Mathematical Model of Financial Investment Risk

Mathematical Model of Financial Investment Risk

This paper establishes the income and risk model in financial investment based on multi-objective programming theory, aiming to analyze the relationship between risk and return in financial investment and discuss the relationship between the risk the investor shall bear and decentralization degree of investment project. MATLAB software is used to analyze the investor’s optimized return under fi...

A mathematical model for the multi-mode resource investment problem

This paper presents an exact model for the resource investment problem with generalized precedence relations in which the minimum or maximum time lags between a pair of activities may vary depending on the chosen modes. All resources considered are renewable. The objective is to determine a mode and a start time for each activity so that all constraints are obeyed and the resource investment co...

Mathematical model and optimization in production investment

Risk Management and ABS investment of Financial Institutions

In this study we investigate the function of risk management in financial institutions‟ investment decisions in asset-backed securities (ABS) prior to the 2008 financial crisis, and the interaction of this function with financial regulations. We employ U.S. insurance companies as a laboratory, which provides detailed security-level information on ABS investment. We find that strong risk managem...

Investment, Liquidity Risk, and the Transparency of Financial Intermediaries (Preliminary)

In this paper, we study the implications for business activity of a lack of balance sheet transparency in intermediaries. To do so, we adopt a model of intermediated entrepreneurial investment in which the assets held by intermediaries can be monitored only imperfectly. In our model, these assets matter, because intermediaries insure Þrms against the possibility of a liquidity shock. We show th...