2 edition of multi-period consumption and portfolio selection with future income and leakage found in the catalog.
multi-period consumption and portfolio selection with future income and leakage
|Series||JSRI Division of Economics and Econometrics technical paper ; no. 32|
|LC Classifications||HG4521 .K484|
|The Physical Object|
|Pagination||104 p. ;|
|Number of Pages||104|
|LC Control Number||79319335|
to a multi-period setting. Such a generalization is difficult to achieve because the multi-period consumption and portfolio choice problem is inherently nonlinear. A compictc solution is obtained by combining the consumer's Euler equation with the interteinporal budget constraint, but the budget constraint is a nonlinear equation except in very. Portfolio selection problem is one of the core research fields in modern financial management. While considering the transaction costs in the long term investment makes the portfolio selection problems more complex than there are no transaction costs. In this paper, the general multi-period investment problems with HARA utility function and.
Future consumption goes up, current consumption goes down, and saving rises. There is only a substitution effect (no income effect) if a person was planning to consume at the no-borrowing, no-lending point. An income effect occurs as well if a person was planning to consume at a different point than the no-borrowing, no-lending point. The pre-commitment and time-consistent strategies are the two most representative investment strategies for the classic multi-period mean-variance portfolio selection problem. In this paper, we revisit the case in which there exists one risk-free asset in the market and prove that the time-consistent solution is equivalent to the optimal open-loop solution for the classic multi-period mean Cited by: 2.
Due to few historical data that can be obtained in an emerging securities market, the future returns, risk and liquidity of securities cannot be forecasted precisely. The investment environment is usually fuzzy and uncertain. To handle these imprecise data, this paper discusses a fuzzy multi-period portfolio optimization problem where the returns, risk, and liquidity of securities are Cited by: the multi-period stochastic optimization model. Results and conclusions are presented in Sections 3 and 4. We see that the lookback straddle benefits multi-period investors who have low levels of risk aversion. 2. Methods and Models The Lookback Straddle The lookback straddle is a derivative security that pays the holder the difference of the.
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A goal programming approach to the multi-period multi-objective problem for portfolio selection is studied. In order to include the investor’s preferences, satisfaction functions are considered.
consumption-savings decision for now, and we will come back with the production side in Chapter In a multi-period model, saving-borrowing and the interest rate are key elements. Saving-borrowing allows the consumer to smooth consumption over Size: KB.
Sadjadi et al. () formulated a fuzzy multi-period portfolio selection model with different rates for borrowing and lending by using fuzzy set theory.
Zhang et al. () presented a mean–semivariance–entropy model for multi-period portfolio selection based on possibility by: Multi-period project portfolio selection under risk considerations and stochastic income Ali Asghar Toﬁghian1 • Hamid Moezzi2 • Morteza Khakzar Barfuei3 • Mahmood Shaﬁee4 Received: 3 May /Accepted: 4 October /Published online: 2 February The Author(s) This article is an open access publication Abac This paper deals Cited by: 7.
In this article, model predictive control is used to dynamically optimize an investment portfolio and control drawdowns. The control is based on multi-period forecasts of the mean and covariance of financial returns from a multivariate hidden Markov model with time-varying parameters.
There are computational advantages to using model predictive control when estimates of future Cited by: 5. achieving a desired ﬁnal wealth value, is not traditional in dynamic portfolio optimization, but is used in problems such as index tracking and portfolio replication.
For more on these see, e.g., [8, 13, 14]. 2 Multi-period portfolio optimization problem Portfolio evolution. We let xt ∈ Rn be the vector (portfolio) of holdings (in dollars) in nFile Size: KB. Multi-Period Portfolio Optimization with Cone Constraints and Discrete Decisions 3 concave nonlinear cost functions.
These transaction costs have also been studied by , , , and  in a mean-variance framework. We will use a quadratic cost function for the single-period model as proposed in File Size: KB. Lecture 07 Multi-period Model Eco Financial Economics I Slide Introduction • accommodate multiple and even infinitely many periods.
