This paper examines an optimal investment problem of Abel and Eberly (1997) and Imai and Tsujimura (2016) under higher degree of ambiguity. To that end we introduces an exponential Lévy process as the underlying risk process of the project. The ambiguity indicates a manager’s disconfidence with respect to the underlying model. It can be formulated as allowing one to change the reference probabi...

We focus on automatic strategies to optimize life cycle savings and investment. Classical optimal savings theory establishes that, given the level of risk aversion, a saver would keep the same relative amount invested in risky assets at any given time. We show that, when optimizing lifecycle investment, performance and risk assessment have to take into account the investor's risk aversion and t...

We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor’s capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and ...

This paper investigates achieving financial independence by using the Dividend Reinvestment Plan (DRIP) in conjunction with dollar cost averaging to purchase stocks of quality companies that pay increasing dividends over the 15 year period of 1993 – 2007. To do this, it looks at two portfolios, each containing initially the same stocks, but the second replacing some of its stocks during the las...

Investments in the area of technological innovations are particularly risky, since, apart from price uncertainty, firms must take into account not only uncertainty in the arrival of innovations but also the presence of potential rivals. Therefore, we develop an analytical framework for sequential investment in order to determine how duopolistic competition impacts a firm’s technology adoption s...

In capital accumulation under uncertainty, a decision-maker must determine how much capital to invest in riskless and risky investment opportunities over time. The investment strategy yields a stream of capital, with investment decisions made so that the dynamic distribution of wealth has desirable properties. The distribution of accumulated capital to a fixed point in time and the distribution...

The article is devoted to the study of the process of development of regions as a promising area of industrial tourism. The authors researched the marketing strategies of industrial tourism, studied, proposed an algorithm for selecting a marketing strategy for the development of industrial tourism and the concept of developing a marketing strategy for the development of industrial tourism. They...

This study analyzes an optimal investment strategy for information security (IS) for a profit-maximizing online monopoly when it is facing attacks from cyber criminals by considering a network security theoretical model with time-varying characteristics. The intangible profit of security investment is transformed into a measurable sales benefit by using a successful entry ratio that links the r...