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Despite the widespread realization that financial models for contingent claim pricing, asset allocation and risk management depend critically on their underlying assumptions, the vast majority of financial models are based on single probability measures. In such models, asset prices are assumed...
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smooth concave objective functions, and develop a theory for data-driven calibration of the non-negative “robustness …
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In this paper, we study the out-of-sample properties of robust empirical optimization and develop a theory for data …
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US energy system development consistent with the Paris Agreement will depend in part on future fuel prices and technology costs, which are highly uncertain. Energy system optimization models (ESOMs) represent a critical tool to examine clean energy futures under different assumptions. While many...
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