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Portfolio theory and electricity forward markets
Michalovský, Michal; Paholok, Igor - In: European financial and accounting journal : EFAJ 6 (2011) 1, pp. 76-103
In the discussion on the relationship between spot and forward prices in electricity markets, the equilibrium approach … premium, on several European energy exchanges trading electricity futures. The concept of risk premium, as it is worked out by … electricity markets have been found in Central Europe and Scandinavia, while in Iberian the results are still negative. …
Persistent link: https://www.econbiz.de/10011459962
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Trading time seasonality in electricity futures
Størdal, Ståle; Ewald, Christian; Lien, Gudbrand; … - In: Journal of commodity markets 31 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014477808
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A paradox in time-consistency in the mean-variance problem?
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip - In: Finance and stochastics 23 (2019) 1, pp. 173-207
Persistent link: https://www.econbiz.de/10012023708
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An evolutionary finance model with a risk-free asset
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten - 2017
Evolutionary Finance focuses on questions of "survival and extinction" of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and...
Persistent link: https://www.econbiz.de/10011865449
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Stable value investments
Caswell, John R.; Tourville, Karl - In: The handbook of fixed income securities, (pp. 471-486). 2005
Persistent link: https://www.econbiz.de/10003054656
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Asset pricing under ambiguous information : an empirical game-theoretic analysis
Cassell, Ben-Alexander; Wellman, Michael P. - In: Computational and mathematical organization theory 18 (2012) 4, pp. 445-462
Persistent link: https://www.econbiz.de/10009682592
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Game-Theoretic Model of Financial Markets with Two Risky Assets
Domansky, Victor - 2012
We consider multistage bidding models where two types of risky assets (shares) are traded between two agents that have different information on the liquidation prices of traded assets. These prices are random integer variables that are determined by the initial chance move according to a...
Persistent link: https://www.econbiz.de/10013104210
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Learning Equilibrium Mean-Variance Strategy
Dai, Min; Dong, Yuchao; Jia, Yanwei - 2021
We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time-inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium strategy. Under an...
Persistent link: https://www.econbiz.de/10013240451
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Mean-reverting expected returns and seasonality in the contrarian investment strategy
Jones, Steven L. - 1988
Persistent link: https://www.econbiz.de/10000874844
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Anomalies, risk adjustment and seasonality : Australian evidence
Zhong, Angel; Limkriangkrai, Manapon; Gray, Philip K. - In: International review of financial analysis 35 (2014), pp. 207-218
Persistent link: https://www.econbiz.de/10010530242