Solves investment, consumption, and life insurance problem with capital constraints.
problem Optimal investment, consumption, and life insurance with capital constraints.
method Martingale approach to prove existence of optimal strategy and measure, explicit solutions for power utility functions.
result Explicit solutions for optimal investment, consumption, and life insurance strategies.
This study examines how risky investments affect insurance capital valuation.
problem Standard cost-of-capital assumptions do not account for risky investments.
method Analyzed effects of allowing buffer capital investments in risky assets.
result Decomposition of buffer capital contributions varies with riskiness.
ChatGPT scores corporate investment plans, predicting future spending and returns.
problem Measuring and predicting corporate investment plans.
method Created a firm-level ChatGPT investment score based on conference calls.
result The investment score predicts future capital expenditures and returns.
Big investments are fragile and prone to poor outcomes due to uncertainty.
problem The fragility of large capital investments leading to poor returns.
method Characterizing fragility as easily harmed by randomness and analyzing various sources of uncertainty.
result Big capital investments have a disproportionate exposure to uncertainties that can lead to negative returns.
Report examines Muskrat Falls Project's cost and schedule overruns.
problem Analyzing Muskrat Falls Project's cost and schedule overruns.
method Examines national and international context, causes, and recommendations.
result Provides insights into preventing cost and schedule overruns in hydroelectric dam projects.
Derives formula for present value of future consumer goods multiplier.
problem Evaluating the present value of future consumer goods investments.
method Derives a formula based on geometric sequence and investigates macroeconomic implications.
result The present value of the future consumer goods multiplier is close to one.
Paper uses time series transformers to predict investment success.
problem Optimizing investment sourcing in VC and GC.
method Transformer-based Multivariate Time Series Classifier (TMTSC).
result TMTSC improves decision making in VC and GC investments.
Study optimizes insurance investment to maximize utility across all capital levels.
problem Maximizing expected utility across all capital levels in an insurance company's investment strategy.
method Dynamic Programming Principle and Hamilton-Jacobi-Bellman (HJB) equation to prove existence of optimal strategy.
result Existence of optimal investment strategy proven under certain conditions.
Generalizes optimal portfolio theory to include capital gains taxes.
problem Investment optimization in markets with capital gains taxes.
method Mathematical analysis of a specific market model with realistic tax rules.
result Closedness of attainable terminal wealth set under no unbounded non-substitutable investment condition.
Investment behavior in wine industry influenced by profitability and capitalization.
problem Exploring investment dynamics in wine industry from EU largest producers.
method Firm-level data from France, Italy, and Spain (2007-2014). Difference-and system-GMM estimators used.
result Profitability positively impacts investment dynamics, while capitalization negatively impacts only in France and Spain.
China's QFII and RQFII programs expand foreign investment in Chinese markets.
problem Foreign investment restrictions in China's capital markets.
method Comparative analysis of globalization processes in Taiwan, Korea, and India.
result China's market openness increases as foreign demand grows.
I studied what role the US stock markets and money markets have possibly played in the Gross Private Domestic Investment (GPDI) of the United States from the year 1959 to the year 2001, Gross Private Domestic Investment refers to the total amount of investment spending by businesses and firms located within the borders…
Investment strategy depends on many factors for venture capital funds.
problem Finding the optimal portfolio size for venture capital funds.
method Analyzes various factors affecting fund returns and optimal portfolio size, starting with basic assumptions and increasing complexity.
result Investment strategy depends on many factors, not a one-size-fits-all formula.
Proposes a venture bank using equity default swaps to multiply VC capital.
problem Lack of public markets for venture investments and derivative instruments.
method Introduces equity default swaps and a clawback lien to create a new derivative instrument (EDCS).
result EDCS can multiply VC capital and provide full coverage, with a clawback feature to prevent failure incentives.
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
problem Decreasing capital guarantees in life insurance products.
method Dynamic investment-reinsurance optimization problem with simultaneous Value-at-Risk and no-short-selling constraints. Introduced guarantee-equivalent utility gain for comparison.
result Optimally managed reinsurance allows insurers to offer higher capital guarantees without reducing expected utility.
The paper addresses dynamic capital structure models with defaultable debt, proving existence and uniqueness.
problem Dynamic capital structure models with an investor break-even condition may not generate a contraction mapping.
method Provided an example and used a dual problem and change of measure to prove existence and uniqueness.
result A unique Markov-perfect equilibrium exists where firm decisions reflect state-dependent targets.
Research tackles investor confusion in ESG rankings, offering tailored strategies.
problem Widespread confusion among investors regarding ESG rankings.
method Developed ESG ensemble strategies, integrated ESG scores into RL model, proposed Double-Mean-Variance model, introduced ESG-adjusted CAPMs.
result Optimized portfolios that balance financial returns and ESG-focused outcomes.
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial public offering (IPO) market, the venture capitalist wants to maximize overall discou…
Mathematical model for focused investing reduces diversification risks.
problem Reduces diversification risks in focused investing portfolios.
method Generalized Kelly Criterion with constraints for optimal capital allocation.
result Software shows excessive diversification in real portfolios.
Optimal fund deployment strategy under uncertain deal arrivals.
problem Deciding when to invest in deals with uncertain future arrivals.
method Formulated as CTMDP, solved via ADP with QMC sampling.
result Developed interpretable acceptance policy outperforming baseline.
Simple, non-optimized portfolios beat capitalization-weighted indexes due to excess growth, not individual stock growth.
problem Simple investment strategies outperform capitalization-weighted indexes over long periods.
method Decomposed portfolio log-returns into average and excess growth components, using rank-based empirical study.
result Excess growth component, not individual stock growth, explains outperformance of naive portfolios.
