This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years...

Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general. Although the problem is common and vitally important in the value creation process of almost any corporation, it has not...

Markowitz for the Masses: Portfolio Construction Techniques -- Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques -- Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models -- Markowitz Applications in the 1990s and the...

Als Reaktion auf die Schwächen des Value-at-Risk-Konzeptes wurden in der Literatur axiomatische Risikomessansätze als Alternative vorgeschlagen. Mario Brandtner charakterisiert die diesen Ansätzen zugrunde liegenden Risikoverständnisse und präsentiert Techniken zu deren Umsetzung bei der...

Pensionomics puts forward a portfolio perspective on the combination of funded and unfunded pension arrangements. In a second-best type argument it is formally shown that a Pay-As-You-Go pension system can substitute the tradability of human capital. While this ideal form of diversification can...