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Portfolio Theory and Electricity Forward Markets
B-L equilibrium model Electricity forward markets Portfolio theory
2016/1/27
In the discussion on the relationship between spot and forward prices in electricity markets, the equilibrium approach has an unambiguous prevalence. It is the relative recency of this market that giv...
A Bayesian Information Criterion for Portfolio Selection
Bayesian Information Criterion Minimal Variance Portfolio Portfolio Selection Risk Diversification Selection Consistency
2016/1/19
The mean-variance theory of Markowitz (1952) indicates that large invest-ment portfolios naturally provide better risk diversification than small ones.However, due to parameter estimation errors, one ...
Worst-case risk of a portfolio
Numerical calculation portfolio risk return on assets average semidefinite programming
2015/8/11
We show how to compute in a numerically efficient way the maximum risk of a portfolio, given uncertainty in the means and covariances of asset returns. This is a semidefinite programming problem, and ...
Portfolio optimization with linear and fixed transaction costs
Investment transaction costs linear transactions
2015/8/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Multi-period portfolio optimization with constraints and transaction costs
Investment combinatorial optimization the horizon assets minimum deviation standard dynamic
2015/8/10
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
Operation and configuration of a storage portfolio via convex optimization
Convex optimization Predictive control Energy management systems
2015/8/7
We consider a portfolio of storage devices which is used to modify a commodity flow so as to minimize an average cost function. The individual storage devices have different parameters that characteri...
Simulating the Interaction of a Renewable Portfolio Standard with Electricity and Carbon Markets
Electricity and Carbon Markets Renewable Portfolio Standard
2015/7/31
The authors ran a game-based simulation of an electricity
market with both an RPS and a cap-and-trade market for
greenhouse gas emissions allowances. High renewable
energy shares reduced and shifte...
Simulating the Interaction of a Renewable Portfolio Standard with Electricity and Carbon Markets
Electricity and Carbon Markets Renewable Portfolio Standard
2015/7/31
The authors ran a game-based simulation of an electricity
market with both an RPS and a cap-and-trade market for
greenhouse gas emissions allowances. High renewable
energy shares reduced and shifte...
We show how to compute in a numerically efficient way the maximum risk of a portfolio, given uncertainty in the means and covariances of asset returns. This is a semidefinite programming problem, and ...
Portfolio Optimization with Linear and Fixed Transaction Costs
Portfolio Optimization Linear Fixed Transaction Costs
2015/7/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Multi-Period Portfolio Optimization with Constraints and Transaction Costs
Multi-Period Portfolio Optimization Constraints Transaction Costs
2015/7/9
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
Operation and Configuration of a Storage Portfolio via Convex Optimization
Convex optimization Predictive control Energy management systems
2015/7/9
We consider a portfolio of storage devices which is used to modify a commodity flow so as to minimize an average cost function. The individual storage devices have different parameters that characteri...
Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model
Labor Supply and Industry Investment Decision Choices and Conditions
2015/5/14
Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model.
Loyalty Based Portfolio Choice
Investment Retirement Decisions Employees Performance Evaluation Business Conglomerates
2015/5/13
I evaluate the effect of loyalty on individuals' portfolio choice using a unique dataset of retirement contributions. I exploit the statutory difference that in 401(k) plans stand alone employees can ...
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding
Optimal Portfolio Rules Continuous Time Consumption Binding
2015/5/13
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding.