Optimal dynamic investment policy under financial restrictions and adjustment costs
نویسندگان
چکیده
منابع مشابه
Optimal Investment Under Transaction Costs
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d. discrete-time two-asset markets under proportional transaction costs. We then extend our analysis to cover markets having more than two stocks. The market is modele...
متن کاملIndeterminacy and Investment Adjustment Costs
It has been widely known that neoclassical growth models with su¢cient increasing returns in production may feature indeterminacy. This note shows that investment adjustment costs increase the required degree of increasing returns for indeterminacy to arise. Under empirically plausible levels of investment adjustment costs, we need implausibly large degree of increasing returns to generate inde...
متن کاملADJUSTMENT COSTS AND DYNAMIC FACTOR DEMANDS : INVESTMENT AND EMPLOYMENT UNDER UNCERTAINTY by GIUSEPPE
Chapter 1 studies solution techniques for problems of dynamic control under uncertainty with linear costs of control. Necessary conditions for optimality of control policies are derived from a feasible perturbation argument, and it is shown that under restrictive conditions the optimal policy can be based on current events only. A solution is explicitly derived under the assumption of constant-...
متن کاملOptimal Dynamic Investment Policy under Different Rates for Tax Depreciation and Economic Depreciation
This paper analyzes the consequences of incorporating a different rate for tax depreciation than for economic depreciation. Firms most often choose their tax depreciation rate in a strategic way. It would therefore be a coincidence if this optimization process leads to a tax depreciation rate that equals the economic depreciation rate. The implications of a difference between tax depreciation a...
متن کاملOptimal Investment with Lumpy Costs
In this paper we analyze a continuous-time model of investment with uncertainty, irreversibility and a broad class of lumpy adjustment costs. We show that the two components of the optimal investment strategy, the investment trigger and the investment increment, can be found sequentially, and that the optimal investment increment maximizes a closed form function. Solving the model numerically, ...
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: European Economic Review
سال: 1988
ISSN: 0014-2921
DOI: 10.1016/0014-2921(88)90084-0