We assess the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power. Using scenario analysis, we calculate various indexes that attempt to highlight different aspects of the market risk to which the energy producer is...

We present a framework for designing optimal allocation strategies for large stock portfolios using dynamic factor models and multivariate volatility parametrisations. We attempt to elaborate on the fundamental structure of the Fama and French (FF) factor model with a special focus on the time...

Crucial for asset allocation and portfolio management is the estimation of volatility and covariance structure of asset returns. Even the simplest Markowitz portfolio construction requires estimates of the mean returns, variance and covariances. Various studies show that the calculation of...