Wind in balancing markets: the role of net demand
|
|
|
- Cameron Neal
- 5 years ago
- Views:
Transcription
1 Wind in balancing markets: the role of net demand Muireann Á. Lynch Economic and Social Research Institute, Dublin October 29, 2015
2 Presentation structure Introduction and motivation Literature review Possible methodologies Toy model Future directions
3 Health warning! This is very much work in progress!
4 Background and motivation Correlation between RES and demand Reduce mean and variance of spot prices
5 Background and motivation Correlation between RES and demand Reduce mean and variance of spot prices High RES at times of high prices?
6 Background and motivation Correlation between RES and demand Reduce mean and variance of spot prices High RES at times of high prices? Higher than usual exposure to balancing market?
7 Background and motivation Figure: Forecast error against wind output
8 Background and motivation Correlation between RES and demand Reduce mean and variance of spot prices High RES at times of high prices? Higher than usual exposure to balancing market? Optimal correlation for wind producers and consumers?
9 Literature Twomey and Neuhoff, 2010
10 Literature Twomey and Neuhoff, 2010 Examines average market prices with and without wind
11 Literature Twomey and Neuhoff, 2010 Examines average market prices with and without wind Wind faces lower average price
12 Literature Twomey and Neuhoff, 2010 Examines average market prices with and without wind Wind faces lower average price Forward contracting does not change this
13 Literature Twomey and Neuhoff, 2010 Examines average market prices with and without wind Wind faces lower average price Forward contracting does not change this Not included: endogenous wind trading, risk aversion, stochasticity
14 Literature Morales et al., 2010
15 Literature Morales et al., 2010 Optimises wind trading day ahead, intraday, balancing
16 Literature Morales et al., 2010 Optimises wind trading day ahead, intraday, balancing Stochastic modelling
17 Literature Morales et al., 2010 Optimises wind trading day ahead, intraday, balancing Stochastic modelling Risk aversion is included (CVAR)
18 Literature Morales et al., 2010 Optimises wind trading day ahead, intraday, balancing Stochastic modelling Risk aversion is included (CVAR) Not included: endogenous prices
19 Literature Baringo and Conejo, 2011
20 Literature Baringo and Conejo, 2011 Optimises wind capacity given market-clearing LMPs
21 Literature Baringo and Conejo, 2011 Optimises wind capacity given market-clearing LMPs Stochastic bilevel model
22 Literature Baringo and Conejo, 2011 Optimises wind capacity given market-clearing LMPs Stochastic bilevel model Not included: wind s trading strategy, risk aversion, balancing market
23 Methodologies Consider wind producer s profit in day ahead and balancing market
24 Methodologies Consider wind producer s profit in day ahead and balancing market Profit determined by market clearing price - bilevel programme
25 Methodologies Consider wind producer s profit in day ahead and balancing market Profit determined by market clearing price - bilevel programme Consider different correlations between wind and demand
26 Day ahead market Linear day ahead price function p DA = D 0 bd (1)
27 Day ahead market p DA = D 0 bd (1) Linear day ahead price function p DA = D 0 b(w DA + Q DA ) (2) In equilibrium, supply equals demand
28 Balancing market p B = ɛ D bd (3) Forecast errors in demand are given by ɛ D, with E[ɛ D ] = 0
29 Balancing market p B = ɛ D bd (3) Forecast errors in demand are given by ɛ D, with E[ɛ D ] = 0 p B = ɛ D b(ɛ w + Q B ) (4) Supply and demand are equal in equilibrium, ɛ w is the forecast error on wind
30 Equilibrium quantities and prices Assuming no operational constraints, P DA = P B
31 Equilibrium quantities and prices Assuming no operational constraints, P DA = P B D 0 b(w DA + Q DA ) = ɛ D b(ɛ w + Q B ) (5)
