Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety of models have been presented for optimal selection. Semi-variance is usually considered as a risk...Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety of models have been presented for optimal selection. Semi-variance is usually considered as a risk factor in drawing up an efficient frontier and the optimal portfolio. Since semi-variance offers a better estimation of the actual risk portfolio, it was used as a measure to approximate the risk of investment in this work. The optimal portfolio selection is one of the non-deterministic polynomial(NP)-hard problems that have not been presented in an exact algorithm, which can solve this problem in a polynomial time. Meta-heuristic algorithms are usually used to solve such problems. A novel hybrid harmony search and artificial bee colony algorithm and its application were introduced in order to draw efficient frontier portfolios. Computational results show that this algorithm is more successful than the harmony search method and genetic algorithm. In addition, it is more accurate in finding optimal solutions at all levels of risk and return.展开更多
A classical problem on optimal choice of tax rate from the perspective of differential game approach is studied. Under some appropriate assumptions on the profit and utility functions, the open-loop Stackelberg equili...A classical problem on optimal choice of tax rate from the perspective of differential game approach is studied. Under some appropriate assumptions on the profit and utility functions, the open-loop Stackelberg equilibrium solution which is time- dependent is obtained. Result shows that 1) the optimal strategies derived from differential game and traditional unilateral optimal control approaches are different; 2) both marginal profit rate and the market rate of interest have great effect on the equilibrium solution; and 3) the government should think about the firm’s potential reaction when selecting tax rates and the timing of taxation.展开更多
Decision-making of investors at the stock exchange can be based on the fundamental indicators of stocks, on the technical indicators, or can exist as a combination of these two methods. The paper gives emphasis to the...Decision-making of investors at the stock exchange can be based on the fundamental indicators of stocks, on the technical indicators, or can exist as a combination of these two methods. The paper gives emphasis to the domain of technical analysis. In the broader sense the technical analysis enables the dynamics of the expected future values of the shares estimation. This can be performed on the basis of the data on historical trends of the revenues, profits and other indicators from the balance sheet, but also on the basis of historical data on changes in the values of the shares. Companies generally belong to the different sectors that have different presumptions of development resulting from the global market trends, technology and other characteristic. Processing of historical data values of the outstanding shares of the Zagreb Stock Exchange （ZSE） is origination of this research. Investors are interested to know the estimation of future returns for the stocks as well as the size of the risk associated with the expected returns. Research task in this paper is finding the optimal portfolio at the ZSE based on the concept of dominant portfolio by Markowitz approach. The portfolio is created by solving non-linear programming problem using the common software tools. The results of obtained optimal portfolios contain relevant conclusions about the specifics of the shares as well as the characteristics of the industrial sectors but also provide a further knowledge about diverse sectors treatment at the stock exchange in a multi-year period.展开更多
This paper sets up a simplified dynamic discrete selection model to analyze two-stage decision of corporate export behavior and influence of exchange rate under the framework of profit maximization. Then we adopt Heck...This paper sets up a simplified dynamic discrete selection model to analyze two-stage decision of corporate export behavior and influence of exchange rate under the framework of profit maximization. Then we adopt Heckman selection model to estimate general effects and structural effects of RMB appreciation on export based on the sample data of China Industrial Enterprises from 2005 to 2009. Findings reveal that RMB appreciation has exerted a significant negative impact to corporate export through extensive margins and intensive margins. Meanwhile, due to different corporate strategies of heterogeneous enterprises, RMB appreciation cannot achieve the expected effect of ＂survival of the fittest＂ and is instead unfavorable to the optimization of export structure. RMB appreciatiou drives industry structure of export to evolve towards advanced levels to a certain extent. However, such a positive effect mainly derives from the contribution of foreign-funded enterprises while restricting development space of indigenous firms in the sector of advanced manufacturing.展开更多
This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple ris...This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple risky assets. This paper obtains the optimal investment policy using the stochastic linear quadratic （LQ） control theory with no-shorting constraint. Then the efficient strategy （optimal investment strategy） and efficient frontier are derived explicitly by a verification theorem with the viscosity solution of Hamilton-Jacobi-Bellman （HJB） equation.展开更多
This paper studies the optimal investment problem for an insurer and a reinsurer. The basic claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from th...This paper studies the optimal investment problem for an insurer and a reinsurer. The basic claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from the reinsurer. The insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset. Moreover, the authors consider the correlation between the claim process and the price process of the risky asset. The authors first study the optimization problem of maximizing the expected exponential utility of terminal wealth for the insurer. Then with the optimal reinsurance strategy chosen by the insurer, the authors consider two optimization problems for the reinsurer： The problem of maximizing the expected exponential utility of terminal wealth and the problem of minimizing the ruin probability. By solving the corresponding Hamilton-Jacobi-Bellman equations, the authors derive the optimal reinsurance and investment strategies, explicitly. Finally, the authors illustrate the equality of the reinsurer＇s optimal investment strategies under the two cases.展开更多
文摘Portfolio selection is one of the major capital allocation and budgeting issues in financial management, and a variety of models have been presented for optimal selection. Semi-variance is usually considered as a risk factor in drawing up an efficient frontier and the optimal portfolio. Since semi-variance offers a better estimation of the actual risk portfolio, it was used as a measure to approximate the risk of investment in this work. The optimal portfolio selection is one of the non-deterministic polynomial(NP)-hard problems that have not been presented in an exact algorithm, which can solve this problem in a polynomial time. Meta-heuristic algorithms are usually used to solve such problems. A novel hybrid harmony search and artificial bee colony algorithm and its application were introduced in order to draw efficient frontier portfolios. Computational results show that this algorithm is more successful than the harmony search method and genetic algorithm. In addition, it is more accurate in finding optimal solutions at all levels of risk and return.
