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Measuring the competitiveness benefits of a transmission investment policy: The case of the Alberta electricity market
Wholesale Electricity Markets Valuing Transmission Expansions
2015/7/31
Transmission expansions can increase the extent of competition faced by wholesale electricity
suppliers with the ability to exercise unilateral market power. This can cause them to submit offer
curv...
Optimal consumption and investment in incomplete markets with general constraints
Optimal consumption investment incomplete markets
2010/10/22
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with expo...
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/19
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, ...