32 Equilibrium quantities and prices Assuming no operational constraints, P DA = P B D 0 b(w DA + Q DA ) = ɛ D b(ɛ w + Q B ) (5) Assume a quadratic cost function for the marginal generator C(Q) = αq + β 2 Q2
33 Equilibrium quantities and prices Assuming no operational constraints, P DA = P B D 0 b(w DA + Q DA ) = ɛ D b(ɛ w + Q B ) (5) Assume a quadratic cost function for the marginal generator C(Q) = αq + β 2 Q2 pda = αb + β(d 0 bw DA ), QDA b + β = D 0 bw DA α b + β pb = αb + β(d 1 bɛ w ), ɛ Q b + β = D 1 bɛ W α b + β (6) (7)
34 Wind in balancing market Wind s balancing market exposure π B = ɛ w (α + β (ɛ Q )) (8)
35 Wind in balancing market Wind s balancing market exposure π B = ɛ w (α + β (ɛ Q )) (8) Increasing in ɛ Q and Covɛ w, ɛ Q E[π B ] = α 0 + β Cov(ɛ w, ɛ Q ) (9)
36 Wind in balancing market Wind s balancing market exposure π B = ɛ w (α + β (ɛ Q )) (8) Increasing in ɛ Q and Covɛ w, ɛ Q Variance of exposure E[π B ] = α 0 + β Cov(ɛ w, ɛ Q ) (9) Var(π B ) = α 2 σ 2 w + β 2 [Cov(ɛ 2 w, ɛ 2 Q ) + σ2 w σ 2 Q Cov(ɛ w, ɛ Q ) 2 ] + Cov(ɛ 2 w, ɛ Q ) Cov(ɛ w, Cov(ɛ w, ɛ Q )) (10)
37 Wind in balancing market Variance of wind s exposure is a function of the covariance of wind and demand
38 Wind in balancing market Variance of wind s exposure is a function of the covariance of wind and demand Var(π w ) Cov(ɛ w, ɛ Q ) = 2β2 (11)
39 Wind in balancing market Variance of wind s exposure is a function of the covariance of wind and demand Var(π w ) Cov(ɛ w, ɛ Q ) = 2β2 (11) This link has not been studied in the literature so far
40 What s next? Solve for wind s optimal trading strategy day ahead and in balancing market
41 What s next? Solve for wind s optimal trading strategy day ahead and in balancing market Solve subject to market-clearing prices - bilevel problem
42 What s next? Solve for wind s optimal trading strategy day ahead and in balancing market Solve subject to market-clearing prices - bilevel problem Stochasticity and risk-aversion are key
43 What s next? Solve for wind s optimal trading strategy day ahead and in balancing market Solve subject to market-clearing prices - bilevel problem Stochasticity and risk-aversion are key Intraday market can be included
44 What s next? Solve for wind s optimal trading strategy day ahead and in balancing market Solve subject to market-clearing prices - bilevel problem Stochasticity and risk-aversion are key Intraday market can be included Forward contracting and market power can be considered
45 What s next? Solve for wind s optimal trading strategy day ahead and in balancing market Solve subject to market-clearing prices - bilevel problem Stochasticity and risk-aversion are key Intraday market can be included Forward contracting and market power can be considered Any other suggestions?
46 Questions? Thank lynch
Renewable Energy and the Pricing of Electricity Futures
Renewable Energy and the Pricing of Electricity Futures Sebastian Schwenen (TU Munich) & Karsten Neuhoff (DIW Berlin) BELEC 2016, DIW Berlin 1 / 14 Motivation Much research on how renewable energy (wind,
INTERTEMPORAL ASSET ALLOCATION: THEORY
INTERTEMPORAL ASSET ALLOCATION: THEORY Multi-Period Model The agent acts as a price-taker in asset markets and then chooses today s consumption and asset shares to maximise lifetime utility. This multi-period
Session 10: Lessons from the Markowitz framework p. 1
Session 10: Lessons from the Markowitz framework Susan Thomas http://www.igidr.ac.in/ susant susant@mayin.org IGIDR Bombay Session 10: Lessons from the Markowitz framework p. 1 Recap The Markowitz question:
A Structural Model of Continuous Workout Mortgages (Preliminary Do not cite)
A Structural Model of Continuous Workout Mortgages (Preliminary Do not cite) Edward Kung UCLA March 1, 2013 OBJECTIVES The goal of this paper is to assess the potential impact of introducing alternative
Chapter 8: CAPM. 1. Single Index Model. 2. Adding a Riskless Asset. 3. The Capital Market Line 4. CAPM. 5. The One-Fund Theorem
