equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an … optimal portfolio based on only one information source (price versus private signal). Asset risk premia satisfy the CAPM with …

generation under consideration of risk. We include a reserve market, a day-ahead market and an intraday market in stochastic … modeling and develop a multi-stage stochastic Mixed Integer Linear Program. We assess the profitability as well as the risk … exposure, quantified by the conditional value at risk metric, of trading strategies following different risk preferences. We …