We examined the impact of including sustainability-related constraints in optimal portfolio decision-making. Our analysis covered an investment set containing the components of the S&P500 index from 1993 to 2008. Optimizations were performed according to the classic mean--variance approach,...

We examine the impact of including sustainability related constraints on optimal portfolio selection. Our analysis covers an investment set containing the components of the S&P500 index from 1993 to 2008. The optimizations are performed according to the classical mean-variance approach while...

Corporate social responsibility (CSR) is a multidimensional concept that involves several aspects, ranging from environment to social and governance. Companies aiming to comply with CSR standards have to face challenges that vary from one aspect to the other and from one industry to the other....

Ziel dieses Papers ist es, die derzeitige Diskussion bzgl. des sog. Merit-Order Effektes der erneuerbaren Energien auf den Strompreis kritisch zu beleuchten. Veröffentlichungen, welche diesen Effekt quantifizieren, weisen für die Jahre 2005 und 2006 einen Großhandels-Strompreis senkenden...

This article analyses the flexibility of the German power market with respect to the integration of an increasing share of electricity from renewable energy sources. Flexibility limiting system components, which cause negative prices are explained and illustrated for the German market. Then, the...

We measure, in terms of expectation and variance, the cost of hedging a contingent claim when the hedging portfolio is re-balanced at a discrete set of dates. The basic point of the methodology is to have an integral representation of the payoff of the claim, in other words to be able to write...

Ziel dieses Papers ist es, die derzeitige Diskussion bezueglich des sogenannten 'Merit-Order Effektes' der erneuerbaren Energien auf den Strompreis kritisch zu beleuchten. Veroeffentlichungen, welche diesen Effekt quantifizieren, weisen fuer die Jahre 2005 und 2006 einen Grosshandelsstrompreis...