• several issues: ¾how to define assets in an multi period model, ¾how to model intertemporal preferences, File Size: KB. Multi-period portfolio optimization of power generation assets 23 Regarding the multi-period character of decision processes and uncertainty in the environment, it can be noticed that the application of portfolio theory to constructing a multistage and stochastic model is relatively new for the energy sector.
However. This paper studies a multi-period portfolio selection problem for retirees during the decumulation phase.
We set a series of investment targets over time and aim to minimize the expected losses from the time of retirement to the time of compulsory annuitization by using a quadratic loss function. A target greater than the expected wealth is given and the corresponding explicit expressions for Cited by: 2.
It is often the case that some unexpected event may force an investor to terminate her investment and leave the market. We consider in this paper the mean-variance formulation of multi-period portfolio optimization for asset-liability management with an uncertain investment horizon. Under the assumption that exit time follows a given distribution, the problem under investigation with uncertain Cited by: Downloadable (with restrictions).
Due to few historical data that can be obtained in an emerging securities market, the future returns, risk and liquidity of securities cannot be forecasted precisely.
The investment environment is usually fuzzy and uncertain. To handle these imprecise data, this paper discusses a fuzzy multi-period portfolio optimization problem where the returns, risk, and. Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance Byung-Geun Choi a, Napat Rujeerapaiboonb, Ruiwei Jiang aDepartment of Industrial & Operations Engineering, University of Michigan bRisk Analytics and Optimization Chair, Ecole Polytechnique F ed erale de Lausanne, Switzerland Abstract Growth-optimal portfolios are guaranteed to accumulate higher wealth.
A possibilistic mean-semivariance-entropy model for multi-period portfolio selection is presented by taking into account four criteria viz., return, risk, transaction cost and diversification. Abstract: In this article, inspired by Shi et al., we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period setting under the cumulative prospect theory (CPT) risk criterion.
Compared with their study, our novelty is that we Cited by: 1. The income approach is a common approach used in the valuation of customer-related. intangible assets. Within the income approach, the multi-period excess earnings method is a common method to value customer relationships. In recent years, valuation analysts have used the distributor method, also an income-based approach, as an alternative methodFile Size: KB.
Downloadable (with restrictions). A single-period portfolio selection theory provides optimal tradeoff between the mean and the variance of the portfolio return for a future period.
However, in a real investment process, the investment horizon is usually multi-period and the investor needs to rebalance his position from time to time. Hence it is natural to extend the single-period fuzzy.
A single-period portfolio selection theory provides optimal tradeoff between the mean and the variance of the portfolio return for a future period. However, in a real investment process, the investment horizon is usually multi-period and the investor needs to rebalance his position from time to by: Multi-Period Portfolio Choice and the Intertemporal Hedging Demands for Stocks and Bonds: International Evidence Abstract In this paper, we investigate the intertemporal hedging demands for stocks and bonds for investors in the U.S., Australia, Canada, France, Germany, Italy, and U.K.
Employing the recently developed. consumption relative to the future is 1 + r t. Note that this optimality condition is not a \consumption function." A consumption function would express current consumption as a function of income, the interest rate, etc.
This condi-tion just relates current to future consumption. It could hold for two low values of current and +1). EDWIN J. ELTON, MARTIN J. GRUBER; THE MULTI-PERIOD CONSUMPTION INVESTMENT PROBLEM AND SINGLE PERIOD ANALYSIS, Oxford Cited by: Due to few historical data that can be obtained in an emerging securities market, the future returns, risk and liquidity of securities cannot be forecasted precisely.
The investment environment is usually fuzzy and uncertain. To handle these imprecise data, this paper discusses a fuzzy multi-period portfolio optimization problem where the returns, risk, and liquidity of securities are.The indifference curve IC o in figure 1a represents the behavior of a net-saver (an individual with strong preferences for future consumption relative to current consumption) in the current time period -- current income exceeds current consumption.
For this individual, these savings along with an interest payment may be used for future consumption in excess of future income.