The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...

This article presents some of the pros and cons of variance and CVaR as portfolio risk measures in mean-risk optimization. While variance is the original risk measure, thoroughly studied for the past 70 years, this article argues that there are practically no reasons for continuing to use...

Policy makers constantly face optimal control problems: what controls allow to achieve certain targets in, e.g., GDP growth or inflation? Conventionally this is done by applying certain linear-quadratic optimization algorithms to dynamic econometric models. Several algorithms extend this...

Increasing renewable generation results in growing supply uncertainty. By now hydrostorages are the most efficient way of smoothing uncertain power supply. In liberalized and competitive markets the valuation of hydro storages investment projects needs to take the market information and...

Land subsidence threatens the living conditions of roughly 1.2 billion people worldwide in deltaic regions characterized by soft top soil. Economic activity in deltaic regions requires lowering the groundwater levels to keep the land sufficiently dry to maintain productivity, which, however,...