Titlebook: Stochastic Optimization Methods in Finance and Energy; New Financial Produc Marida Bertocchi,Giorgio Consigli,Michael A. H. De Book 2011 Sp

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Dynamic Portfolio Management for Property and Casualty Insurancemulated as a multistage stochastic program (MSP) and the definition of the underlying uncertainty model, including financial as well as insurance risk factors, anticipates the model’s application under stressed liability scenarios. The benefits of a dynamic formulation and the opportunities arising

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Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programmingal value. Beyond financial gains, the advantage of using financial contracts consists in more efficient use of the hydroplant, allowing the possibility of pumping water and ending up with a higher final level of the reservoir.

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Stochastic Equilibrium Models for Generation Capacity Expansionenvironment and may not be easy to accommodate in an optimization context. Specifically we consider the use of plant-specific discount rates that we derive by including stochastic discount rates in the equilibrium model. Linear discount factors only price systematic risk. We therefore complete the d

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