Chapter 8: CAPM 1. Single Index Model 2. Adding a Riskless Asset 3. The Capital Market Line 4. CAPM 5. The One-Fund Theorem 6. The Characteristic Line 7. The Pricing Model Single Index Model 1 1. Covariance
Sovereign default and debt renegotiation
Sovereign default and debt renegotiation Authors Vivian Z. Yue Presenter José Manuel Carbó Martínez Universidad Carlos III February 10, 2014 Motivation Sovereign debt crisis 84 sovereign default from 1975
Vertical Integration and Risk Management. Competitive Markets of Non-Storable Goods
in Competitive Markets of Non-Storable Goods Joint work with René Aïd and Nizar Touzi EDF - R&D and CREST - Dauphine - Princeton The Economics of Energy Markets - IDEI - January 15-16, 2007 Outline Motivation
Discussion of Risks to Price Stability, The Zero Lower Bound, and Forward Guidance: A Real-Time Assessment
Discussion of Risks to Price Stability, The Zero Lower Bound, and Forward Guidance: A Real-Time Assessment Ragna Alstadheim Norges Bank 1. Introduction The topic of Coenen and Warne (this issue) is of
Eco 504, Macroeconomic Theory II Final exam, Part 1, Monetary Theory and Policy, with Solutions
Eco 504, Part 1, Spring 2006 504_F1s_S06.tex Lars Svensson 3/16/06 Eco 504, Macroeconomic Theory II Final exam, Part 1, Monetary Theory and Policy, with Solutions Answer all questions. You have 120 minutes
Practice Problems 1: Moral Hazard
Practice Problems 1: Moral Hazard December 5, 2012 Question 1 (Comparative Performance Evaluation) Consider the same normal linear model as in Question 1 of Homework 1. This time the principal employs
International financial markets
International financial markets Lecture 10, ECON 4330 Nicolai Ellingsen (Adopted from Asbjørn Rødseth) March 13/20, 2017 Nicolai Ellingsen (Adopted from Asbjørn Rødseth) ECON 4330 March 13/20, 2017 1 /
Bank Capital, Agency Costs, and Monetary Policy. Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada
Bank Capital, Agency Costs, and Monetary Policy Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada Motivation A large literature quantitatively studies the role of financial
Real Business Cycles (Solution)
Real Business Cycles (Solution) Exercise: A two-period real business cycle model Consider a representative household of a closed economy. The household has a planning horizon of two periods and is endowed
P s =(0,W 0 R) safe; P r =(W 0 σ,w 0 µ) risky; Beyond P r possible if leveraged borrowing OK Objective function Mean a (Std.Dev.
ECO 305 FALL 2003 December 2 ORTFOLIO CHOICE One Riskless, One Risky Asset Safe asset: gross return rate R (1 plus interest rate) Risky asset: random gross return rate r Mean µ = E[r] >R,Varianceσ 2 =
A Macroeconomic Model with Financial Panics
A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 March 218 1 The views expressed in this paper are those of the authors
Homework 1: Basic Moral Hazard
Homework 1: Basic Moral Hazard October 10, 2011 Question 1 (Normal Linear Model) The following normal linear model is regularly used in applied models. Given action a R, output is q = a + x, where x N(0,
Exercises on the New-Keynesian Model
Advanced Macroeconomics II Professor Lorenza Rossi/Jordi Gali T.A. Daniël van Schoot, daniel.vanschoot@upf.edu Exercises on the New-Keynesian Model Schedule: 28th of May (seminar 4): Exercises 1, 2 and
Comprehensive Exam. August 19, 2013
Comprehensive Exam August 19, 2013 You have a total of 180 minutes to complete the exam. If a question seems ambiguous, state why, sharpen it up and answer the sharpened-up question. Good luck! 1 1 Menu
Derivation Of The Capital Asset Pricing Model Part I - A Single Source Of Uncertainty
Derivation Of The Capital Asset Pricing Model Part I - A Single Source Of Uncertainty Gary Schurman MB, CFA August, 2012 The Capital Asset Pricing Model CAPM is used to estimate the required rate of return
MACROECONOMICS. Prelim Exam
MACROECONOMICS Prelim Exam Austin, June 1, 2012 Instructions This is a closed book exam. If you get stuck in one section move to the next one. Do not waste time on sections that you find hard to solve.
