Optimal Rate Of Return Research Articles

Estimation of Optimal Portfolio Return and Risk on the LQ-45 Index for the 2020-2022 Period Using the Capital Asset Pricing Model (CAPM)

Stocks are one of the financial instruments with fluctuating prices that cannot be predicted accurately, so every investor must be able to estimate returns and risks so that investment objectives can be achieved. The purpose of this study is to determine the estimated return and risk of stock investment through the formation of an optimal portfolio and show that the resulting portfolio is capable of increasing the chances of achieving investment objectives. This research uses stocks listed on the LQ-45 Index for the 2020-2022 period, which can form an optimal portfolio. The method used to form an optimal portfolio is the capital asset pricing model (CAPM) method. The results of this study indicate that there are 14 out of 30 issuers that form an optimal portfolio with an expected portfolio return of 0.52% and a portfolio risk level of 0.26%. The results obtained from this method indicate that by forming an optimal portfolio, investors can diversify the risks that will be obtained with a more optimal rate of return when compared to the rate of return generated by each stock.

Analisis Moving Average Convergence Divergence pada Investasi Saham Syariah saat New Era

This research aims to find out the optimal rate of return on investment at Islamic stocks based on the MACD method during the New Era, with the population of Islamic stocks or companies that included in the Liquid 45 or LQ-45 stock index and also included in Jakarta Islamic Index or JII during October to December 2021, and sample selection using purposive sampling technique, as well as using secondary data obtained from daily data on JPFA stock prices which had the highest stock return values. The results of this research showed that the use of the MACD indicator produced accurate purchase and sell signals on JPFA shares, this indicated that JPFA shares provided buy signals on October 06, November 02 2021 and December 30, 2021. It was proven by the fact that the MACD value was greater than The Signal Line caused result in a Bullish or Uptrend (the stock price signaled a signal that increased, so it was recommended to buy) while the JPFA stock showed a sell signal on October 05, 2021, November 01, 2021, and December 30, 2021 and it was proven by the fact that the MACD value was smaller than Signal Line then there was a Bearish or Downtrend (the stock price gave a signal to go down, it was recommended to sell). So, with the results of this study, technical analysis using the MACD indicator can be recommended to short-term investors to be used in making decisions to buy or sell shares during the New Era.

Quantifying the Bullwhip Effect in closed-loop supply chains: The interplay of information transparencies, return rates, and lead times

The Bullwhip Effect manifests itself in the form of an increased order and inventory variability in the uppermost nodes of the supply chain. This dynamic phenomenon is not yet well understood in closed-loop supply chain settings, despite their growing importance in modern societies pursuing circular economy opportunities. Indeed, the problem-specific literature has provided somewhat conflicting findings. To better understand the Bullwhip Effect in closed-loop systems, we obtain expressions for the order and inventory variance amplification in four archetypes that differ in the structure of information transparency. Interestingly, we observe that the impact of return rates and lead times on the system performance strongly depend on the degree of supply chain visibility. This perspective allows us to revisit discrepancies in prior works. We later move the study from the operational to the economic prism. Here we prove the existence of an optimal return rate, and we derive its expression in the four closed-loop supply chain archetypes. We show that the optimal rate is dependent on the node’s cost structure, the lead times, and the variability of demand. Properties of the different closed-loop systems and relevant managerial implications are also discussed in our work.

