Separation, Decomposition, and Diversification in the Single-Period Portfolio Problem

1973 ◽  
Vol 28 (5) ◽  
pp. 1373
Author(s):  
Stephen A. Buser
Keyword(s):  
Single Period ◽  
Portfolio Problem

A Single Period Stochastic Model for Maximising Firms Value

GIS Business ◽  
2016 ◽  
Vol 11 (6) ◽  
pp. 39-45
Author(s):  
J. P. Singh
Keyword(s):  
Capital Market ◽  
Firm Value ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Value Maximization ◽  
Risk Return ◽  
Bankruptcy Costs ◽  
Single Period ◽  
Debt Capacity

This article sets up a single period value maximization model for the firm based on stochastic end-of-period cash inflows, stochastic bankruptcy costs and taxes based on income rather than wealth. The risk-return trade-off is captured in the Capital Asset Pricing Model. Thus, the model also assumes a perfect capital market and market equilibrium. The model establishes the existence of a unique optimal financial leverage at which the firm value is maximized, this leverage being less than the maximum debt capacity of the firm.

Single-Period InAs–GaAs Quantum-Dot Infrared Photodetectors

2008 ◽  
Vol 20 (18) ◽  
pp. 1575-1577
Author(s):  
Shu-Ting Chou ◽  
Shih-Yen Lin ◽  
Chi-Che Tseng ◽  
Yi-Hao Chen ◽  
Cheng-Nan Chen ◽  
...  
Keyword(s):  
Quantum Dot ◽  
Infrared Photodetectors ◽  
Single Period ◽  
Quantum Dot Infrared Photodetectors ◽  
Gaas Quantum Dot

Representing Social Construction in Consumer Activities: Single-Period and Multi-Period Activity Production

1994 ◽  
Vol 5 (3) ◽  
pp. 139-156
Author(s):  
Steven D. Silver
Keyword(s):  
Social Construction ◽  
Evolutionary Process ◽  
Decision Makers ◽  
Maximization Problem ◽  
Activity Levels ◽  
Short Term ◽  
Subsequent Period ◽  
Single Period ◽  
The Social ◽  
Endogenous Variables

Consumers are seen as limited decision makers who set short-term activity levels from their budgets, stocks of experience, and values following a preference-maximizing heuristic. Disturbances to activity levels in their evolution by exogeneties of social and economic environments, and the feedback of activity levels which agents have no systematic ability to anticipate, reset stock and value levels through the interactive relationships among endogenous variables. Agents then solve the maximization problem for a subsequent period using stock and value levels as modified by the evolutionary process. The dependence of a single-period decision on the stock and value constructs is examined and forms for the dynamic evolution of stock and value constructs that represent the feedback of activity levels to stock and value levels are also introduced. Implications of these forms for the social construction of activities are discussed.

scholarly journals Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading

2018 ◽  
Vol 35 (1-2) ◽  
pp. 1-21
Author(s):  
Imke Redeker ◽  
Ralf Wunderlich
Keyword(s):  
Discrete Time ◽  
Risk Measure ◽  
Time Discretization ◽  
Optimal Investment ◽  
Portfolio Performance ◽  
Dynamic Risk ◽  
Portfolio Problem ◽  
Risk Constraint ◽  
Infrequent Trading ◽  
Dynamic Programming Equations

AbstractWe consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial markets we investigate the loss in expected utility of intermediate consumption and terminal wealth caused by imposing a dynamic risk constraint. We derive the dynamic programming equations for the resulting stochastic optimal control problems and solve them numerically. Our numerical results indicate that the loss of portfolio performance is not too large while the risk is notably reduced. We then investigate time discretization effects and find that the loss of portfolio performance resulting from imposing a risk constraint is typically bigger than the loss resulting from infrequent trading.

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