Abstract Conditional Value-at-Risk (CVaR) is a portfolio evaluation function having
appealing features such as sub-additivity and convexity. Although the CVaR function is …

We consider a multi-player situation in an illiquid market in which one player tries to
liquidate a large portfolio in a short time span, while some competitors know of the seller's …

The authors overview the main approaches to the analysis of climate change. Climate
models are based on physical laws and take into account scenarios of greenhouse gas …

We consider the problem of portfolio optimization under VaR risk measure taking into
account transaction costs. Fixed costs as well as impact costs as a nonlinear function of …

The paper considers a problem of modeling the impact of the future climate on the yield of
crops (in the example of spring wheat). The authors have analyzed the sources of climatic …

We consider the problem of optimal position liquidation where the expected cash flow
stream due to transactions is maximized in the presence of temporary or permanent market …

This thesis deals with optimal algorithms for trading of financial securities. It is divided into
four parts: risk-averse execution with market impact, Bayesian adaptive trading with price …

The paper is devoted to crop production adaptation to climate change. It considers the
problem of finding the future optimal structure of the sowing area, considering the possible …

Most equity and derivative exchanges around the world are nowadays organised as order-
driven markets where market participants trade against each other without the help of market …

In this paper, we develop an extended dynamic programming (DP) approach to solve the
problem of minimising execution cost in block trading of securities. To make the problem …