Three-layer supply chain policy under sharing recycling responsibility

PurposeFor smooth running of business affairs, there needs to be a coordination among manufacturer, collector and retailer in forward and reverse supply chain. This paper handles the problem of making pricing, collecting and percentage sharing decisions in a closed-loop supply chain. The purpose of this paper is to examine the effect of responsibility sharing percentage on the profits of a manufacturer, a retailer and a collector. The paper further aims to understand the mutual interactions among decision variables and profit functions. It also determines the optimal selling price, optimal time, wholesale price, sharing percentage and optimal return rate in such a manner that the profit function is maximized.Design/methodology/approachThe authors presented a three-echelon model consisting of a manufacturer, a retailer and a collector in the closed-loop supply chain and optimized the profits of each supply chain member. The authors introduced SRR models for the remanufacturing by providing some percentage of physical and financial support to the collector. Optimization techniques have been applied to obtain optimal solutions. Numerical examples and graphical representations of the optimal solutions are provided to illustrate the model.FindingsThis study stresses on profitable value retrieval from returned products, and it discusses how responsibility sharing can improve profitability and reduce the workload of an individual. In total, three main results are found. First, sharing and coordination among chain members can improve collector’s profit. Second, supply chain performance may also improve over time. Third, the profit of each member of the supply chain increases with an increase in sharing percentage up to a certain limit. So, the manufacturer can share the responsibility of the collector under a fixed limit.Research limitations/implicationsThe main limitation of this model is that there is no difference between manufactured and remanufactured products. There are many correlated issues that need to be further investigated. The future study in this direction may include multi-retailer, stochastic demand patterns.Practical implicationsIt is directly utilized by supply chain industries in which coordination among chain members is still needed to maximize profits. This information enables the manufacturer to assist the collector financially or physically for the proper management of the three-layer supply chain. The present work will form a guideline to choose the appropriate parameter(s) and mathematical technique(s) in different situations for remanufacturable products.Social implicationsFrom the management point of view, this study delivers the strongest result to remanufacturing companies and for whom effective and efficient coordination among chain members is vital to the overall performance of the supply chain.Originality/valueThere are very few studies that consider the remanufacturing of used products under a fixed time period. The authors considered selling price-sensitive and time-dependent exponentially declining demand. This model is developed by considering all possible help to a collector from manufacturer to collect used products from consumers. This research complements past research by showing coordination among supply chain members within a fixed time horizon.

Recall Rates of Patients in Endodontic Treatments: A Critical Review.

The number of patients that return for recall appointments has great importance to validate endodontic treatment outcomes. The purpose of this review was to investigate the rate of return on recall and the main factors that influence this rate of return. A literature review was performed in the PubMed database for the years from 1978 to 2017, using the following keywords: recall rate, endodontic treatment, endodontic retreatment, apical surgery. The inclusion criteria were: prospective studies in English, and in vivo research with humans, which included patient return rates. A total of 35 studies that fulfilled the established criteria were selected. The percentage of patients who returned on recall was 56%. More female patients (60%) attended the recall appointments than male (40%). The three main reasons for not returning were: patients did not observe the follow-up appointment (490), not returning due to a lack of interest (99) and changing their address (222). The age of the patients attending the appointments varied from 28.6 to 62 years old, with the highest percentage of patients that returned ranging from 40 to 52.5 years old. According to the literature the optimal rate of return for follow-up treatment should be greater than 80%, for the validity of the research. However, the reality presented in the studies is far from ideal. Many studies do not even mention these rates of return in their methodologies or in their results, which may mask the true treatment success rates.

The optimal rate of return for defined contribution pension systems in a stochastic framework

Abstract This paper deals with the problem of the optimal rate of return to be paid by a defined contribution pension system to its participants’ savings, namely the rate that achieves the goal of the most favorable returns on their contributions jointly with the sustainability of the pension system. We consider defined contribution pension systems provided with a funded component, and for their study we use the “theory of the logical sustainability of pension systems” already developed in several previous works. In this paper, we focus on pension systems in a demographically stable state, whereas the productivity of the active participants and the financial rate of return on the pension system’s fund, rates that constitute the “ingredients” of the optimal rate of return on contributions, are modeled by two stochastic processes. We show that the decisional rule defining the optimal rate of return on contributions is optimal in the sense that it is effective in terms of sustainability, and also efficient in the sense that if the system pays to its participants’ contributions a rate of return that is either higher or lower than the one provided by the rule, then the pension system becomes unsustainable or overcapitalized, respectively.

