Investment and the dynamic cost of income uncertainty: The case of diminishing expectations in agriculture

This paper studies optimal investment and the dynamic cost of income uncertainty, applying a stochastic programming approach. The motivation is given by a case study in Finnish agriculture. The investment decision of a representative farm is modelled as a Markov decision process, extended to account for risk. A numerical framework for studying the dynamic uncertainty cost is presented, modifying the classical expected value of perfect information to a dynamic setting. The uncertainty cost depends on the volatility of income: e.g. with stationary income, the dynamic uncertainty cost corresponds to a dynamic option value of postponing investment. The model can be applied to agricultural policy planning. In the case study, the investment decision is sensitive to risk.     

Investments in EOP-technologies and emissions trading – Results from a linear programming approach and sensitivity analysis

This paper offers a general approach to valuating investments in end-of-pipe-technologies (EOP-technologies) with special regard to an emissions trading scheme. Since investments of this kind affect production, it is necessary to derive the required payments for a financial valuation and the constraints from production theory and production planning. On this basis, it is possible to develop a valuation model. This model considers joint production, activity-level-dependent and -independent payments and specifically includes the indivisibility of the investment. Applying duality theory enables us to examine the determinants of the price ceiling for such an investment. Sensitivity analysis shows that tradable permits have several effects on an investment and do not always encourage environmentally beneficial investments – in particular cases they may even be counterproductive.     

Minimum standards for investment performance: A new perspective on non-life insurer solvency

The aim of this paper is to develop an alternative approach for assessing an insurer’s solvency as a proposal for a standard model for Solvency II. Instead of deriving minimum capital requirements–as is done in solvency regulation–our model provides company-specific minimum standards for risk and return of investment performance, given the distribution structure of liabilities and a predefined safety level. The idea behind this approach is that in a situation of weak solvency, an insurer’s asset allocation can be adjusted much more easily in the short term than can, for example, claims cost distributions, operating expenses, or equity capital. Hence, instead of using separate models for capital regulation and solvency regulation–as is typically done in most insurance markets–our single model will reduce the complexity and costs for insurers as well as for regulators. In this paper, we first develop the model framework and second test its applicability using data from a German non-life insurer.     

我国民间资本投资模型及其实证研究

首先对西方国家投资函数模型进行了综述,在分析这些模型与我国实际情况的基础上建立我国民间投资函数模型,然后运用该模型对我国民间投资进行实证分析。结果表明：本文提出的模型不仅可行而且其预测误差比普通线性回归模型预测误差小得多。     

在线网络借贷投资决策模型及实证研究

P2P网络借贷作为电子商务在金融领域的延伸与应用,近年来得到广大学者的关注.但是目前的理论研究中,鲜有从投资者信息挖掘的角度进行投资决策分析.本文提出一个新颖的方法,即投资者构成分析方法,通过分析贷款的众多投资者信息遴选出最有价值的投资,辅助投资者进行投资决策.首先从投资者的历史投资收益率、风险偏好以及投资经验三个维度构建投资者档案(investor profile),进而基于投资者档案构建投资者构成分析模型,最后通过美国最大的在线网络借贷网站Prosper的数据,对本文提出的构想及模型进行了实证研究.实验结果表明本文提出的利用投资者构成分析的方法辅助投资者进行投资决策是可行的,文中构建的模型表现出良好的预测能力,能够有效地筛选出有价值的投资.