Optimal Dynamic Investment Policies Of A Value Maximizing Firm
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| Author | : Peter M. Kort |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 196 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642489044 |
1.1. Scope of the Book This book is a contribution to the area of "dynamic models of the firm". The motivation for this kind of research is the following: Empirical studies (e.g. Albach (1976)) have shown that the development of the firm over time can be divided into different stages. such as growth. stationarity and contraction. In order to understand and evaluate these stages in a proper way. it is important to develop a suitable theoretical framework. To that end. economists have applied dynamic mathematical techniques. such as optimal control theory. calculus of variations and dynamic programming to design and analyse dynamic models of the firm. In this way. the economic theory of the firm is extended to a dynamic context. Within the field of the dynamics of the firm this book - develops a general investment decision rule. based on the concept "net present value of marginal investment". which is applicable in deterministic dynamic models of the firm; - studies the influence of adjustment costs of investment on optimal dynamic firm behavior; - extends the stochastic dynamic theory of the firm by connecting it with a dynamic version of the Capital Asset Pricing Model. Before elaborating on "the dynamics of the firm". we first review the subject of net present value in the classical analysis.
| Author | : Geert-Jan C.T.van Schijndel |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 224 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642466370 |
This book aims to include the effects of a progressive personal tax into the deterministic dynamic theory of the firm. To this end the author investigates the impact of a progressive personal tax on the optimal dividend, financing and investment policy of a shareholder-controlled, value-maximising firm. More specifically, the principal aim is the justification of the thesis that during each stage of their evolution, firms will be controlled by investors in different tax brackets. With this aim in mind, the author develops a dynamic equilibrium and portfolio theory under certainty, which considers: - the market value of an arbitrary firm such that no excess demand for or supply of shares exists, - the portfolio selection of differently taxed investors, - the succession of differently taxed investors, who possess the shares of any value-maximizing firm, in the course of time, - the optimal resulting policy string and corresponding evolution of a firm in the course of time.
| Author | : Onno van Hilten |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 439 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642778844 |
In this book we open our insights in the Theory of the Firm, obtained through the application of Optimal Control Theory, to a public of scholars and advanced students in economics and applied mathematics. We walk on the micro economic side of the street that is bordered by Theory of the Firm on one side and by Optimal Control Theory on the other, keeping the reader away from all the dead end roads we turned down during our 10 years lasting research. We focus attention on the expressiveness and variety of insights that are obtained through studying only simple models of the firm. In this book mathematics is our tool, insight in optimal corporate policy our goal. Therefore most of the mathematics and calculations is put into appendices and in the main text all attention is on modelling corporate behaviour and on analysing the results of the calculations. So, the main text focusses on micro economics, even more specific: on Theory of the Firm. In that way this book is contrasted from such famous text books in applied Optimal Control with a much broader portfolio of applications, like Feichtinger & Hartl (1986) or with a more rigorous introduction into theory, like Seierstad & Sydsaeter (1987).
| Author | : Umberto Sagliaschi |
| Publisher | : Springer Nature |
| Total Pages | : 206 |
| Release | : 2021-07-29 |
| Genre | : Business & Economics |
| ISBN | : 3030778533 |
The way in which leverage and its expected dynamics impact on firm valuation is very different from what is assumed by the traditional static capital structure framework. Recent work that allows the firm to restructure its debt over time proves to be able to explain much of the observed cross-sectional and time-series variation in leverage, while static capital structure predictions do not. The purpose of this book is to re-characterize the firm’s valuation process within a dynamical capital structure environment, by drawing on a vast body of recent and more traditional theoretical insights and empirical findings on firm evaluation, also including asset pricing literature, offering a new setting in which practitioners and researchers are provided with new tools to anticipate changes in capital structure and setting prices for firm’s debt and equity accordingly.
