Abstract
This paper covers the methods for assessing the yield of investment projects. In this article, I consider the modified Cantor-Lipman model, which takes into account the probability of a crisis in the investments market and its impact on investor behavior. In such a formulation, the problem is reduced to the Belman equation. However, I cannot solve this equation for the general case. I investigate the case when a cautious investment strategy, which avoids bankruptcy, is the optimum strategy. In this case, the task of researching a dynamic system, based on a cautious strategy of the investor, is carried out. This paper concentrates on studying the trajectories of a system of balanced growth and the lower bound of the capital growth of the investor is estimated.
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Original Russian Text © M.P. Vashchenko, 2009, published in Matematicheskoe Modelirovanie, 2009, Vol. 21, No. 3, pp. 18–30.
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Vashchenko, M.P. The estimation of the yield of investment projects under uncertain conditions. Math Models Comput Simul 2, 33–45 (2010). https://doi.org/10.1134/S2070048210010047
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DOI: https://doi.org/10.1134/S2070048210010047