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By using Lagrange duality methods, this paper studies the multi-period mean-variance portfolio selection problem with uncertain exit time. Firstly, according to Lagrange duality theorem, we turn the original mean-variance problem into a multi-period optimization problem, which contains a Lagrange multiplier with separability and so can be solved by dynamic programming approach. Secondly, we obtain...
Stock market fluctuation is very challenging to investors. They have to make important decision regarding dollar and cent in uncertain environment. Therefore the study has introduced a model to present the uncertainty in stock returns. The model was derived by incorporating the MV model and the VBS fuzzy model. Using fuzzy approach, the study introduced an extended MV model. To investigate the effectiveness...
Based on the CAPM theory, this paper uses the historical data of CREIs (China Real Estate Index Systems) of Shanghai build an effective REITs (Real Estate Investment Trusts) investment strategy. Then using the Markowitz's mean-variance model, we calculated the optimal portfolio solutions, that is apply the classical security investment theory in the real estate investment decision-making, which have...
Traditional investment analysis methods for lack of flexibility cannot adapt to changing realities very well, so real options game theory which takes into account uncertainty and competition is introduced. This paper establishes an analysis model that incorporates real options and game theory to discuss investment strategies about technology innovation projects under three uncertain and competitive...
In oligopoly market structure, the strategic relation among the enterprises' decisions is another important considerable factor when they make their own corporate strategy. In this article, we study the effect of enterprise's strategic debt on oligopoly pricing behavior under the uncertain environment by using a three-stage game model. We find that when the enterprises' marginal income is increasing...
Small-firm effect (SFE) has been confirmed widespread in stock market. How to identify SFE has been become an important investment strategy. The study makes empirical analysis on SFE during different economic circles in China. We also reveal the response of SFE to economic shocks with Vector Auto-Regression model. The result shows that there is a long-term SFE which is not significant in Chinese stock...
In the decade,the use of agent-based simulations of market has been acceptance by more and more social scientists. This paper presents the construction of the artificial stock market that the artificial intelligent algorithms take on the role of trades. They make predictions about the future, and buy and sell stock as indicated by their expectations of future risk and return. Prices are set endogenously...
While the cloud computing paradigm provides the technological foundation for previously unmatched efficiency in information systems, its economic implications are complex and significant. Bringing the benefits of this state-of-the-art technology to corporate datacenters requires a systematic cost analysis of current best-practice in conjunction with the new possibilities. We address this challenge...
With improving of economic and social informatization level, the information technology outsourcing (IT outsourcing) as an investment strategy, which got rapid development. In the enterprise information construction and the construction of e-government IT outsourcing service status is increasing strengthen; which is engaged for the small and medium-sized enterprises is a rare opportunity of development...
In a three-stage dynamic game model, the article studies the relationship between investments financing and product market competition in the case that the enterprise's debt financing strategy is made after making research and development investment strategy under uncertain circumstance. The research show that under the enterprise's margin income increasing with market demand booming, the increase...
The frequency of radical technological innovation is increasing. When incumbent firms experience technological disadvantage during the period of technological change, the extent to which that disadvantage translates into a commercial disadvantage may depend on the breadth of radical technologypsilas disruption. If new technology only destruct incumbent firmspsila technical capabilities but not the...
The main purpose of this study is to construct a suitable research and development (R&D) decision model which would facilitate the analysis of optimal stopping and investment strategy with mixed uncertainty of randomness and fuzziness in R&D project. In classical R&D decision models,the inter-arrival times between jumps are usually assumed as random variables which are exponentially distributed...
We focus on the multi-period optimal investment allocation in the sense of minimizing the worst-case conditional value-at-risk function. In order to control the downside risk during the whole journey of investment, we develop the optimal dynamic portfolio strategy model suited to the current situation in China with stochastic programming approach, in which the future scenarios of financial market...
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