Finance and Economics

Gradient-Driven Solution Based on Indifference Analysis (GIA) for Scenario Modelling Optimization Problem

  • Vincent Yuansang Zha
    • Categories Applications - OR and Management Sciences, Finance and Economics, Nonlinear Optimization Tags , , ,

    This paper introduces an optimization technique for scenario modeling in uncertain business situations, termed the Gradient-Driven Solution Based on Indifference Analysis (GIA). GIA evolves the conventional methods of scenario planning by applying a reverse-strategy approach, where future financial goals are specified, and the path to attain these targets are engineered backward. It adopts economic concepts … Read more

    Simple and Effective: A Deterministic Auction with Support Information

  • Rishikesh Parma
  • Çağıl Koçyiğit
    • Categories Applications - OR and Management Sciences, Finance and Economics, Yield Management Tags , , ,

    We study an auction design problem where a seller aims to sell a single item to multiple bidders with independent private values. The seller knows only an upper bound on these values and does not know their distribution. The objective is to devise a deterministic auction mechanism effective across a broad set of distributions. We … Read more

    Revisiting the fitting of the Nelson-Siegel and Svensson models

  • Dirk Banholzer
  • Jörg Fliege
  • Ralf Werner
    • Categories Finance and Economics, Global Optimization Applications, Nonlinear Systems and Least-Squares Tags , , , , ,

    The Nelson-Siegel and the Svensson models are two of the most widely used models for the term structure of interest rates. Even though the models are quite simple and intuitive, fitting them to market data is numerically challenging and various difficulties have been reported. In this paper, a novel mathematical analysis of the fitting problem … Read more

    Sequential Pricing of Electricity

  • Jacob Mays
    • Categories Applications - OR and Management Sciences, Energy, Finance and Economics Tags , , ,

    This paper investigates the design and analysis of price formation in wholesale electricity markets given variability, uncertainty, non-convexity, and intertemporal operating constraints. The paper’s primary goal is to develop a framework to assess the many resource participation models, reserve product definitions, and enhanced pricing methods that have arisen in U.S. systems, especially in the context … Read more

    A Tailored Derivative Instrument to Mitigate the Price-and-Quantity Risk faced by Wind Power Companies

  • Maria de Fatima Lacerda Barbosa
  • Alexandre Street
  • Bruno F. Santos
    • Categories Energy, Finance and Economics Tags , , , , ,

    The intermittent nature of wind generation combined with the well-known volatility of electricity spot prices expose Wind Power Companies (WPCs) committed to long-term forward contracts to the so-called price-and-quantity risk. Several instruments were designed in the past years to mitigate this risk exposure. However, most of them were mainly constructed to cope with only one … Read more

    Accreditation, Performance, and Credit Risk in Electricity Capacity Markets

  • Jacob Mays
    • Categories Energy, Finance and Economics Tags , , , ,

    Many liberalized electricity markets use capacity mechanisms to ensure that sufficient resources will be available in advance of operations. Recent events have called into question the ability of capacity mechanisms to provide sufficient incentives for reliability. A core resource adequacy challenge is that, given the high value of reliable electricity, penalties for non-performance on capacity … