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Quantitative energy finance : modeling, pricing, and hedging in energy and commodity markets

Benth, Fred Espen (ed.) - 2014

Persistent link: https://www.econbiz.de/10011459115

Can inflation predict energy price volatility?

Batten, Jonathan A.; Mo, Di; Pourkhanali, Armin - In: Energy economics 129 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014558888

Quantitative Energy Finance : Modeling, Pricing, and Hedging in Energy and Commodity Markets

Benth, Fred Espen - 2014

A review of optimal investment rules in electricity generation -- A Survey of Commodity Markets and Structural Models for Electricity Prices -- Fourier based valuation methods in mathematical finance -- Mathematics of Swing Options: A Survey -- Inference for Markov-regime switching models of...

Persistent link: https://www.econbiz.de/10014016908

Are clean energy markets hedges for stock markets? : a tail quantile connectedness regression

Ziadat, Salem Adel; Mensi, Walid; Al Kharusi, Sami; Vo … - In: Energy economics 136 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10015046934

Energy Technology R&D Portfolio Management : Modeling Uncertain Returns and Market Diffusion

Bistline, John E. - 2016

The allocation of research and development (R&D) funds across a portfolio of programs must simultaneously consider uncertainty from research outcomes and from market acceptance of the resulting technologies. We introduce a stochastic R&D portfolio management framework for addressing both sources...

Persistent link: https://www.econbiz.de/10012988416

Energy price uncertainty and optimal factor intesity : a mean-variance analysis

Abel, Andrew B. - In: Econometrica : journal of the Econometric Society, an … 51 (1983) 6, pp. 1839-1845

Persistent link: https://www.econbiz.de/10001803579

Ambiguous Aggregation of Expert Opinions : The Case of Optimal R&D Investment

Athanassoglou, Stergios; Bosetti, Valentina; de Maere … - 2014

How should a decision-maker allocate R&D funds when a group of experts provides divergent estimates on a technology's potential effectiveness? To address this question, we propose a simple decision-theoretic framework that takes into account ambiguity over the aggregation of expert opinion and a...

Persistent link: https://www.econbiz.de/10014041511

Spectral Risk Measures and Portfolio Selectio

Adam, Alexandre - 2016

of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …

Persistent link: https://www.econbiz.de/10012997402

New Evidence on the Portfolio Balance Approach to Currency Returns

Cavusoglu, Nevin - 2019

the implications of two alternative specifications of preferences: one based on expected utility theory and the other on … prospect theory. It also uses survey data to estimate models of ex-ante rather than ex-post returns. The empirical analysis …. Like earlier studies, we find little support for the expected utility theory model. By contrast, the prospect theory model …

Persistent link: https://www.econbiz.de/10012891242

Mutual Fund Theorem for Continuous Time Markets with Random Coefficients

Dokuchaev, Nikolai - 2011

We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving Brownian motion, and they are supposed to be currently...

Persistent link: https://www.econbiz.de/10013134224