Narrow search
Showing 1 - 10 of 106,015
Cover Image
Volatility vs. Downside Risk : Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance
Barro, Diana - 2014
volatility control strategies and volatility target approaches to investment have gained a lot of interest as strategies able to … which no optimization is considered. In this contribution we focus on the role of volatility in downside risk reduction and … target volatility approach, into a multiperiod portfolio optimization model, through the introduction of a local volatility …
Persistent link: https://www.econbiz.de/10013044390
Cover Image
Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
Cover Image
Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479
Persistent link: https://www.econbiz.de/10012053148
Cover Image
Bidding hydropower generation: Integrating short- and long-term scheduling
Fleten, Stein-Erik; Haugstvedt, Daniel; Steinsbø, Jens Arne - Volkswirtschaftliche Fakultät, … - 2011
Bidding of flexible reservoir hydropower in day-ahead (spot) auctions needs to be done under uncertainty of electricity prices and inflow to reservoirs. The presence of reservoirs also means that the short-term problem of determining bids for the next 12–36 hours is a part of a long term...
Persistent link: https://www.econbiz.de/10011259663
Cover Image
The costs of electricity systems with a high share of fluctuating renewables - a stochastic investment and dispatch optimization model for Europe
Nagl, Stephan; Fürsch, Michaela; Lindenberger, Dietmar - 2012
Renewable energies are meant to produce a large share of the future electricity demand. However, the availability of wind and solar power depends on local weather conditions and therefore weather characteristics must be considered when optimizing the future electricity mix. In this article we...
Persistent link: https://www.econbiz.de/10010312745
Cover Image
The costs of electricity systems with a high share of fluctuating renewables - a stochastic investment and dispatch optimization model for Europe
Nagl, Stephan; Fürsch, Michaela; Lindenberger, Dietmar - Energiewirtschaftliches Institut (EWI), Universität zu … - 2012
Renewable energies are meant to produce a large share of the future electricity demand. However, the availability of wind and solar power depends on local weather conditions and therefore weather characteristics must be considered when optimizing the future electricity mix. <p>In this article we...</p>
Persistent link: https://www.econbiz.de/10009392980
Cover Image
Combining stochastic programming and optimal control to solve multistage stochastic optimization problems
Barro, Diana; Canestrelli, Elio - Dipartimento di Economia, Università Ca' Foscari Venezia - 2011
In this contribution we propose an approach to solve a multistage stochastic programming problem which allows us to obtain a time and nodal decomposition of the original problem. This double decomposition is achieved applying a discrete time optimal control formulation to the original stochastic...
Persistent link: https://www.econbiz.de/10009644995
Cover Image
Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization
Barro, Diana; Canestrelli, Elio - EconWPA - 2005
We propose a decomposition method for the solution of a dynamic portfolio optimization problem which fits the formulation of a multistage stochastic programming problem. The method allows to obtain time and nodal decomposition of the problem in its arborescent formulation applying a discrete...
Persistent link: https://www.econbiz.de/10005125637
Cover Image
Downside risk in multiperiod tracking error models
Barro, Diana; Canestrelli, Elio - Dipartimento di Economia, Università Ca' Foscari Venezia - 2012
The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and...
Persistent link: https://www.econbiz.de/10010559986
Cover Image
M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208