We study the investment behaviour of a producer maximizing the present value of his firm over an infinite time horizon … capital, are assumed known and held fixed. We find the optimal investment behaviour in the form of a feed-back function …

Bottom-up optimization models neglect the inclusion of investment behavior We introduce three investor types that … differ in their investment cost specifications, financing costs, and discounting. This leads to a substantially different … accounting for more differentiated picture of electricity market investment with heterogeneous investor types can provide a …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and … investor is faced with a Markowitz type of risk reward problem at the final horizon, where variance as a measure of risk is …; while in the case in which there is no upper bound, the optimal investment portfolio does not exist, though a three …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … previous investment period can be used in the decision for the next investment period. In this approach, such information is … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …

Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance … appropriate numerical optimisation methods chosen to solve various risk transfer problems. The stability issues are also …

divided for an improvement in the worst-case objective value. Based on this theory, we propose several splitting heuristics …

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some … additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by … characterize optimal solutions of the portfolio problem associated to quasiconvex risk measures. The shape of the efficient …