The portfolio selection problem (PSP) concerns the resource allocation to a finite number of
assets. In its classic approach, the problem aims at overcoming a trade-off between the risk …

The major electricity market models include: pools, bilateral contracts and hybrid models.
Pool prices tend to change quickly and variations are usually highly unpredictable. In this …

The first part of this book discusses institutions and mechanisms of algorithmic trading,
market microstructure, high-frequency data and stylized facts, time and event aggregation …

Although the value of portfolios of real options is often affected by both exogenous and
endogenous sources of uncertainty, most existing valuation approaches consider only the …

Multiperiod financial models provide superior capabilities over single-period myopic
approaches but, in general, suffer from the curse of dimensionality. Prominent features …

This paper introduces a portfolio optimization procedure that aims to minimize the intra-
horizon (IH) risk subject to a minimum expected time to achieve a target cumulative return …

We propose an optimal intraday trading algorithm to reduce overall transaction costs by
absorbing price shocks when an online portfolio selection (OPS) method rebalances its …

We assess the ability of minimum-variance portfolio allocation strategies accounting for time-
varying correlation between assets to provide performance benefits relative to an equally …

This paper proposes a new continuous-time optimization solution that enables the
computation of the portfolio problem (based on the utility option pricing and the shortfall risk …

ABSTRACT A stochastic control model for finding an ecologically sound, fit-for-purpose dam
operation policy to suppress bloom of attached algae in its downstream is presented. A …