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Many electricity markets exhibit an oligopolistic structure with market participants whose individual trading activities may shift prices essentially. In this context, the question of how to optimally liquidate an existing electricity futures portfolio over a fixed time horizon under the...
Persistent link: https://www.econbiz.de/10012974469
We derive utility maximizing portfolios and consumption rates in electricity futures markets under anticipative information modeled by enlarged filtrations. The emerging optimization exercises are solved by point-wise maximization and a sufficient stochastic maximum principle. We provide...
Persistent link: https://www.econbiz.de/10013049659
The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We propose new and simple financial...
Persistent link: https://www.econbiz.de/10012959215
XVA models for the calculation of CVA, FVA (see for example (Burgard and Kjaer 2013)), KVA(Green, Kenyon, and Dennis 2014), MVA (Green and Kenyon 2014) and TVA (Kenyon and Green 2014a) have frequently been formulated at the counterparty level. However, it is clear that some elements of the...
Persistent link: https://www.econbiz.de/10013031952
Let us suppose that presently unimagined is possible, that “the unexpected may happen” (Marshall, 1920, p. 347). Then “human decisions affecting the future, whether personal, political or economic, cannot depend on strict mathematical expectation since the basis for making such...
Persistent link: https://www.econbiz.de/10012971409
This paper presents a real options model to value the option to invest in a new project, whose value is contingent on two multiplicative stochastic factors behaving accordingly to correlated geometric Brownian motions. A general sensitivity analysis is conducted highlighting the importance of...
Persistent link: https://www.econbiz.de/10014176210
I address the comments made by Ortner (Games 9(4): 93, 2018) in relation to my note “Incentive Systems for Risky Investment Decisions Under Unknown Preferences: Ortner et al. Revisited” (Games 9(2): 26, 2018).
Persistent link: https://www.econbiz.de/10012014919
Ortner et al. (Manage. Account. Res. 36(1):43–50, 2017) propose the State-Contingent Relative Benefit Cost Allocation Scheme as an incentive system for risky investment decisions. The note at hand reveals the information distribution implicitly assumed within the framework of this study. Based...
Persistent link: https://www.econbiz.de/10011849522
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal...
Persistent link: https://www.econbiz.de/10009579176