In a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is represented using ellipsoidal uncertainty sets, we derive a closed form...

We employ Monte Carlo analysis to determine the distribution of returns for various electricity generation technologies. Costs and revenues for each technology are calculated by means of a unit commitment and economic dispatch algorithm at hourly resolution. This represents a considerable...

Deterministic capacity planning problems in electricity systems can be solved by comparing technology specific long-term and short-term marginal costs. In an uncertain market environment, Mean-Variance Portfolio (MVP) theory provides a consistent framework to balance risk and return in power...

The cointegration of major financial markets around the globe is well evidenced with strong empirical support. This paper considers the continuous-time mean–variance (MV) asset–liability management (ALM) problem for an insurer investing in an incomplete financial market with cointegrated...