Sector Coverage of Carbon Market at the Presence of Uncertainty

When there exist uncertainties, different carbon pricing mechanisms usually lead to different results. Some sectors will suffer more in the presence of uncertainties while other sectors suffer less. Thus choosing appropriate sectors to impose low carbon policy would be quite important in order to avoid worse economic outcome. We propose a new indicator which is called “optimal return rate” to facilitate determining the sector coverage. The sector with a low optimal return rate should be given high priority to be imposed low carbon policy and vice versa. We also conduct a numerical simulation using China’s real data to calculate optimal return rates of China’s sectors. Simulation results show that most energy-intensive sectors have quite low optimal return rates and should be first included in either emission trading scheme or carbon tax scheme. Moreover, sectors included in the first stage of building China’s national carbon emission trading scheme are also in accordance with our simulation results. This means the new indicator has great power in guidance of building China’s national carbon emission trading scheme in the future.

Choosing an optimal return rate and a reverse logistics policy from the solution of a constrained LQG problem.

Demand for final products has grown significantly worldwide, particularly, due to the increase of emerging countries on the consumer market. The big problem is that consumer of energy and use of raw material increase in parallel. Consequently, an unsustainable environmental situation will be observed on the next future as arguing some researchers. In order to mitigate such a situation, the reuse of resources can be an interesting initial solution. However, reuse products or materials require a somewhat treatment or remanufacturing process that together with the collection process can be highly expensive. The paper tries to identify a return rate that leads to a minimum lower cost for running a reverse logistics. A chance-constrained LQG problem is used to provide both an optimal return rate and optimal production policy for returnable products. A fictitious company is used as an example of application.

Collective Recycling Responsibility in Closed-Loop Fashion Supply Chains with a Third Party: Financial Sharing or Physical Sharing?

We develop three closed-loop supply chain models where manufacturers can utilize financial or physical support to push a third party to collect the used fashion product for remanufacturing. We first examine two strategies for the collective recycling responsibility (CRR), namely, the financial sharing (FS) and the physical sharing (PS), using the model with no CRR as a benchmark. After that, we conduct a detailed comparison among the three models in terms of the retail price, demand, return rate, and the profits received by the supply chain members. With this study, we find the following. (i) The FS or PS support offered by the manufacturer to the third party will result in a lower retail price and a higher demand. (ii) The optimal return rate with PS scheme is always higher than that without the CRR, and the one with FS scheme is at least as high as that without the CRR. (iii) All the members in the closed-loop supply chain can always benefit from the CRR. In addition, (iv) which scheme of the FS, PS, or no CRR is the best for the supply chain members will depend heavily on the transfer price of the used product.

Effects of Vertical Scaling Methods on Linear Growth Estimation

Vertical scaling is necessary to facilitate comparison of scores from test forms of different difficulty levels. It is widely used to enable the tracking of student growth in academic performance over time. Most previous studies on vertical scaling methods assume relatively long tests and large samples. Little is known about their performance when the sample is small or the test is short, challenges that small testing programs often face. This study examined effects of sample size, test length, and choice of item response theory (IRT) models on the performance of IRT-based scaling methods (concurrent calibration, separate calibration with Stocking–Lord, Haebara, Mean/Mean, and Mean/Sigma transformation) in linear growth estimation when the 2-parameter IRT model was appropriate. Results showed that IRT vertical scales could be used for growth estimation without grossly biasing growth parameter estimates when sample size was not large, as long as the test was not too short (≥20 items), although larger sample sizes would generally increase the stability of the growth parameter estimates. The optimal rate of return in total estimation error reduction as a result of increasing sample size appeared to be around 250. Concurrent calibration produced slightly lower total estimation error than separate calibration in the worst combination of short test length (≤20 items) and small sample size ( n ≤ 100), whereas separate calibration, except in the case of the Mean/Sigma method, produced similar or somewhat lower amounts of total error in other conditions.

