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Utility Indifference Pricing: A Time Consistent Approach
Time consistency time inconsistent control incomplete market utility indifference price
2011/3/23
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute ...
A Utility Based Approach to Energy Hedging
Energy Hedging Risk Management Risk Aversion Forecasting
2011/3/31
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one...
Horizon dependence of utility optimizers in incomplete models
Incompleteness Brownian motion
2010/10/20
This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are co...
Backward Stochastic PDEs related to the utility maximization problem
Backward Stochastic PDEs utility maximization problem
2010/12/20
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are descri...
Utility function applied to interregional cooperation: case of the ASEM
interregionalism regional integration the ASEM the EU utility function
2014/3/10
This article presents one possible point of view on the interregional cooperation through the optic of neorealist and neoliberal international relation theories. Applying the constructivist approach t...
The Arizona Utility Investors Association (AUIA) was established in March, 1994, as a grassroots organization to represent the common interests of individual and business investors who own shares or b...
Expecting the Unexpected: Networks, Markets, and the Failure of Electric Utility Restructuring in California
Networks Markets Electric Utility Restructuring
2010/10/8
In this paper, I place California’s disastrous recent experiences with market-oriented restructuring of its electric utility industry in the context of broader historical and economic themes. The hist...
The Economics of Electricity Networks and the Evolution of the U.S. Electric Utility Industry, 1882-1935
The Economics Electricity Networks Evolution the U.S. Electric Utility Industry
2010/10/8
The widespread and costly electricity blackout in the Midwestern and Northeastern United States and Ontario, Canada in August 2003 highlighted the imperfectly constructed North American electricity tr...