Portfolio Risk Management and Linear Factor Models
Chapter 9 Portfolio Risk Management and Linear Factor Models 9.1 Portfolio Risk Measures There are many quantities introduced over the years to measure the level of risk that a portfolio carries, and each
The Eurozone Debt Crisis: A New-Keynesian DSGE model with default risk
The Eurozone Debt Crisis: A New-Keynesian DSGE model with default risk Daniel Cohen 1,2 Mathilde Viennot 1 Sébastien Villemot 3 1 Paris School of Economics 2 CEPR 3 OFCE Sciences Po PANORisk workshop 7
ECON 815. A Basic New Keynesian Model II
ECON 815 A Basic New Keynesian Model II Winter 2015 Queen s University ECON 815 1 Unemployment vs. Inflation 12 10 Unemployment 8 6 4 2 0 1 1.5 2 2.5 3 3.5 4 4.5 5 Core Inflation 14 12 10 Unemployment
Wind Generators and Market Power: Does it matter who owns them?
Wind Generators and Market Power: Does it matter who owns them? Nihat MISIR Department of Economics, Copenhagen Business School (CBS) December 7, 2012 Abstract Electricity production from wind generators
Covariance Matrix Estimation using an Errors-in-Variables Factor Model with Applications to Portfolio Selection and a Deregulated Electricity Market
Covariance Matrix Estimation using an Errors-in-Variables Factor Model with Applications to Portfolio Selection and a Deregulated Electricity Market Warren R. Scott, Warren B. Powell Sherrerd Hall, Charlton
The science of monetary policy
Macroeconomic dynamics PhD School of Economics, Lectures 2018/19 The science of monetary policy Giovanni Di Bartolomeo giovanni.dibartolomeo@uniroma1.it Doctoral School of Economics Sapienza University
A Macroeconomic Model with Financial Panics
A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 September 218 1 The views expressed in this paper are those of the
Lecture 5 Theory of Finance 1
Lecture 5 Theory of Finance 1 Simon Hubbert s.hubbert@bbk.ac.uk January 24, 2007 1 Introduction In the previous lecture we derived the famous Capital Asset Pricing Model (CAPM) for expected asset returns,
Default risk and risk averse international investors
Default risk and risk averse international investors By Sandra Lizarazo Journal of International Economics, 2013 Presented by Danilo Aristizabal June 14, 2017 Sandra Lizarazo Default risk and risk averse
Earnings Dynamics, Mobility Costs and Transmission of Firm and Market Level Shocks
Earnings Dynamics, Mobility Costs and Transmission of Firm and Market Level Shocks Preliminary and Incomplete Thibaut Lamadon Magne Mogstad Bradley Setzler U Chicago U Chicago U Chicago Statistics Norway
Idiosyncratic risk and the dynamics of aggregate consumption: a likelihood-based perspective
Idiosyncratic risk and the dynamics of aggregate consumption: a likelihood-based perspective Alisdair McKay Boston University March 2013 Idiosyncratic risk and the business cycle How much and what types
Idiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective
Idiosyncratic risk, insurance, and aggregate consumption dynamics: a likelihood perspective Alisdair McKay Boston University June 2013 Microeconomic evidence on insurance - Consumption responds to idiosyncratic
Question 1 Consider an economy populated by a continuum of measure one of consumers whose preferences are defined by the utility function:
Question 1 Consider an economy populated by a continuum of measure one of consumers whose preferences are defined by the utility function: β t log(c t ), where C t is consumption and the parameter β satisfies
Financial Constraints, Competition, and Hedging in Industry Equilibrium
Financial Constraints, Competition, and Hedging in Industry Equilibrium TIM ADAM, SUDIPTO DASGUPTA, and SHERIDAN TITMAN ABSTRACT We analyze the hedging decisions of firms, within an equilibrium setting
Market Liquidity and Performance Monitoring The main idea The sequence of events: Technology and information
Market Liquidity and Performance Monitoring Holmstrom and Tirole (JPE, 1993) The main idea A firm would like to issue shares in the capital market because once these shares are publicly traded, speculators
Consumption and Portfolio Decisions When Expected Returns A
Consumption and Portfolio Decisions When Expected Returns Are Time Varying September 10, 2007 Introduction In the recent literature of empirical asset pricing there has been considerable evidence of time-varying
Asymmetric Information: Walrasian Equilibria, and Rational Expectations Equilibria
Asymmetric Information: Walrasian Equilibria and Rational Expectations Equilibria 1 Basic Setup Two periods: 0 and 1 One riskless asset with interest rate r One risky asset which pays a normally distributed
