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Surplus Maximization and Optimality
Schlee, Edward E. - 2014
Expected consumer's surplus rarely represents preferences over price lotteries. Still, I give sufficient conditions for policies which maximize aggregate expected surplus to be interim Pareto Optimal. Besides two standard partial equilibrium conditions, I assume that feasible prices satisfy a...
Persistent link: https://www.econbiz.de/10013064210
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Robust CARA Optimization
Chen, Li; Sim, Melvyn - 2021
We propose robust optimization models and their tractable approximations that cater for ambiguity-averse decision makers whose underlying risk preferences are consistent with constant absolute risk aversion (CARA). Specifically, we focus on maximizing the worst-case expected exponential utility...
Persistent link: https://www.econbiz.de/10014087035
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Price-based unit commitment electricity storage arbitrage with piecewise linear price-effects
Brijs, Tom; Geth, Frederik; Siddiqui, Sauleh; Hobbs, … - 2016
Electricity storage plants can be used for many applications, with one of the most studied applications being arbitrage … in the day-ahead market. Although the arbitrage value is related to the presence of price spreads, it also depends on the … effect of (dis)charge actions on prices, as arbitrage generally reduces price spreads by increasing off-peak prices when …
Persistent link: https://www.econbiz.de/10011446870
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Option bounds in discrete time and the pricing of corporate debt
Perrakis, Stylianos - In: Advances in futures and options research : a research annual 2 (1987), pp. 179-207
Persistent link: https://www.econbiz.de/10001081779
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Synthetic Floating Crude Oil Storage and Optimal Statistical Arbitrage : A Model Specification Analysis
Bucca, Andrea; Cummins, Mark - 2012
(TCE) to identify statistical arbitrage trading opportunities. Using Brent and TD3 data, synthetic floating storage … model specification analysis of the optimal statistical arbitrage trading model of Bertram (2010) is performed on this data …
Persistent link: https://www.econbiz.de/10014177324
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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs
Lepinette, Emmanuel - 2012
costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …
Persistent link: https://www.econbiz.de/10013107809
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Arbitrage, linear programming and martingales in securities markets with bid-ask spreads
Ortu, Fulvio - In: Decisions in economics and finance : DEF ; a journal of … 24 (2001) 2, pp. 79-105
Persistent link: https://www.econbiz.de/10001683838
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Utility maximization in an illiquid market
Soner, Halil Mete; Vukelja, Mirjana - 2013
developed and used for numerical studies. No-arbitrage conditions were also discussed …
Persistent link: https://www.econbiz.de/10009750653
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Optimal strategies for operating energy storage in an arbitrage market
Flatley, Lisa; MacKay, Robert S.; Waterson, Michael - 2014
Persistent link: https://www.econbiz.de/10010373199
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Looking for arbitrage or term structures in frictional markets
Li, Zhongfei; Ng, Kai-Wang - In: Internet and network economics : first international …, (pp. 612-621). 2005
Persistent link: https://www.econbiz.de/10003276794