The estimation of the yield of the pool of investment projects in the optimal invetsing problem for continuous time

This paper considers the problem of the estimation of the yield of the pool of renewable investment projects. The formulation of the Cantor–Lippman model for continuous time is described in this paper. The result that allows to classify pools of investment projects into the arbitration, the ineffective and the standard is proved. The estimation of the yield is found for each of the classes. The classification of pools and their yield calculation is based on the functions of the upper envelope of the Laplace transform of the investment projects cash flow functions. It is shown that for the case of a standard pool the yield can be obtained by computing the minimal positive root of the upper envelope. The example that demonstrates how the cooperation of developed and emerging economies can be analyzed in the investment projects framework is described.