Imperfect Information and Market Segmentation Walsh Chapter 5
Imperfect Information and Market Segmentation Walsh Chapter 5 1 Why Does Money Have Real Effects? Add market imperfections to eliminate short-run neutrality of money Imperfect information keeps price from
A simple wealth model
Quantitative Macroeconomics Raül Santaeulàlia-Llopis, MOVE-UAB and Barcelona GSE Homework 5, due Thu Nov 1 I A simple wealth model Consider the sequential problem of a household that maximizes over streams
A dynamic model of capital inflow in an infinite horizon framework
A dynamic model of capital inflow in an infinite horizon framework 1 The work jointly done with Pranab Das (CSSSC, Kolkata) and Allena Rohit (ISI, Kolkata) 08 September 2014 1 Stat-Math Unit, Indian Statistical
Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach Gianluca Benigno 1 Andrew Foerster 2 Christopher Otrok 3 Alessandro Rebucci 4 1 London School of Economics and
Asset Pricing in Production Economies
Urban J. Jermann 1998 Presented By: Farhang Farazmand October 16, 2007 Motivation Can we try to explain the asset pricing puzzles and the macroeconomic business cycles, in one framework. Motivation: Equity
Lecture 2. (1) Permanent Income Hypothesis. (2) Precautionary Savings. Erick Sager. September 21, 2015
Lecture 2 (1) Permanent Income Hypothesis (2) Precautionary Savings Erick Sager September 21, 2015 Econ 605: Adv. Topics in Macroeconomics Johns Hopkins University, Fall 2015 Erick Sager Lecture 2 (9/21/15)
Why Do Agency Theorists Misinterpret Market Monitoring?
Why Do Agency Theorists Misinterpret Market Monitoring? Peter L. Swan ACE Conference, July 13, 2018, Canberra UNSW Business School, Sydney Australia July 13, 2018 UNSW Australia, Sydney, Australia 1 /
Optimal Portfolio Selection
Optimal Portfolio Selection We have geometrically described characteristics of the optimal portfolio. Now we turn our attention to a methodology for exactly identifying the optimal portfolio given a set
Introduction Model Results Conclusion Discussion. The Value Premium. Zhang, JF 2005 Presented by: Rustom Irani, NYU Stern.
, JF 2005 Presented by: Rustom Irani, NYU Stern November 13, 2009 Outline 1 Motivation Production-Based Asset Pricing Framework 2 Assumptions Firm s Problem Equilibrium 3 Main Findings Mechanism Testable
Supplemental file: Robustness checks and additional analysis
upplemental file: obustness checks and additional analysis Appendix B: The case with convex increasing marginal opportunity cost We now show that the insight that the intermediary profit π i is unimodal
Risk shocks and monetary policy in the new normal
Risk shocks and monetary policy in the new normal Martin Seneca Bank of England Workshop of ESCB Research Cluster on Monetary Economics Banco de España 9 October 17 Views expressed are solely those of
Household income risk, nominal frictions, and incomplete markets 1
Household income risk, nominal frictions, and incomplete markets 1 2013 North American Summer Meeting Ralph Lütticke 13.06.2013 1 Joint-work with Christian Bayer, Lien Pham, and Volker Tjaden 1 / 30 Research
Consumption and Asset Pricing
Consumption and Asset Pricing Yin-Chi Wang The Chinese University of Hong Kong November, 2012 References: Williamson s lecture notes (2006) ch5 and ch 6 Further references: Stochastic dynamic programming:
ECO 317 Economics of Uncertainty Fall Term 2009 Tuesday October 6 Portfolio Allocation Mean-Variance Approach
ECO 317 Economics of Uncertainty Fall Term 2009 Tuesday October 6 ortfolio Allocation Mean-Variance Approach Validity of the Mean-Variance Approach Constant absolute risk aversion (CARA): u(w ) = exp(
Graduate Microeconomics II Lecture 7: Moral Hazard. Patrick Legros
Graduate Microeconomics II Lecture 7: Moral Hazard Patrick Legros 1 / 25 Outline Introduction 2 / 25 Outline Introduction A principal-agent model The value of information 3 / 25 Outline Introduction A
Simulation of delta hedging of an option with volume uncertainty. Marc LE DU, Clémence ALASSEUR EDF R&D - OSIRIS
Simulation of delta hedging of an option with volume uncertainty Marc LE DU, Clémence ALASSEUR EDF R&D - OSIRIS Agenda 1. Introduction : volume uncertainty 2. Test description: a simple option 3. Results
Financial Mathematics III Theory summary
Financial Mathematics III Theory summary Table of Contents Lecture 1... 7 1. State the objective of modern portfolio theory... 7 2. Define the return of an asset... 7 3. How is expected return defined?...
