Leopold Sögner(IHS) wird sein Paper "Optimal High-Risk Investment" vorstellen.

Die Veranstaltung findet in Raum D4.4.008 von 11:00-12:00 Uhr statt.

Abstract: We extend an investment model of Bruss and Ferguson (2002) type, where an investor observes a sequence of T investment alternatives, each endowed with a random quality characteristic. The information available at any period is the current and all prior quality characteristics and the investor has to decide whether to invest in the same period the project shows up. Finally, after the last investment alternative has shown up, those n projects with highest realized quality characteristics generate positive gross-returns which depend on their relative ranking, while the payo s of all other projects are zero. Under these assumptions we obtain the value functions and optimal investment rules for risk-neutral or risk-averse investors. A simulation study demonstrates how optimal investment decisions are a ected by the time horizon and by the attitudes towards risk. In addition, we provide sucient conditions under that the value function is non-increasing in the number of periods T.