Geodesic
Analysis of the financial state of an investor based on the Cantor-Lippman model
Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 26 (2020) no. 1, pp. 293-306 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice du chapitre de livre

The problem of restoring the economic growth and overcoming the stagnation of the Russian economy is associated with escaping the institutional traps. One of these traps is the big difference between interest rates on loans and deposits, which expresses the imperfection of the capital market and prevents an objective assessment of investment projects. In these conditions, the assessment of an investment project becomes dependent on the business environment in which the project is implemented. We propose to use the Cantor–Lippman model of investment at an imperfect capital market to describe the entrepreneurial (investment) environment. In the Cantor–Lippman model, the investment environment is described by a pool of stationary, replicable investment projects. Deflators are built and used to evaluate new investment projects and the financial state of the investor. The asymptotic properties of the deflators and, with their help, the problems of economic growth in Russia are discussed.
Keywords: investments, Cantor–Lippman model, mathematical modeling of economics, NPV, dual problem, investment polynomial, linear programming.
Mots-clés : IRR 
@article{TIMM_2020_26_1_a21,
     author = {A. A. Shananin},
     title = {Analysis of the financial state of an investor based on the {Cantor-Lippman} model},
     journal = {Trudy Instituta matematiki i mehaniki},
     pages = {293--306},
     year = {2020},
     volume = {26},
     number = {1},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TIMM_2020_26_1_a21/}
}
TY  - JOUR
AU  - A. A. Shananin
TI  - Analysis of the financial state of an investor based on the Cantor-Lippman model
JO  - Trudy Instituta matematiki i mehaniki
PY  - 2020
SP  - 293
EP  - 306
VL  - 26
IS  - 1
UR  - http://geodesic.mathdoc.fr/item/TIMM_2020_26_1_a21/
LA  - ru
ID  - TIMM_2020_26_1_a21
ER  - 
%0 Journal Article
%A A. A. Shananin
%T Analysis of the financial state of an investor based on the Cantor-Lippman model
%J Trudy Instituta matematiki i mehaniki
%D 2020
%P 293-306
%V 26
%N 1
%U http://geodesic.mathdoc.fr/item/TIMM_2020_26_1_a21/
%G ru
%F TIMM_2020_26_1_a21
A. A. Shananin. Analysis of the financial state of an investor based on the Cantor-Lippman model. Trudy Instituta matematiki i mehaniki, Trudy Instituta Matematiki i Mekhaniki UrO RAN, Tome 26 (2020) no. 1, pp. 293-306. http://geodesic.mathdoc.fr/item/TIMM_2020_26_1_a21/

[1] Petrov A.A., Pospelov I.G., Shananin A.A., Opyt matematicheskogo modelirovaniya ekonomiki, Energoatomizdat, M., 1996, 544 pp. | MR

[2] Petrov A.A., Pospelov I.G., Shananin A.A., Ot gosplana k neeffektivnomu rynku: matematicheskii analiz evolyutsii rossiiskikh ekonomicheskikh struktur, The Edwin Mellen Press, UK, 1999, 392 pp.

[3] Shananin A.A., “Matematicheskoe modelirovanie investitsii na nesovershennom rynke kapitala”, Tr. In-ta matematiki i mekhaniki UrO RAN, 25:4 (2019), 265–274 | DOI

[4] Cantor D.G., Lipman S.A., “Investment selection with imperfect capital markets”, Econometrica, 51:4 (1983), 1121–1144 | DOI | MR | Zbl

[5] Cantor D.G., Lipman S.A., “Optimal Investment Selection with a Multitude of Projects”, Econometrica, 63:5 (1995), 1231–1240 | DOI | Zbl

[6] Adler L., Gale D., “Arbitrate and growth rate for riskless investments in a stationary economy”, Mathematical Finance, 7:1 (1997), 73–81 | DOI | Zbl

[7] Sonin I.M., “Growth rate, internal rates of return and tunpikes in investment model”, Econ. Theory, 5:3 (1995), 383–400 | DOI | MR | Zbl

[8] Presman E.L., Sonin I.M., Growth rate, internal rates of return and financial bubbles, TsEMI RAN, M., 2000, 33 pp.

[9] Belenkii V.Z., Ekonomicheskaya dinamika: analiz investitsionnykh proektov v ramkakh lineinoi modeli Neimana-Geila, TsEMI RAN, M., 2002, 78 pp.

[10] Vaschenko M.P., Shananin A.A., “Otsenka dokhodnosti pula investitsionnykh proektov v modeli optimalnogo investirovaniya v nepreryvnom vremeni”, Mat. modelirovanie, 24:3 (2012), 70–86

[11] Shananin A.A., Vashchenko M.P., Zhang Sh., “Financial bubbles existence in the Cantor-Lippman model for continuous time”, Lobachevskii J. Math., 39:7 (2018), 929–935 | DOI | MR | Zbl

[12] Oben Zh.-P., Nelineinyi analiz i ego ekonomicheskie prilozheniya, Mir, M., 1988, 264 pp.