In this paper, we consider a stochastic programming approach to multi-stage posttax portfolio optimization. Asset performance information is speci ed as a scenario tree generated by two alternative methods based on simulation and optimization. We assume three tax wrappers involving the same instruments for an eÆcient investment strategy and determine optimal allocations to di erent instruments ...

CBM development is a major concern in national energy projects. With high investment, high risks and high yield, CBM makes many investors generate the project plans while at the same time expressing concerns regarding risk. Focusing on the development of risk assessment model in CBM development and applications, this paper proposes the CBM development risk assessment model of multi-information ...

I study competition of the governments that make a decision on the investment in their public facilities, which yield an excludable good with nonrivalry. Special attention is paid to their strategic interaction, their spatial relationship, an opportunity to exploit third party regions, and a discrete nature of some of their choices. Their decision making process is analyzed as a two-stage game ...

This study employs a real option pricing approach to conduct an evaluation of the optimal investment strategy for a firm confronted with sequential technology innovations. Stochastic assumptions of innovations in their arrival times and their profitability are added to the model, so as to conform to the most important characteristics of real-world technology markets. Furthermore, this study inc...

This research studied the commercial exploitation of an indigenous African crop in order to formulate high value products, with a potential significant impact on local economy. More specifically, present work investigated extraction polysaccharides from baobab bench-scale unit, focusing overall yield and techno-economic assessment process. Preliminary technoeconomic analysis for two scenarios (...

Standard analysis in industrial organization indicates that firms earn higher profits if they collude rather than compete on prices (or quantities). However, firms choose other strategic variables, such as investment in capacity or R&D, in addition to choosing prices or production levels. Thus the overall evaluation of product market collusion must take into account its effect on the interactio...

The sharp distinction drawn between firms rated narrowly above (BBB–) and below (BB+) the investment-grade cutoff provides variation in debt financing availability unrelated to firm fundamentals. We exploit this market segmentation to identify an asymmetric effect of debt capital supply on voluntary disclosure: BB+ firms step up disclosure in response to high-yield bond mutual fund outflows. Th...

This paper presents evidence of persistent ‘bull’ and ‘bear’ regimes in UK stock returns and considers their economic implications from the perspective of an investor’s portfolio decisions. We Þnd that the perceived state probability has a large effect on the optimal allocation to stocks, particularly at short investment horizons. If ignored, the presence of such regimes gives rise to welfare c...

Simultaneously long short (SLS) feedback trading strategies are known to yield positive expected gain by zero initial investment for price processes governed by, e.g., geometric Brownian motion or Merton’s jump diffusion model. In this paper, we generalize these results to positive prices with stochastically independent multiplicative growth and constant trend in discrete and continuous time as...

In this paper, a closed-loop supply chain network is investigated with decentralized decision-makers consisting of raw material suppliers, retail outlets, and the manufacturers that collect the recycled product directly from the demand market. We derive the optimality conditions of the various decision-makers, and establish that the governing equilibrium conditions can be formulated as a finite...