The NP-hard nature of cardinality constrained mean-variance portfolio optimization problems has led to a variety of different algorithms with varying degrees of success in reaching optimality given limited computational resources and under the presence of strict time constraints in practice. The...

The January effect is concerned with high stock returns in January, especially by small cap stocks. Transactions costs, especially price pressures, make it difficult to take advantage of this anomaly. However, these costs are minimal in the futures markets. This paper discusses the results of...

A corporation that wants to fully embrace sustainability must address all three pillars of the triple bottom line. Among profit, planet, and people, it is this last category that is hardest to measure directly. When a company has remote locations and cannot directly observe effort, the...

The electric power industry finds itself at a critical juncture - increased regulation of its emissions combined with a shift in U.S. energy policy to emphasize renewable energy. Industry executives must determine the timing and the extent of their investments in clean technology to preserve the...

This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative...

The Kelly Capital Growth Investment Strategy (KCGIS) is to maximize the expected utility of nal wealth with a logarithmic utility function. This approach dates to Bernoulli's 1738 suggestion of log as the utility function arguing that marginal utility was proportional to the reciprocal of...

A basket is a set of instruments that are held together because its statistical profile delivers a desired goal, such as hedging or trading, which cannot be achieved through the individual constituents or even subsets of them. Multiple procedures have been proposed to compute hedging and trading...

We investigate the dividend optimization problem for a company whose surplus process is modeled by a regime-switching compound Poisson model with credit and debit interest. The surplus process is controlled by subtracting the cumulative dividends. The performance of a dividend distribution...

We consider the optimal dividend control problem to find an optimal strategy under the constraint that dividend rates are restricted such that the expected total discounted dividends is maximized for an insurance company. The evolution of the reserve is modeled by a diffusion process with drift...

We study the dividend optimization problem for a company where surplus in the absence of dividend payments follows a Cramér-Lundberg process compounded by constant force of interest. The company controls the times and amounts of dividend payments subject to reserve constraints that dividends...