material to ” Portfolio management in a stochastic factor model under the existence of private information ”
نویسندگان
چکیده
This supplementary material is intended to supplement the paper and contains references to parts of it. It is divided into two sections. In Section A, we solve the proposed model for other utility functions, namely when the manager operates under logarithmic and power preferences. In Section B, we provide an extension of the proposed model in the case of multiple risky assets and multiple stochastic factors.
منابع مشابه
A Defined Benefit Pension Fund ALM Model through Multistage Stochastic Programming
We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors: due to the longevity of the PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...
متن کاملUsing Genetic Algorithm in Solving Stochastic Programming for Multi-Objective Portfolio Selection in Tehran Stock Exchange
Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...
متن کاملConsidering a Model for Sustainable Energy Planning Under Uncertainty
In this paper, real options theory is utilized to evaluate the effect of uncertain electricity and CO2 costs on speculation conduct. Methodologically, the allegiance of the newspaper in this appreciation is that uncertainty is not just stopped down as far as stochastic processes and their fluctuation, additionally as far as expected and acknowledged procedures, i.e. the procedures, w...
متن کاملA New Efficient Metaheuristic Model for Stock Portfolio Management and its Performance Evaluation by Risk-adjusted Methods
In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...
متن کاملA stochastic model for project selection and scheduling problem
Resource limitation in zero time may cause to some profitable projects not to be selected in project selection problem, thus simultaneous project portfolio selection and scheduling problem has received significant attention. In this study, budget, investment costs and earnings are considered to be stochastic. The objectives are maximizing net present values of selected projects and minimizing v...
متن کامل