We model the impact of supply and demand on risk premiums in electricity futures, using daily data for 2003-2014. The model provides a satisfactory fit and allows for unspanned economic risk not embedded in the futures price. The spot risk premium and forward bias implied by the model are on...

We study the problem of finding an optimal ordering policy that minimizes the present value of the costs incurred over the infinite horizon in a continuous-time two-products inventory model with fixed setup costs, unit production costs, and linear holding and backlog costs. We first consider a...

I construct a non-parametric pricing kernel with consumption prices and expenditure by decomposing consumer's indirect utility function. This pricing kernel establishes the fundamental connection between the inter-temporal financial asset-holding and the intra-temporal consumption portfolio. I...