We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model … estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation …

generation under consideration of risk. We include a reserve market, a day-ahead market and an intraday market in stochastic … modeling and develop a multi-stage stochastic Mixed Integer Linear Program. We assess the profitability as well as the risk … exposure, quantified by the conditional value at risk metric, of trading strategies following different risk preferences. We …