Article
Business, Finance
Tao Tang, Ronghua Luo, Jing Gu
Summary: In this article, we propose an optimal lifetime asset allocation model that considers both long-run risk and time-varying risk aversion. Our model accounts for the uncertainty and correlation of long-run returns and volatility. Based on data from the American Consumer Expenditure Survey and macroeconomic data, we find that an individual's risk attitude generally increases with age and has a significant impact on their asset allocation choice. We also find that correlations between returns and volatility affect an individual's choice and that the economy has a clear business cycle path.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
(2023)
Article
Operations Research & Management Science
A. Bensoussan, Q. Feng, S. P. Sethi
Summary: This paper investigates the coordination of equipment maintenance operations and capital investment strategy in the presence of random equipment failures. It provides a new approach by explicitly modeling the stochastic process of machine failures. The findings suggest that a deterministic policy is optimal for long-term planning with limited replacement opportunities, while a state-contingent policy must be applied for shorter planning horizons with generous replacement budgets.
ANNALS OF OPERATIONS RESEARCH
(2022)
Article
Management
Pieter M. van Staden, Peter A. Forsyth, Yuying Li
Summary: This article proposes a new objective function for constructing dynamic investment strategies with the goal of outperforming an investment benchmark at multiple points of evaluation during the investment time horizon. The proposed objective is intuitive, easy to parameterize, and directly targets a favorable tracking difference of the actively managed portfolio relative to the benchmark.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2024)
Article
Thermodynamics
Weikun Liang, Shunjiang Lin, Mingbo Liu, Xuan Sheng, Yue Pan, Yun Liu
Summary: In this study, a dynamic model for analyzing the failure propagation in a regional integrated energy system (RIES) is proposed. A risk assessment model for cascading failures is established, and a method for calculating the probability of cascading failure chain (CFC) based on Bayes theorem is proposed. Furthermore, a distributionally robust optimization model is developed to calculate the severity of CFC considering the uncertainty and time correlation of renewable power.
Article
Water Resources
Ahmed A. Abokifa, Lina Sela
Summary: This study proposes a computational framework for water distribution infrastructure asset management that combines spatial clustering analysis with predictive modeling of pipe failures. The results show that spatial clustering improves the accuracy of the prediction models.
URBAN WATER JOURNAL
(2023)
Article
Business, Finance
Anil K. Kashyap, Natalia Kovrijnykh, Jian Li, Anna Pavlova
Summary: Evaluating portfolio managers relative to a benchmark has real effects by generating additional demand for assets inside the benchmark, leading to a benchmark inclusion subsidy. This overturns the proposition that an investment's value is independent of the entity considering it, with implications for valuing M&A, spinoffs, and IPOs. The characteristics determining the subsidy, its potential size, and empirical support for the model's predictions are all discussed.
JOURNAL OF FINANCIAL ECONOMICS
(2021)
Article
Green & Sustainable Science & Technology
Igor Kravchuk
Summary: This article examines investment strategy performance in equity funds domiciled in Poland using standard relative and absolute measures. The study finds that these funds may be attractive to conservative investors but are unattractive for riskier investors. The use of the Jensen ratio for evaluating absolute fund performance has limitations.
Review
Engineering, Civil
Eduardo Allen, Seosamh B. Costello, Theunis F. P. Henning, Alondra Chamorro, Tomas Echaveguren
Summary: Transportation asset management is a systematic process for the operation, maintenance, and upgrade of physical transportation assets over their life cycle. However, integrating transportation resilience into this process remains a ongoing challenge for transportation agencies. Given the potential damage and cascading effects of natural hazard events on transportation assets and critical networks, addressing this challenge is crucial.
STRUCTURE AND INFRASTRUCTURE ENGINEERING
(2023)
Article
Management
Ramin P. Baghai, Bo Becker, Stefan Pitschner
Summary: The investment mandates of fixed income funds often rely on credit ratings to classify asset risk, despite the weaknesses revealed in the global financial crisis. The use of ratings has significantly increased over the past two decades, with a decline in the proportion of funds not using ratings since 2010. By 2020, the majority of U.S. and European funds were using ratings, suggesting a lack of practical alternatives.
MANAGEMENT SCIENCE
(2023)
Article
Economics
Praj Xuto, Richard J. Anderson, Daniel J. Graham, Daniel Horcher
Summary: This paper examines the impact of asset management, optimal pricing, and capacity provision on economic efficiency in urban rail networks through a system-level model, highlighting the complexity and challenges of long-term capital planning, policy implementation, and election cycles.
TRANSPORTATION RESEARCH PART A-POLICY AND PRACTICE
(2021)
Article
Business, Finance
Liuchuang Yuan, Jinglu Jiang, Congming Mu, Tuyue Chen
Summary: This study examines the impact of asymmetric adjustment costs on dynamic liquidity management in financially constrained firms. The findings reveal that costly reversibility of capital strengthens firms' precautionary motive, leading to delayed dividend payments and increased fundraising efforts. Expensive disinvestment discourages firms from selling assets in low-cash regions, resulting in under-disinvestment. Additionally, costly reversibility of capital weakens firms' investment needs in high-cash regions, causing under-investment. Furthermore, asymmetric adjustment costs may be a key driver in intensifying the sensitivity of investment to proceeds from asset sales for financially constrained firms.
FINANCE RESEARCH LETTERS
(2023)
Article
Environmental Studies
Noelle Greenwood, Peter Warren
Summary: This paper examines the climate risk management practices of UK asset managers and finds that current strategies have the potential to address barriers to low-carbon investment. However, the use of ESG investment strategies to mitigate climate risks is undefined and requires further research.
INTERNATIONAL JOURNAL OF CLIMATE CHANGE STRATEGIES AND MANAGEMENT
(2022)
Article
Operations Research & Management Science
Wan-Ni Lai, Claire Y. T. Chen, Edward W. Sun
Summary: This study uses quantile regressions to determine the optimal quantiles for extracting firm characteristic based risk factors. By examining 23 developed countries, it is found that the optimal quantiles used to construct common factors may differ between factors, but are similar across the North American, Asia-Pacific, and Europe regions.
ANNALS OF OPERATIONS RESEARCH
(2022)
Article
Environmental Sciences
Sam Barrett, Raghav S. K. Chaitanya
Summary: The research community has yet to provide a framework for private investors to assess the commercial viability of investments in climate adaptation, and current investment cases lack an explanation of how adaptation creates value and cash flows. However, private investments in adaptation can generate value and cash flows to guide investors and those seeking capital.
GLOBAL ENVIRONMENTAL CHANGE-HUMAN AND POLICY DIMENSIONS
(2023)
Article
Economics
Xiao-Lin Li, Guojing Qiu, Hui Ding
Summary: This study examines the causal effect of exchange rate policy uncertainty shock on risk-taking behavior of Chinese energy firms. The findings reveal that the shock increases risk-taking through stimulating government subsidies and financial asset investment. State-owned energy firms are more affected by the shock through government subsidies, while non-state-owned energy firms are more affected through financial asset investment. The impact of the shock is weaker for energy firms with better growth opportunity and governance structure.