This dissertation examines how households should optimally allocate their portfolio choices between risky stocks and risk-free bonds over their lifetime. Traditional lifecycle models in previous work with normal-distributed stock returns suggest that the allocation toward stocks should start...

In den vergangenen Jahren ist die Untersuchung des Risikomanagements vom Baselkomitee angeregt, um die Kredit- und Bankwesen regelmäßig zu aufsichten. Für viele multivariate Risikomanagementmethoden gibt es jedoch Beschränkungen von: 1) verlässt sich die Kovarianzschätzung auf eine...

In this thesis we propose a risk management methodology to high-dimensional financial portfolios. Instead of estimating the joint density of the portfolios in a high-dimensional space, we are encouraged by using the independent component analysis (ICA) to decompose the dependent risk factors to...

Electricity industry is important for our society and the nation's economic strength, and this dissertation includes two important topics in the industry: electricity market auctioning, and short-term load forecasting. In the first part of this dissertation, an optimization algorithm to solve...