Heterogeneous Firm, Financial Market Integration and International Risk Sharing
Heterogeneous Firm, Financial Market Integration and International Risk Sharing Ming-Jen Chang, Shikuan Chen and Yen-Chen Wu National DongHwa University Thursday 22 nd November 2018 Department of Economics,
Effects of Wealth and Its Distribution on the Moral Hazard Problem
Effects of Wealth and Its Distribution on the Moral Hazard Problem Jin Yong Jung We analyze how the wealth of an agent and its distribution affect the profit of the principal by considering the simple
Exam #2 Review Questions (Answers) ECNS 303 October 31, 2011
Exam #2 Review Questions (Answers) ECNS 303 October 31, 2011 1.) For Ch. 9 and 10: Review your Ch. 9 and 10 notes, Quiz #6, and any practice problems that were assigned for Ch. 10. 2.) Exogenous vs. Endogenous
Applications of Linear Programming
Applications of Linear Programming lecturer: András London University of Szeged Institute of Informatics Department of Computational Optimization Lecture 8 The portfolio selection problem The portfolio
What is Cyclical in Credit Cycles?
What is Cyclical in Credit Cycles? Rui Cui May 31, 2014 Introduction Credit cycles are growth cycles Cyclicality in the amount of new credit Explanations: collateral constraints, equity constraints, leverage
Problem Set: Contract Theory
Problem Set: Contract Theory Problem 1 A risk-neutral principal P hires an agent A, who chooses an effort a 0, which results in gross profit x = a + ε for P, where ε is uniformly distributed on [0, 1].
Competition in Electricity Markets with Renewable Sources
Competition in Electricity Markets with Renewable Sources Ali Kakhbod and Asu Ozdaglar Laboratory for Information and Decision Systems Electrical Engineering and Computer Science Department Massachusetts
Interest Rate Smoothing and Calvo-Type Interest Rate Rules: A Comment on Levine, McAdam, and Pearlman (2007)
Interest Rate Smoothing and Calvo-Type Interest Rate Rules: A Comment on Levine, McAdam, and Pearlman (2007) Ida Wolden Bache a, Øistein Røisland a, and Kjersti Næss Torstensen a,b a Norges Bank (Central
Heterogeneous borrowers in quantitative models of sovereign default
Heterogeneous borrowers in quantitative models of sovereign default J.C. Hatchondo, L. Martinez and H. Sapriza October, 2012 1 / 25 Elections and Sovereign Bond in Brasil 2 / 25 Stylized facts Declaration
Quantitative Risk Management
Quantitative Risk Management Asset Allocation and Risk Management Martin B. Haugh Department of Industrial Engineering and Operations Research Columbia University Outline Review of Mean-Variance Analysis
Carnegie Mellon University Graduate School of Industrial Administration
Carnegie Mellon University Graduate School of Industrial Administration Chris Telmer Winter 2005 Final Examination Seminar in Finance 1 (47 720) Due: Thursday 3/3 at 5pm if you don t go to the skating
Portfolio Optimization. Prof. Daniel P. Palomar
Portfolio Optimization Prof. Daniel P. Palomar The Hong Kong University of Science and Technology (HKUST) MAFS6010R- Portfolio Optimization with R MSc in Financial Mathematics Fall 2018-19, HKUST, Hong
ECON 4325 Monetary Policy and Business Fluctuations
ECON 4325 Monetary Policy and Business Fluctuations Tommy Sveen Norges Bank January 28, 2009 TS (NB) ECON 4325 January 28, 2009 / 35 Introduction A simple model of a classical monetary economy. Perfect
Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis
Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis A. Buss B. Dumas R. Uppal G. Vilkov INSEAD INSEAD, CEPR, NBER Edhec, CEPR Goethe U. Frankfurt
Selling Platforms. Hemant K. Bhargava UC Davis. with Olivier Rubel Platforms Symposium, Boston, July 2016
Selling Platforms Hemant K. Bhargava UC Davis with Olivier Rubel Platforms Symposium, Boston, July 2016 Hemant K. Bhargava UC Davis 07/14/2016 Selling Platforms 1 / 13 SELLING PLATFORMS exciting part of
Portfolio Optimization using Conditional Sharpe Ratio
