This paper applies dynamic programming principle and Legendre transform to study a dynamic asset allocation problem with liability process and stochastic interest rate model, where interest rate is assumed to be driven by the Ho-Lee model or the Vasicek model. By using variable change technique, we obtain the closed-form solutions to the optimal investment strategies in the quadratic utility fr...

We study the effect of dynamic and investment externalities in a one-sector growth model. In our model, two agents interact strategically in the utilization of capital for consumption, savings, and investment in technical progress. We consider two types of investment choices: complements and substitutes. For each case, we derive the equilibrium and provide the corresponding stationary distribut...

The current study focuses on the problem of determining investment attrаctiveness of countries by means of monitoring regional stock markets. The method of using the permutation entropy as a model of investment attractiveness estimation is suggested. We have calculated the permutation entropy for the time series of stock markets of countries for the period from 2005 to 2018. The countries with ...

We consider the problem of investment and consumption with a hidden Markov model and a regime switching structure. The Bayesian approach is followed to integrate econometric consideration and to make inference of the hidden Markov model. The optimal investment strategy is characterized by the method of stochastic dynamic programming and simulation results are given.

The abundant natural resources can bring either positive or negative impact to the country’s economy depending on the macroeconomic policies. Mongolia has massive mineral resource dominated by coal, copper, and gold. The Government of Mongolia has started to implement a number of infrastructure projects to decrease the mining project’s cost burden caused from the country’s weak infrastructure. ...

The Dynamic Positive Equilibrium Problem (DPEP) is a methodology for dealing with time series about economic agents’ decisions, regardless of the amount of available information. The approach is articulated in three phases, as in the static counterpart Symmetric Positive Equilibrium Problem (SPEP), with the variant that it must be preceded by the estimation of the equation of motion which chara...

We consider the problem of investment and consumption with a hidden Markov model and a regime switching structure. The Bayesian approach is followed to integrate econometric consideration and to make inference of the hidden Markov model. The optimal investment strategy is characterized by the method of stochastic dynamic programming and simulation results are given.

In the recent years, renewable energy sources are an important component of world energy consumption. GDP is one of the main measures of a country’s economic activity. Most of the studies examine the impact of renewable energy consumption on GDP with single equation model and the others use dynamic panel data. Since the Granger causality analysis’s findings of this paper establish bidirectional...

This article covers a set of models and methods portfolio investment which help adapt modern economic mathematical instruments to the current financial market situation. The main hypotheses serve as basis for adaptive dynamic portfolio. experimental analysis shows that strategy is more beneficial than classical approaches. advantage it based on forecast data, whereas strategies focus only histo...