نتایج جستجو برای: optimal investment
تعداد نتایج: 431012 فیلتر نتایج به سال:
This paper considers a utility maximization and optimal asset allocation problem in the presence of stochastic endowment that cannot be fully hedged through trading financial market. We rely on dynamic programming approach to solve optimization problem. The properties value function, particularly homogeneity, are used reduce HJB equation by one dimension. Furthermore, strategy is derived, its a...
The paper concerns the study of equilibrium points, or steady states, economic systems arising in modeling optimal investment with vintage capital, namely, where all key variables (capitals, investments, prices) are indexed not only by time but also age. Capital accumulation is hence described as a partial differential equation (briefly, PDE), and points fact distributions variable ages. A gene...
This paper examines the effects of costly external financing on the optimal timing of a firm’s investment. By altering the optimal investment timing, costly financing affects current investment and the sensitivity of investment to internal cash flow. Importantly, the relation between the cost of external funds and investment-cash flow sensitivity is non-monotonic. Investment-cash flow sensitivi...
In this paper, we consider a newsvendor who is going to invest on dedicated or flexible capacity, our goal is to find the optimal investment policy to maximize total profit while the newsvendor faces uncertainty in lead time and demand simultaneously. As highlighted in literature, demand is stochastic, while lead time is constant. However, in reality lead time uncertainty decreases newsvendor's...
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