Analytical Solution of Time-Varying Investment Returns with Random Parameters
نویسندگان
چکیده
In this paper, a combination of deterministic and stochastic systems with its random parameters in the model was considered. The analytical solution to proposed is presented detail which determined following insurance quantities or variables such as: surplus process company, risky risk-less assets. These results were explicitly verified graphically effects expected rate return discussed.
منابع مشابه
Exponential-Family Random Graph Models with Time Varying Network Parameters
Dynamic networks are a general language for describing time-evolving complex systems, and have long been an interesting research area. It is a fundamental research question to model time varying network parameters. However, due to difficulties in modeling functional network parameters, there is little progress in the current literature to effectively model time varying network parameters. In th...
متن کاملOptimal investment with time-varying stochastic endowments
This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. We rely on the dynamic programming approach to solve the optimization problem. The properties of the value function, particularly the homogeneity, are used to reduce the HJB equation by one dimension. Furt...
متن کاملTime Varying Prediction of UK Asset Returns
working papers are produced by the Bradford University School of Management and are to be circulated for discussion purposes only. Their contents should be considered to be preliminary. The papers are expected to be published in due course, in a revised form and should not be quoted without the author's permission. ABSTRACT This paper studies the economic significance of stock and bond return p...
متن کاملTracking time-varying parameters with local regression
This paper shows that the recursive least-squares (RLS) algorithm with forgetting factor is a special case of a varying-coe$cient model, and a model which can easily be estimated via simple local regression. This observation allows us to formulate a new method which retains the RLS algorithm, but extends the algorithm by including polynomial approximations. Simulation results are provided, whic...
متن کاملKuramoto model with time-varying parameters.
We analyze the Kuramoto model generalized by explicit consideration of deterministically time-varying parameters. The oscillators' natural frequencies and/or couplings are influenced by external forces with constant or distributed strengths. A dynamics of the collective rhythms is observed, consisting of the external system superimposed on the autonomous one, a characteristic feature of many th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ???? ?????? ?????? ??????????
سال: 2022
ISSN: ['2708-8251', '2521-9200']
DOI: https://doi.org/10.51984/jopas.v21i2.1857