This paper studies optimal investment and the dynamic cost of income uncertainty, applying a stochastic programming approach. The motivation is given by a case study in Finnish agriculture. Investment decision is modelled as a Markov decision process, extended to account for risk. A numerical framework for studying the dynamic uncertainty cost is presented, modifying the classical expected valu...

This paper studies optimal dynamic investment and ...nancial policy of the ...rm, if the interest rate on the ...rm’s debt depends on its capital structure. We characterize the optimal investment and ...nancing decisions and show how the incentive to invest and the market value of the ...rm are a¤ected by ...nancial considerations. Conditions are derived under which average Q remains a su¢cient...

Fashion supply chain members now search for trade-offs between sustainable investment and the related incentives, such as savings on environmental taxes and gains in incremental demands. To evaluate the economic and environmental performance of sustainable investment from a power perspective, we develop an analytical model to study a two-echelon sustainable supply chain consisting of one retail...

This paper investigates the optimal dynamic investment for an investor who maximizes constant absolute risk aversion (CARA) utility in a discrete-time market with a riskfree bond and a risky stock. The risky stock is assumed to present both the dividend risk and the price risk. With our assumptions, the dividend risk is equivalent to fundamental risk, and the price risk is equivalent to the noi...

This paper investigates whether institutional investors influence firms’ investment in real assets and reduce the managerial agency conflict in investment choices. Institutional investors’ holdings of U.S. firms have gone from 10% of shares outstanding in 1960, to well over 60% in 2005. Importantly, given their significant ownership stakes and investment horizons, we expect them to closely moni...

We consider an optimal investment problem proposed by Bielecki and Pliska. The goal of the investment problem is to optimize the long term growth of expected utility of wealth. We consider HARA utility functions with exponent −∞ < γ < 1. The problem can be reformulated as an infinite time horizon risk sensitive control problem. Some useful ideas and results from the theory of risk sensitive con...

We study a continuous-time, finite horizon optimal stochastic reversible investment problem for a firm producing a single good. The production capacity is modeled as a onedimensional, time-homogeneous, linear diffusion controlled by a bounded variation process which represents the cumulative investment-disinvestment strategy. We associate to the investmentdisinvestment problem a zero-sum optima...

In this paper, an algorithm is proposed to perform investment decision in a fuzzy environment. This algorithm considers both economic and strategic factors to select the optimal investment project. By using this algorithm, the ambiguities involved in the assessment data can be effectively represented and processed to assure a more convincing and effective decision-making. Finally, the air logis...

Dynamic asset allocation strategies that are continuously rebalanced so as to always keep a fixed constant proportion of wealth invested in the various assets at each point in time play a fundamental role in the theory of optimal portfolio strategies. In this paper we study the rate of return on investment, defined here as the net gain in wealth divided by the cumulative investment, for such in...