Regulation under Asymmetric Information in Water Utilities

Water utilities are reminiscent of network industries and are characterized by important fixed costs. These factors contribute to a single firm serving an area justifying public intervention on pricing. About one-fourth of U.S. water utilities are private and subject to regulation. Regulators are unlikely to be perfectly informed and regulation is unlikely to be costlessly implemented. These inherent imperfections have led economists to consider the incentive properties of regulatory procedures using the economics of information (see David Baron, 1989). The empirical literature on regulation has focused on evaluating the effects of regulation on prices, firms’ costs, efficiency, and innovation in such sectors as airlines, electricity, and energy, as surveyed by Paul L. Joskow and Nancy L. Rose (1989). Few of these empirical studies rely on the so-called theory of regulation. Regarding the water industry, there is an abundant literature on residential water demand, firms’ cost, and their efficiency, given their public-versusprivate nature. Relying on a model with asymmetric information and a sample of California water utilities, Frank A. Wolak (1994) assesses the consumer welfare loss due to asymmetric information and shows that the model with asymmetric information provides a superior description of the cost and demand data to the model under perfect information. Analyzing pricing for residential water is an important policy issue as the sector recently experienced price increases. The problem is even more acute in California because of a high residential demand for water along with population growth, water scarcity, and the probability of severe droughts. Relying on a new dataset of 32 districts in California over the 1995–2000 period, we analyze regulation of private water utilities. For every district, the California Public Utilities Commission (CPUC) chooses a price for water, an access fee per meter, and a rate of return on capital to satisfy firms’ revenue requirements. We assume that the CPUC is imperfectly informed about firms’ labor efficiency. Following David Besanko (1984) and Wolak (1994), we develop a model in which the firm’s capital is used as a screening variable. In particular, the model has the features of a rate-of-return regulation. We show how the rate of return and the access fee can be determined optimally to control firms’ rents. We then adopt a structural approach to analyze the data. A multistep estimator allows us to estimate the key parameters of the model. The empirical results show price inelasticity, an income effect, slightly decreasing returns to scale, and a concentration of efficient firms. The computation of the optimal rate of return and access fee shows that the CPUC would tend to be cautious by allowing a lower-than-optimal rate and access fee. Relying on the estimated parameters, a first experiment evaluates the cost of asymmetric information. The price would be significantly lower, resulting in a gain of consumer surplus. A second experiment consists of simulating the outcome of an optimal price cap following the Farid Gasmi et al. (2002) model. The price cap became a popular regulatory tool in the 1980s such as for electricity, though the incentives resulting in price cap regulation have been questioned by economists. The counterfactual simulations show a price increase, which results in a significant loss in consumer surplus. The increase in firms’ profit does not, however, counterbalance this loss supporting the relevance of the actual rate-of-return mechanism.

Asymptotic bounds for an optimal state-dependent retrial rate of the M/ M/1 queue with returning customers

In this paper, we examine the zero capacity M/ M/1 queue with returning customers. Asymptotic bounds for the optimal state dependent retrial rate are derived, where the state of the process is determined by queue length and server status. This optimal return rate minimizes the penalty cost to a customer for waiting and checking in to verify that the server is busy. It will be shown that the problem reduces to three cases characterized by a linear relationship between four system parameters: customer arrival rate, service rate, competing retrial rate, and cost. In two of these cases, asymptotic bounds are tight.

Inflation and welfare in a stochastic production economy

This paper analyzes the relationship between money and labor supply, and derives money's optimal rate of return when production functions experience stochastic shocks. Increases in money's return increase both the deterministic component and variance of labor supply. Moreover, money's optimal rate is found to differ from both the rate suggested by Friedman and the. rates suggested by others for stochastic but pure endowment economies. Optimal policy is either inflationary or deflationary depending on parameterization.

A theory of risk, return and solvency

In recent years, state regulators and state and federal lawmakers in the United States have become increasingly concerned with issues involving both the price and solvency regulation of insurers. In this article, we develop a risk-theoretic framework for studying both rate of return and solvency issues. Employing a certain class of diffusion processes to model insurer net worth, we use the expected discounted cost of insolvency (EDCI), a generalization of the probability of ruin, in constructing the regulator's objective function. This objective function is then used to solve for the optimal rate of return and the optimal loss-to-net worth ratio.

