4/30/2023 0 Comments Mathematica for finance![]() Even if some anomalies may be present on the aggregated level also, their impact will be weaker. Portfolio formation is motivated by the observed anomalies of individual asset return series. The tests are carried out at an aggregated level, such that subsets of asset returns are combined in equally weighted portfolios in the spirit of Fama and MacBeth. In the present study three alternative transformation analysis models are used to study the stability and invariance problems. In previous studies, the method of transformation analysis has been used to address these issues at the individual asset level. In particular, it concentrates on empirical testing of the stability and cross-sectional invariance of the factor patterns underlying the arbitrage pricing models of two neighbouring security markets. The first is concerned with the methodology of the competing transformation models and the second details the results of the empirical tests. ![]() The firm model was designed in PC/Windows-environment, with access to the LINDO-package in the optimization stage. Even if our sample firm is but one case, the results are indicative of some fundamental principles governing management decision making. When optimizing dividends the model balances between investing and paying out dividends, while optimizing net income results in an intensive investment program. With the data of our sample firm for this paper, optimal dividends and optimal net income presuppose different strategies. Our model has been tested on some major Finnish firms and it seems to give reliable results. The financial constraints include bounds for the decision variables, some fundamental requirements such as nonnegativity of assets and liabilities and, finally, some balance sheet and income statement relationships. The key decision variables are investments, new loans, new issues, loan repayments, dividend payments, depreciations and the level of operations (i.e. Our purpose is to maximize the discounted value of net income and dividend payouts. The key property of our model is the simplicity of generating optimal firm strategies. ![]() ![]() This paper develops and applies a linear, deterministic, multiperiod firm model for strategic planning.
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