This study assesses the accuracy of the value-at-risk estimate (VaR). On the basis of posterior distributions of the unknown population parameters, we develop a confidence interval for VaR that reflects the genuine information available about the portfolios for which the VaR is calculated. This...

This paper presents a new approach to portfolio optimisation that we call generalised mean-variance (GMV) analysis. One important case of this approach is based on the stocks m-tile (or quantile): if m = n, where n is the number of stocks, m-tile membership becomes rank. Our analysis is the rank...

Consolidation in many sectors has lead to the formation of “groups of companies”. Extracting all the potential cost savings from these independent or separate operating units is a challenge given asymmetric information. We develop a step-by-step approach that applies regulatory benchmarking...

This paper investigates whether there are systematic performance and efficiency differentials between National Oil Companies (NOCs) and privately-owned oil companies. The dataset is based on a survey published by Energy Intelligence and covers 1,001 firm observation years in the period 1987 to...

This paper models the gold standard as a state contingent commitment rule that is only feasible during peace. It shows that monetary policy during war, when the gold convertibility rule is suspended, can still be credible, if the policy maker's plan is to resume the gold standard at the old par...

The aim of this paper is to test the performance of the standard version of CAPM in an evolutionary framework. We imagine a heterogeneous population of long-lived agents who invest their wealth according to differential porfolio rules and ask what is the fate of those who happen to behave as...

Building on models that represent inter-temporal constraints in the optimal production decisions for electricity generation, the paper analysis the resulting costs and their impact on prices during the day. We linearise the unit commitment problem to facilitate the interpretation of shadow...

This paper uses a bi-level game to model markets for delivery of electrical power on looped transmission networks. It analyzes the effectiveness of an independent system operator (ISO) when generators (and, in some cases, retailers) with market power bid a single parameter of their linear supply...

High fossil fuel prices have rekindled interest in nuclear power. This paper identifies specific nuclear characteristics making it unattractive to merchant generators in liberalised electricity markets, and argues that non-fossil fuel technologies have an overlooked ‘option value’ given fuel...

CWPE0619 (EPRG0602) Xinmin Hu and Daniel Ralph (Feb 2006) Using EPECs to model bilevel games in restructured electricity markets with locational prices We study a bilevel noncooperative game-theoretic model of electricity markets with locational marginal prices. Each player faces a bilevel...