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Portfolio Theory and Electricity Forward Markets
B-L equilibrium model Electricity forward markets Portfolio theory
2016/1/27
In the discussion on the relationship between spot and forward prices in electricity markets, the equilibrium approach has an unambiguous prevalence. It is the relative recency of this market that giv...
Portfolio optimization with linear and fixed transaction costs
Investment transaction costs linear transactions
2015/8/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Loyalty Based Portfolio Choice
Investment Retirement Decisions Employees Performance Evaluation Business Conglomerates
2015/5/13
I evaluate the effect of loyalty on individuals' portfolio choice using a unique dataset of retirement contributions. I exploit the statutory difference that in 401(k) plans stand alone employees can ...
Attracting Flows by Attracting Big Clients: Conflicts of Interest and Mutual Fund Portfolio Choice
Investment Funds Investment Portfolio Conflict of Interests Financial Services Industry
2015/4/22
We explore a new channel for attracting inflows using a unique dataset of corporate 401(k) retirement plans and their mutual fund family trustees. Families secure substantial inflows by being named tr...
R&D Portfolio Strategy,Diversification and Performance:An Information Perspective
Information regimes Technological Diversification Focus R&D Project Portfolio Managemen
2015/4/20
Decisions about how much to diversify an R&D portfolio and the specific areas in which to pursue projects are fundamental to a firm’s R&D strategy. There is some evidence that larger firms diversify t...
Stochastic evolution equations in portfolio credit modelling
credit risky assets large portfolio numerical methods
2011/3/30
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the ...
Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/23
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Max-Plus decomposition supermartingales convex order Application American options portfolio insurance
2010/12/17
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expec...
Feasibility of Portfolio Optimization under Coherent Risk Measures
Feasibility Portfolio Optimization Coherent Risk Measures
2010/12/17
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for ...
The numeraire portfolio in semimartingale financial models
portfolio semimartingale financial models
2010/12/17
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with...
We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determi...