In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in … investment plan, and derive necessary and sufficient conditions for optimality. This allows us to construct the optimal policy in … - where risk is driven by a geometric Brownian motion and Knightian uncertainty is realized through a so-called "k …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

this 0-1 knapsack problem, retailers should also consider the risk associated with every assortment. While every product in …. Therefore, retailers face the difficult task of designing a portfolio of products that balances risk and return. In this paper …-time heuristic that solves this problem. The heuristic constructs an approximation of the risk-return Efficient Frontier of …

We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The … two independent geometric Brownian motions. After paying a constant sunk investment cost, the company sells the products … on the market and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional …

-time mean-variance portfolio selection problems with risk aversion coefficient being constant or state-dependent, under the …

decreases the total demand for equities largely depends on risk aversion and the attitude toward intertemporal substitution …. When the elasticity of intertemporal substitution is about 1 and risk aversion is moderate, the aversion to model …

Covariance appears throughout investment management, e.g., in risk reporting and control, portfolio construction, risk … parameters’ mean and covariance to their effect at the investment portfolio level. Forecasted portfolio variance changes from a … risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …