This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as large deviations control problems, that we solve by duality method leading to ...

Most capital projects have an implementation lag. We examine the effect of implementation lag on a levered firm’s investment decision. The main finding is that implementation lag can potentially have a substantial effect on a levered company’s investment trigger, and this effect can be significantly different from that of an unlevered company. The exact relationship between lag and investment t...

Real world investment decisions are generally made sequentially over time. The possibility of subsequent decisions like suspending a project must be considered when an initial investment decision is made. This seems to be particularly important in the case of investments, which take a long 'time to build'. This paper analyzes the impact of lags between the initial investment decision and the co...

In this work we ask how should an investor distribute wealth over various assets to maximizethe growth rate of the cumulative wealth in a discrete time market with proportional transactioncosts. We show that this sequential decision problem has a stationary optimal policy. Inaddition, we show that for all 2 > 0 there exists a policy that guarantees a growth rate at most 2bel...

We consider an optimal investment problem when a firm such as an electric power company has the operational flexibility to expand and contract capacity with fixed cost. This problem is formulated as an impulse control problem combined with optimal stopping. Consequently, we obtain optimal investment timing, optimal capacity expansion and contraction timing, and the investment value. We also sho...

for energy saving retrofit projects, its economics are usually evaluated in terms of capital investment and payback time. the capital investment is in direct relation to the total heat recovery area of the network and the payback time factor is base on both the area and the energy savings. the debottlenecking is an increased throughput, which can be profitable in economic sense. the combination...

This paper examines the migration response to a millionaire tax in New Jersey, which raised its income tax rate on top earners by 2.6 percentage points to 8.97 percent, one of the highest tax rates in the country. Drawing on unique state tax micro-data, we estimate the migration response of millionaires to the rate increase, using a difference-in-differences estimation strategy. The results ind...

Conley and Wilkie (1993) introduced and axiomatized the Nash extension bargaining solution, defined on a domain of comprehensive but not necessarily convex problems. In this paper we present a non-cooperative game that implements the Nash extension solution in subgame perfect equilibria in the limit as the discount rate applied between rounds of play vanishes. Journal of Economic Literature Cla...