the tourism operators.

Sign in / Sign up

Export Citation Format

Share Document