As a necessary requirement for multi-period risk measure, time consistency can be examined from two aspects: dynamic riskmeasure andoptimal investment policy. In this paper,we first study the relationship between the time consistency of dynamic risk measure and the time consistency of optimal investment policy and obtain the following conclusions: if the dynamic riskmapping is time consistent a...

We present a theory of the dynamics of a firm’s investment in the presence of imperfect capital markets and optimal long-term contracts. The class of imperfections that we consider involves the incentive problems that accompany external financing. The analysis is sufficiently general to encompass a range of such incentive problems. We derive a number of results regarding firms’ investment decis...

We consider the problem of optimal investment in a risky asset, and in derivatives written on the price process of this asset, when the underlying asset price process is a pure jump Lévy process. The duality approach of Karatzas and Shreve is used to derive the optimal consumption and investment plans. In our economy, the optimal derivative payoff can be constructed from dynamic trading in the ...

We consider investments in development projects within competitive environments where the ‘‘winner takes everything’’. Under stationary uncertainty, it is optimal to start investing immediately at full capacity and continue until exhausting the allocated budget. For non-stationary environments, active investment, possibly deferred, will always be at full capacity; an example demonstrates that f...

The government organizations grant incentives to promote green product consumption, improve green product quality, boost remanufacturing activities, etc. through various policies. The objective of this study is to highlight pros and cons of two incentive policies, namely (1) incentive on manufacturer’s R&D investment and (2) direct incentive to consumer based on greening level of the product on...

Utilization of energy storage system (ESS) in microgrids has turned to be necessary in recent years and now with the improvement of storage technologies, system operators are looking for an exact modeling and calculation for optimal sizing of ESS. In the proposed paper, optimal size of ESS is determined in a microgrid considering demand response program (DRP) and reliability criterion. Both lar...

one of known methods for measuring, forecasting and managing risk is value at risk, which recently has been used by financial institutions extensively. value at risk (var) is a method for recognizing and evaluating risk and uses standard statistical techniques that have daily using in other contexts. this research is seeking a career for managing investment risk in stock exchange and selection ...

A competitive firm which chooses the timing of investment and optimal volume of debt is considered. The price of the firm’s output follows the geometric Brownian motion or more general jump-diffusion processes, and the firm takes an arbitrage free borrowing rate as given. The optimal timing of investment and volume of debt is computed, and it is shown that if the borrowing rate is close to the ...