Optimization on loan-to-value ratios in inventory financing under price fluctuation

Zhou, Yong; Yang, Hualong; Di, Ye; Chen, Meitong

doi:10.1109/ccdc.2017.7978190

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2023

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“…Since the share pledging generates risks, the pledgee cannot determine the pledge rate with the objective of profit maximization alone, which must set a reasonable match between risk and return [ 11 , 12 ]. Considering the price fluctuation of pledged items, literature has verified the impact of factors, such as market price volatility and default risk of pledgor on pledge rate based on the newsboy model and the stochastic volatility model of market demand [ [13] , [14] , [15] ]. Existing literature addressing pledge rate decisions considered only price fluctuations of pledged shares, such as option pricing and VaR methods.…”

Section: Literature Review and Research Issuesmentioning

confidence: 99%