Optimal Customer Return Rate for an M/M/1 Queueing System with Retrials

The zero capacity M/M/1 queue with returning customers is examined. Performance measures are calculated and an imposed optimal return rate is determined for customers who return until served. The optimal rate is then calculated for an arbitrary customer as a function of the return rate of the other customers, and limiting cases are analyzed. The other customers may then adjust their return rate each time the arbitrary customer adjusts his/hers until a fixed point solution is obtained. A comparison between systems is made.

Exports and Economic Development

A robust empirical determinant of long-term economic growth in many developing countries has been the expansion and diversification of the export sector. The latter, in turn, has been influenced by capital accumulation and economic growth. The growth model developed here explores this interdependence in the context of the “new growth theory”. The analytical results are consistent with empirical regularities observed in the exports-economic growth linkages. The paper also derives a formula for the optimal rate of return to capital in the presence of learning effects and improvement of human resources brought about by export expansion and its interaction with saving and investment.

Exports and Economic Development

A robust empirical determinant of long-term economic growth in many developing countries has been the expansion and diversification of the export sector. The latter, in turn, has been influenced by capital accumulation and economic growth. The growth model developed here explores this interdependence in the context of the 'new growth theory'. The analytical results are consistent with empirical regularities observed in the exports-economic growth linkages. The paper also derives a formula for the optimal rate of return to capital in the presence of learning effects and improvement of human resources brought about by export expansion and its interaction with saving and investment. Several important policy implications are drawn from the analysis.

The Complementarity of Public and Private Capital and the Optimal Rate of Return to Government Investment

I. Optimal government investment under distortion, 653.—II. An application: Corporate income taxation, 656.—III. The impact of depreciation, 661.—IV. Concluding remarks, 662.

Leverage, Exposure Ratios and the Optimal Rate of Return on Capital for the Insurer

The impact of insurance leverage on equity return for property and liability insurers is examined. Two financial models are developed to determine the exposure ratio and associated degree of insurance leverage to maximize the rate of return on insurance stockholder's equity. The optimal degree of insurance leverage is determined by the exposure ratio or quantity of sales which maximizes the rate of return on equity under the financial models specified herein. Accordingly, this study focuses on the use of reserves as a leverage source and attempts to establish a concept of optimal insurance leverage under certain specified conditions. The nature and impact of financial leverage on the return on equity for the non-insurance enterprise have been extensively analyzed in the financial literature.' In contrast, a similar type of leverage available to the non-life insurance company has received little attention in the insurance literature. Although a number of articles on the rate of return of non-life insurance Tapan S. Roy is Associate Director of Corporate Research, The Travelers Insurance Companies and Adjunct Faculty in the School of Business Administration, University of Connecticut. He is President of the Operations Research Society, Valley Chapter, Connecticut. Robert Charles Witt is Associate Professor of Actuarial Science and Insurance in The University of Texas, Austin. He is Secretary of the Risk Theory Seminar and an Assistant Editor of this Journal This paper was presented at the 1974 Annual Meeting of ARIA. The authors would like the acknowledge the constructive reviews of an earlier draft of this paper by Joseph L. Launie, Bernard Shorr, John W. Caron, Lewis J. Spellman, A. J. Senchack, and two anonymous referees. Our special thanks are due to David A. Trespacz who programmed the algorithms to determine the optimal solutions to the models developed in this paper. 'Debt and equity financing are important elements in the capital structure of corporations. Accordingly, the debt to equity ratio has been of interest to financial theorists and analysts. In essence, financial leverage reflects the amount of outside borrowed funds (debt) that the corporation uses in proportion to equity in financing its assets. The purpose for using debt in the capital structure is basically to increase the rate of return on equity over the returns derived from assets. Of course, this result is not obtained unless the return on assets exceeds the relative cost of debt. If the returns on assets are less than the cost of debt, financial leverage is unfavorable and the return on equity is reduced by using it. Thus, leverage can have a favorable or unfavorable impact on the return on equity. A discussion of leverage and appropriate literature references can be found in most corporate finance textbooks. For example, see: J. Fred Weston and Eugene F. Brigham, Managerial Finance (4th edition; New York: Holt, Rinehart and Winston, Inc. 1972), pp. 249-71.