International Letters of Chemistry, Physics and Astronomy Online: 2015-07-01 ISSN: 2299-3843, Vol. 53, pp 130-136 doi:10.18052/www.scipress.com/ilcpa.53.130 2015 SciPress Ltd., Switzerland Portfolio Optimization
Time-Varying Employment Risks, Consumption Composition, and Fiscal Policy
1 / 38 Time-Varying Employment Risks, Consumption Composition, and Fiscal Policy Kazufumi Yamana 1 Makoto Nirei 2 Sanjib Sarker 3 1 Hitotsubashi University 2 Hitotsubashi University 3 Utah State University
Managing Capital Flows in the Presence of External Risks
Managing Capital Flows in the Presence of External Risks Ricardo Reyes-Heroles Federal Reserve Board Gabriel Tenorio The Boston Consulting Group IEA World Congress 2017 Mexico City, Mexico June 20, 2017
ECON106P: Pricing and Strategy
ECON106P: Pricing and Strategy Yangbo Song Economics Department, UCLA June 30, 2014 Yangbo Song UCLA June 30, 2014 1 / 31 Game theory Game theory is a methodology used to analyze strategic situations in
Optimal trading strategies for wind power producers in futures and short-term electricity markets
WIND ENERGY Wind Energ. 2017; 00:1 14 RESEARCH ARTICLE Optimal trading strategies for wind power producers in futures and short-term electricity markets Athanasios Papakonstantinou 1, Georgia Champeri,
An Empirical Examination of the Electric Utilities Industry. December 19, Regulatory Induced Risk Aversion in. Contracting Behavior
An Empirical Examination of the Electric Utilities Industry December 19, 2011 The Puzzle Why do price-regulated firms purchase input coal through both contract Figure and 1(a): spot Contract transactions,
A Macroeconomic Framework for Quantifying Systemic Risk. June 2012
A Macroeconomic Framework for Quantifying Systemic Risk Zhiguo He Arvind Krishnamurthy University of Chicago & NBER Northwestern University & NBER June 212 Systemic Risk Systemic risk: risk (probability)
Optimal Negative Interest Rates in the Liquidity Trap
Optimal Negative Interest Rates in the Liquidity Trap Davide Porcellacchia 8 February 2017 Abstract The canonical New Keynesian model features a zero lower bound on the interest rate. In the simple setting
A simple equilibrium model for commodity markets
A simple equilibrium model for commodity markets Ivar Ekeland, Delphine Lautier, Bertrand Villeneuve Chair Finance and Sustainable Development Fime Lab University Paris-Dauphine Commodity market Commodity
A model for a large investor trading at market indifference prices
A model for a large investor trading at market indifference prices Dmitry Kramkov (joint work with Peter Bank) Carnegie Mellon University and University of Oxford 5th Oxford-Princeton Workshop on Financial
Export and Hedging Decisions under Correlated. Revenue and Exchange Rate Risk
Export and Hedging Decisions under Correlated Revenue and Exchange Rate Risk Kit Pong WONG University of Hong Kong February 2012 Abstract This paper examines the behavior of a competitive exporting firm
The Welfare Cost of Asymmetric Information: Evidence from the U.K. Annuity Market
The Welfare Cost of Asymmetric Information: Evidence from the U.K. Annuity Market Liran Einav 1 Amy Finkelstein 2 Paul Schrimpf 3 1 Stanford and NBER 2 MIT and NBER 3 MIT Cowles 75th Anniversary Conference
Internet Appendix to: Common Ownership, Competition, and Top Management Incentives
Internet Appendix to: Common Ownership, Competition, and Top Management Incentives Miguel Antón, Florian Ederer, Mireia Giné, and Martin Schmalz August 13, 2016 Abstract This internet appendix provides
A Macroeconomic Framework for Quantifying Systemic Risk
A Macroeconomic Framework for Quantifying Systemic Risk Zhiguo He, University of Chicago and NBER Arvind Krishnamurthy, Northwestern University and NBER December 2013 He and Krishnamurthy (Chicago, Northwestern)
A Model of Capital and Crises
A Model of Capital and Crises Zhiguo He Booth School of Business, University of Chicago Arvind Krishnamurthy Northwestern University and NBER AFA, 2011 ntroduction ntermediary capital can a ect asset prices.
