Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs

2013 ◽  
Vol 51 (2) ◽  
pp. 996-1034 ◽  
Author(s):  
Arne Løkka ◽  
Mihail Zervos
Keyword(s):  
Adjustment Costs ◽  
Optimal Investment ◽  
Investment Strategies

Commodity Exchange-Traded Funds

2018 ◽  
Author(s):  
Christopher Milliken
Keyword(s):  
Portfolio Diversification ◽  
Futures Contracts ◽  
Spot Price ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Regulatory Structure ◽  
Commodity Exchange ◽  
Asset Class ◽  
Exchange Traded Fund

Commodity exchange-traded funds (ETCs), which debuted in 2004, enable investors to access an asset class previously difficult or expensive to access. Although a small segment of the overall exchange-traded fund (ETF) universe, ETCs have grown in popularity with both speculators and investors looking for long-term portfolio diversification. Examples of the types of commodities that are now accessible through ETCs include gold, oil, and agricultural. The literature on ETCs is limited, but academic and industry work has centered on using futures contracts to replicate the performance of the underlying commodities spot price as well as the effect additional capital has had on the integrity of the futures market. This chapter covers this topic by reviewing the growth, investment strategies, and regulatory structure of ETCs as well as the underlying effects these funds have had on the underlying markets with which they engage.

Optimal investment strategies for light duty vehicle and electricity generation sectors in a carbon constrained world

2016 ◽  
Vol 255 (1-2) ◽  
pp. 391-420 ◽  
Author(s):  
Boxiao Chen ◽  
Erica Klampfl ◽  
Margaret Strumolo ◽  
Yan Fu ◽  
Xiuli Chao ◽  
...  
Keyword(s):  
Electricity Generation ◽  
Optimal Investment ◽  
Investment Strategies ◽  
Light Duty ◽  
Light Duty Vehicle

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

Optimal Fisheries Investment under Uncertainty

1983 ◽  
Vol 40 (12) ◽  
pp. 2080-2091 ◽  
Author(s):  
Anthony T. Charles
Keyword(s):  
Optimal Investment ◽  
Fish Stock ◽  
Investment Strategies ◽  
Economic Optimization ◽  
Stock Management ◽  
Investment Under Uncertainty ◽  
Capital Costs ◽  
Wide Range ◽  
Full Analysis ◽  
Fishing Fleets

A full analysis of optimal fisheries investment strategies must take into account high levels of uncertainty in future fishery returns, as well as irreversibility of investment in specialized, nonmalleable fishing fleets. A stochastic optimization model is analyzed using dynamic programming to determine optimal policy functions for both fleet investment and fish stock management within an uncertain environment. The resulting policies are qualitatively similar to those found in the corresponding deterministic case, but quantitative differences can be substantial. Simulation results show that optimal fleet capacity should be expected to fluctuate over a fairly wide range, induced by stochastic variations in the biomass. However, the performance of a linear-cost risk-neutral fishery is fairly insensitive to variations in investment and escapement policies around their optimum levels, so that economic optimization is "forgiving" within this context. A framework of balancing upside and downside investment risks is used here to explain the roles of several fishery parameters in relation to optimal investment under uncertainty. In particular, the intrinsic growth rate of the resource and the ratio of unit capital costs to unit operating costs are found to be key parameters in determining whether investment should be higher or lower under uncertainty.

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

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies

2021 ◽  
Vol 12 (2) ◽  
pp. 566-603
Author(s):  
Pieter M. van Staden ◽  
Duy-Minh Dang ◽  
Peter A. Forsyth
Keyword(s):  
Optimal Investment ◽  
Investment Strategies ◽  
Terminal Wealth ◽  
Mean Variance
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