This paper adopts a real options approach to analyze investment timing and capacity choice for renewable energy projects under different support schemes. The main purpose is to examine investment behavior under the most extensively employed support schemes, namely, feed-in tariffs and renewable...

For electricity market participants trading in sequential markets with differences in price levels and risk exposure, it is relevant to analyze the potential of coordinated bidding. We consider a Nordic power producer who engages in the day-ahead spot market and the hour-ahead balancing market....

We propose a novel regime-switching approach for the simulation of electricity spot prices that is inspired by the class of fundamental models and takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market...

In this paper we consider the problem of selecting an absolute return portfolio. This is a portfolio of assets that is designed to deliver a good return irrespective of how the underlying market (typically as represented by a market index) performs. We present a three-stage mixed-integer...

The literature shows a substantial portion of momentum profits come from illiquid investments and short-selling, entailing abnormal transaction costs. Concentrating on liquid long-only investments, we investigate momentum using index out-performance portfolio selection (via a modified Sortino...