Collectivized funds need less initial capital to match individual funds, improving pension adequacy.
problem Determining optimal fund management for diverse investor needs.
method Modeling collectivized investment funds with realistic parameters and demonstrating their superiority over individual funds.
result Collectivized funds require less initial capital to match individual funds, enhancing pension adequacy.
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
Scaling relations, such as the IPAT equation and the Kaya identity, are useful for quickly gauging the scale of economic, technological, and demographic changes required to reduce environmental impacts and pressures; in the case of the Kaya identity, the environmental pressure is greenhouse gas emissions. However, when…
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global financial crisis. In particular, we factorize portfolios in the South African marke…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of differ…
Study investigates ruin probability with random premiums and risky investments.
problem Ruin probability with random premiums and risky investments.
method Laplace transform applied to a model with geometric Brownian motion.
result Asymptotic behavior of ruin probability for large initial capital values.
Optimizes bank capital structure under Basel III constraints, simplifying complex dynamics.
problem Optimizing risky investments, dividends, and capital structure under Basel III constraints.
method Formulated as a stochastic control problem, reducing dynamics to a one-dimensional process in leverage ratio.
result Simple policy: pay dividends at an upper barrier and recapitalize at the distress boundary.
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. Th…
Corporate VC firms struggle with internal conflicts despite growth.
problem Internal conflicts among corporate VC investment teams.
method Conducted interviews with corporate VC firms to identify issues.
result Executive-level attention and commitment are lacking, leading to conflicts.
Risk-only investment strategies have been growing in popularity as traditional in- vestment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware of four things. First, theoretical considerations and empirical studies show that apparently dictinct risk-based …
Study finds cryptoasset markets inefficient due to capital reallocation frictions.
problem Inefficiency in cryptoasset markets due to capital reallocation frictions.
method Examined investments with dominant and secondary risk factors, derived equilibrium restrictions, and tested empirically.
result Empirical results strongly reject necessary equilibrium restrictions, indicating market inefficiency.
Optimizes capital structure for life insurance companies with surplus participation.
problem Determining the optimal participation rate in life insurance contracts.
method Adapted Leland's dynamic capital structure model to life insurance context.
result Optimal participation rate is highly sensitive to contract duration and tax rate.
Paper shows how to hedge zero coupon bonds with less capital, useful for investors and planners.
problem Hedging zero coupon bonds requires significant initial capital, which is costly.
method Derive a hedging strategy that invests in risky securities and fixed income as maturity approaches.
result Less expensive hedging strategy for zero coupon bonds is possible, reducing capital requirements.
New optimal investment strategies for finance and insurance using Hawkes-based models.
problem Optimal investment strategies in finance and insurance for specific models.
method Solving Merton investment problems with Hawkes-based models.
result New optimal investment results for finance and insurance models.
The paper models financial markets and real economy interactions using a large agent framework.
problem Understanding capital allocation and accumulation in financial markets and real economy interactions.
method Developed a field-formalism model to analyze interactions between financial markets and real economy with a large number of heterogeneous agents.
result The number of firms in each sector depends on the aggregate financial capital invested and expected long-term returns.
Modeling shows stronger IP protection speeds tech advancement.
problem Effect of intellectual property policy on tech advancement speed.
method Agent-based modeling with varying IP protection levels.
result Stronger IP protection leads to faster technological progress.
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first pro…
Statistical fields model explains capital allocation and accumulation among firms and investors.
problem Understanding capital allocation and accumulation dynamics among firms and investors.
method Applied statistical fields formalism to heterogeneous agents divided into firms and investors.
result Capital accumulation depends on various factors including long-term returns, competition, and stock price volatility.
This research examines relationship between staging of Venture Capital (VC) investments and social feedback visible in publicly available data on the Web. We address the question of Venture Capital investment sensitivity to performance and prospects of new venture, given as likelihood of obtaining future financing, ava…
This study assesses how share capital affects financial growth of non-financial firms listed at NSE.
problem Non-financial firms listed at NSE struggle with financial growth due to declining performance and lack of investor interest.
method Descriptive and panel data analysis of 45 non-financial firms over 10 years.
result Share capital positively and significantly influences financial growth, explaining 32.73% and 11.62% of variations in earnings per share and market capitalization growth, respectively.
Model shows how relaxed leverage can lead to asset price bubbles.
problem Understanding how financial leverage affects asset prices and growth.
method Developed a macro-finance model with feedback loops between investment and land prices.
result Relaxed leverage can cause unbalanced growth and asset price bubbles.
Dynamic model considers private asset markets' complexities.
problem Understanding and optimizing private asset allocation.
method State-of-the-art dynamic model with machine learning.
result Optimal investment policies quantified over fund life.
Optimal bailout policies identified for financial institutions using AI.
problem Managing systemic financial risk during crises.
method Modelled bailout decisions as a Markov Decision Process (MDP) with network dynamics.
result Identified optimal investment policies to limit financial crises effects.
Simple mechanism resolves economic puzzles.
problem High cyclically adjusted P/E ratio, wage vs. capital gains, equity premium persistence.
method Simple mechanism noted.
result Simple mechanism partially resolves economic puzzles.
The paper develops diverse risk models for US stock portfolios.
problem Maximizing profits while minimizing risk in stock markets.
method Various high-dimensional risk models and investment strategies tested.
result Out-of-sample tests show improved portfolio performance.
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated on the optimal dividend strategies. In this paper, we propose to study the optim…
In this paper, we discuss the Cramér-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift a and volatility σ>0. By assuming there is a cap on the claim sizes, we prove that the probability of ruin has at least an algebraic decay rate if $2a/σ^2 …