| Author | : Leonard C Maclean |
| Publisher | : World Scientific |
| Total Pages | : 883 |
| Release | : 2011-02-10 |
| Genre | : Business & Economics |
| ISBN | : 981446581X |
This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) "(D Bernoulli)"A New Interpretation of Information Rate "(J R Kelly, Jr)"Criteria for Choice among Risky Ventures "(H A Latan)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the ?Growth-Optimum-Model? "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hopp)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"
| Author | : J. Wielhouwer |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
This paper studies how the difference between technical depreciation and tax depreciation affects the firm's optimal investment strategy. The objective is maximization of shareholder value. When tax depreciation differs from technical depreciation, an additional investment not only generates value due to the fact that the firm can produce more, but also due to the fact that an additional deferred tax liability arises. Two types of capital stock will therefore affect shareholder value, i.e. the replacement value of the assets and the tax base of the assets. We present a dynamic model of the firm with these two types of capital stock, and study the effects of the tax depreciation rate on the firm's optimal dynamic investment strategy, dividend policy, and long run capital stock level.
| Author | : Sönke Hartmann |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 223 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642586279 |
Approaches to project scheduling under resource constraints are discussed in this book. After an overview of different models, it deals with exact and heuristic scheduling algorithms. The focus is on the development of new algorithms. Computational experiments demonstrate the efficiency of the new heuristics. Finally, it is shown how the models and methods discussed here can be applied to projects in research and development as well as market research.
| Author | : Leopold von Thadden |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 203 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642585566 |
This book is a slightly revised version of my doctoral thesis which I wrote during my time as an assistant at the Faculty of Economics of the University of Magdeburg. I am grateful that I had the opportunity to write my the sis in the stimulating atmosphere of this young and lively faculty. lowe a great amount of gratitude to my supervisor Prof. G. Schwodiauer who con stantly encouraged my work and helped to improve it in many discussions. I also would like to thank Prof. K-H. Paque and Prof. P. Flaschel who, as members of my doctoral committee, commented on various details of this study in a very constructive manner. At various stages of my work I received helpful comments from many colleagues of mine, in particular T. Konig and A. Wohrmann. However, it goes without saying that I retain full responsi bility for all remaining errors. Contents Introduction 1 I Money, inflation, and capital formation in the long run: general remarks 5 1 Summary of the literature: theoretical aspects 7 2 Summary of the literature: empirical aspects 19 3 Further reflections on money 29 II Money, inflation, and capital formation: the perspective of overlapping generations models 43 4 The Diamond model with money as single outside asset 45 4. 1 The model. . . . . . . . 46 4. 2 Equilibrium conditions. 51 4. 3 Policy effects 58 4. 4 Discussion. 61 4. 5 Appendix . 63 5 Variation 1: Imperfect credit markets and asymmetric information 65 5. 1 The model. . . . . . . .
| Author | : Ulrich Schwalbe |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 151 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642584772 |
and should therefore constitute a part of every area of economic 3 theory. The spectrum covered by information economics today ranges from Stigler's search theory4 to industrial economics, including oligopoly theory, innovation, as well as research and develop 5 ment. However, the area information economics is most closely connected with is the theory of optimal contracts, mainly ana 6 lyzed in principal-agent models. Contract theory deals primar ily with the question of how optimal arrangements (contracts) for the purchase and sale of commodities and services between two or more agents should be structured. In these models, it is often assumed that the parties to the contract are informed differently or asymmetrically about relevant variables (e. g. the health of one party in the case of insurance contracts, or the effort in relation to employment contracts). As a result of this asymmetric in formation, phenomena such as moral hazard, adverse selection, signaling, and screening may arise. Frequently, results from con tract theory are referred to when making statements about the effects of asymmetric information on an economy. Models of this kind are often used to explain phenomena such as fixed wages or unemployment, among others. 7 However, such conclusions must be treated with caution for two reasons. In the first place, in these models, a contract (explicit or implicit) is determined by the solution of an optimization prob lem.
| Author | : Michel Thera |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 281 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642457800 |
This book presents recent developments in the field of ill-posed variational problems and variational inequalities, covering a large range of theoretical, numerical and practical aspects. The main topics are: - Regularization techniques for equilibrium and fixed point problems, variational inequalities and complementary problems, - Links between approximation, penalization and regularization, - Bundle methods, nonsmooth optimization and regularization, - Error Bounds for regularized optimization problems.
