This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

This paper proposes a closed-form method to evaluate wind turbine system reliability and associated failure consequences. Monte Carlo simulation, a widely used approach for system reliability assessment, usually requires large numbers of computational experiments, while existing analytical...