文摘A classical problem on optimal choice of tax rate from the perspective of differential game approach is studied. Under some appropriate assumptions on the profit and utility functions, the open-loop Stackelberg equilibrium solution which is time- dependent is obtained. Result shows that 1) the optimal strategies derived from differential game and traditional unilateral optimal control approaches are different; 2) both marginal profit rate and the market rate of interest have great effect on the equilibrium solution; and 3) the government should think about the firm’s potential reaction when selecting tax rates and the timing of taxation.
文摘Decision-making of investors at the stock exchange can be based on the fundamental indicators of stocks, on the technical indicators, or can exist as a combination of these two methods. The paper gives emphasis to the domain of technical analysis. In the broader sense the technical analysis enables the dynamics of the expected future values of the shares estimation. This can be performed on the basis of the data on historical trends of the revenues, profits and other indicators from the balance sheet, but also on the basis of historical data on changes in the values of the shares. Companies generally belong to the different sectors that have different presumptions of development resulting from the global market trends, technology and other characteristic. Processing of historical data values of the outstanding shares of the Zagreb Stock Exchange （ZSE） is origination of this research. Investors are interested to know the estimation of future returns for the stocks as well as the size of the risk associated with the expected returns. Research task in this paper is finding the optimal portfolio at the ZSE based on the concept of dominant portfolio by Markowitz approach. The portfolio is created by solving non-linear programming problem using the common software tools. The results of obtained optimal portfolios contain relevant conclusions about the specifics of the shares as well as the characteristics of the industrial sectors but also provide a further knowledge about diverse sectors treatment at the stock exchange in a multi-year period.
文摘This paper sets up a simplified dynamic discrete selection model to analyze two-stage decision of corporate export behavior and influence of exchange rate under the framework of profit maximization. Then we adopt Heckman selection model to estimate general effects and structural effects of RMB appreciation on export based on the sample data of China Industrial Enterprises from 2005 to 2009. Findings reveal that RMB appreciation has exerted a significant negative impact to corporate export through extensive margins and intensive margins. Meanwhile, due to different corporate strategies of heterogeneous enterprises, RMB appreciation cannot achieve the expected effect of ＂survival of the fittest＂ and is instead unfavorable to the optimization of export structure. RMB appreciatiou drives industry structure of export to evolve towards advanced levels to a certain extent. However, such a positive effect mainly derives from the contribution of foreign-funded enterprises while restricting development space of indigenous firms in the sector of advanced manufacturing.
基金This research is supported by the National Natural Science Foundation of China under Grant No. 10871102 and Speaialized Research Fund for the Doctoral Program of Higher Education under Grant No. 20090031110001.
文摘This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple risky assets. This paper obtains the optimal investment policy using the stochastic linear quadratic （LQ） control theory with no-shorting constraint. Then the efficient strategy （optimal investment strategy） and efficient frontier are derived explicitly by a verification theorem with the viscosity solution of Hamilton-Jacobi-Bellman （HJB） equation.
基金supported by the National Natural Science Foundation of China under Grant Nos.11201335 and 11301376
文摘This paper studies the optimal investment problem for an insurer and a reinsurer. The basic claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from the reinsurer. The insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset. Moreover, the authors consider the correlation between the claim process and the price process of the risky asset. The authors first study the optimization problem of maximizing the expected exponential utility of terminal wealth for the insurer. Then with the optimal reinsurance strategy chosen by the insurer, the authors consider two optimization problems for the reinsurer： The problem of maximizing the expected exponential utility of terminal wealth and the problem of minimizing the ruin probability. By solving the corresponding Hamilton-Jacobi-Bellman equations, the authors derive the optimal reinsurance and investment strategies, explicitly. Finally, the authors illustrate the equality of the reinsurer＇s optimal investment strategies under the two cases.