Introduction to DSGE Models
Introduction to DSGE Models Luca Brugnolini January 2015 Luca Brugnolini Introduction to DSGE Models January 2015 1 / 23 Introduction to DSGE Models Program DSGE Introductory course (6h) Object: deriving
Labor Economics Field Exam Spring 2011
Labor Economics Field Exam Spring 2011 Instructions You have 4 hours to complete this exam. This is a closed book examination. No written materials are allowed. You can use a calculator. THE EXAM IS COMPOSED
Interest Rates, Market Power, and Financial Stability
Interest Rates, Market Power, and Financial Stability Rafael Repullo (joint work with David Martinez-Miera) Conference on Financial Stability Banco de Portugal, 17 October 2017 Introduction (i) Session
Multitask, Accountability, and Institutional Design
Multitask, Accountability, and Institutional Design Scott Ashworth & Ethan Bueno de Mesquita Harris School of Public Policy Studies University of Chicago 1 / 32 Motivation Multiple executive tasks divided
Can you do better than cap-weighted equity benchmarks?
R/Finance 2011 Can you do better than cap-weighted equity benchmarks? Guy Yollin Principal Consultant, r-programming.org Visiting Lecturer, University of Washington Krishna Kumar Financial Consultant Yollin/Kumar
Optimal Trading Strategy With Optimal Horizon
Optimal Trading Strategy With Optimal Horizon Financial Math Festival Florida State University March 1, 2008 Edward Qian PanAgora Asset Management Trading An Integral Part of Investment Process Return
Home Ownership, Savings and Mobility Over The Life Cycle
Introduction Model Results Home Ownership, Savings and Mobility Over The Life Cycle Jonathan Halket Gopal Vasudev NYU January 28, 2009 Jonathan Halket, Gopal Vasudev To Rent or To Own Introduction 30 percent
Bank Liquidity and the Cost of Debt
Bank Liquidity and the Cost of Debt Sam Miller and Rhiannon Sowerbutts Columbia and TCH Liquidity Conference February 2018 Miller, Sowerbutts Bank Liquidity and the Cost of Debt Nov 2017 1 / 18 Our Paper
PROBLEM SET 7 ANSWERS: Answers to Exercises in Jean Tirole s Theory of Industrial Organization
PROBLEM SET 7 ANSWERS: Answers to Exercises in Jean Tirole s Theory of Industrial Organization 12 December 2006. 0.1 (p. 26), 0.2 (p. 41), 1.2 (p. 67) and 1.3 (p.68) 0.1** (p. 26) In the text, it is assumed
Efficiency Wage. Economics of Information and Contracts Moral Hazard: Applications and Extensions. Financial Contracts. Financial Contracts
Efficiency Wage Economics of Information and Contracts Moral Hazard: Applications and Extensions Levent Koçkesen Koç University A risk neutral agent working for a firm Assume two effort and output levels
Monetary Economics Final Exam
316-466 Monetary Economics Final Exam 1. Flexible-price monetary economics (90 marks). Consider a stochastic flexibleprice money in the utility function model. Time is discrete and denoted t =0, 1,...
Optimal Credit Market Policy. CEF 2018, Milan
Optimal Credit Market Policy Matteo Iacoviello 1 Ricardo Nunes 2 Andrea Prestipino 1 1 Federal Reserve Board 2 University of Surrey CEF 218, Milan June 2, 218 Disclaimer: The views expressed are solely
Optimal investments under dynamic performance critria. Lecture IV
Optimal investments under dynamic performance critria Lecture IV 1 Utility-based measurement of performance 2 Deterministic environment Utility traits u(x, t) : x wealth and t time Monotonicity u x (x,
Problem Set 2. Theory of Banking - Academic Year Maria Bachelet March 2, 2017
Problem Set Theory of Banking - Academic Year 06-7 Maria Bachelet maria.jua.bachelet@gmai.com March, 07 Exercise Consider an agency relationship in which the principal contracts the agent, whose effort
1 Solutions to Homework 3
1 Solutions to Homework 3 1.1 163.1 (Nash equilibria of extensive games) 1. 164. (Subgames) Karl R E B H B H B H B H B H B H There are 6 proper subgames, beginning at every node where or chooses an action.
Sang-Wook (Stanley) Cho
Beggar-thy-parents? A Lifecycle Model of Intergenerational Altruism Sang-Wook (Stanley) Cho University of New South Wales March 2009 Motivation & Question Since Becker (1974), several studies analyzing