Because private equity investment is characterized by non-public and non-transparent, it has many risks in its operation. The article focuses on reviewing the investment risk management of private equity funds, pointing out that phased investment and contractual investment can reduce the moral risk in investment to a certain extent. This article categorizes the common risks of private equity fund investment in China, then discusses the main risks, and puts forward corresponding preventive and management measures for these problems, which aims to further promote the benign development of the private investment industry.
In this paper, we examine the optimal investment-consumption-insurance policies for a wage earner with time-varying risk preferences. The wage earner's objective is to find the optimal investment-consumption-insurance strategies that maximise the expected discounted utilities from intertemporal consumption, legacy and terminal wealth over the uncertain lifetime horizon. Similar to Lichtenstern et al. [Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Mathematics and Financial Economics, 15, 275–313], by using a separation approach, the problem is divided into two sub-problems, including the consumption-legacy problem and the terminal wealth-only problem. For each sub-problem, the analytical expressions for the optimal strategies and value functions are derived by using the martingale method. In such a way, we obtain the optimal strategies for the original problem by merging the solutions of the two individual problems. Finally, we conduct some numerical experiments to illustrate the effects of some parameters on the optimal strategies and obtain some economic insights.
Since the CEV model captures the negative link between a stock price and its volatility of return, it partly corrects the assumption that volatility is constant in the Black-Scholes model. This thesis presents the option price sensitivity to the exponent parameter in the CEV model, and the roles played by strike price, time to expiration and barriers (for Barrier options) in determining this sensitivity. Using closed-form solutions, finite difference, binomial tree and Monte-Carlo methods, the impact of those model parameters are analyzed and presented.
In this paper, we introduced the knowledge of the PACS system, and then carried out a detailed design of Dafang County People's Hospital PACS system. The design has a more rigorous validation and description. Finally, the actual operating results of Dafang County People's Hospital PACS system are given. The results show that, the system meets the actual requirements of the hospital.
Lin et al. (2009) employed the Esscher transform method to price equity-indexed annuities (EIAs) when the dynamic of the market value of a reference asset was driven by a generalized geometric Brownian motion model with regime-switching. Some rare events (release of an unexpected economic figure, major political changes or even a natural disaster in a major economy) can lead to brusque variations in asset prices, and hence we sometimes need to consider jump models. This paper extends the model and analysis in Lin et al. (2009). Specifically, we assume that the financial market has a regime-switching jump-diffusion model, under which we price the point-to-point, the Asian-end, the high water mark and the annual reset EIAs by exploiting the local risk-minimization approach. The effects of the model parameters on the EIAs pricing are illustrated through numerical experiments. Meanwhile, we present the locally risk-minimizing hedging strategies for EIAs.
This article aims to investigate, from an academic perspective, a potential application of dynamic fund protection to protect a mortgagor of a property against the downside risk due to falling property price. The valuation of the dynamic fund protection is discussed through modeling the property price and interest rate, which may be considered to be two key factors having a material impact on the mortgagor. Specifically, a mean-reverting process is used to describe the property price and the Heath-Jarrow-Morton theory is used to model the interest rate. The valuation is done via the use of a forward measure approach. The numerical solution to the pricing partial differential equation is obtained via applying the finite difference method. Numerical results with some model parameters being estimated from the data on an Australian residential property index and Australian zero-coupon yields and forward rates are provided. The implications of the numerical results for the potential implementation of the dynamic fund protection are discussed.
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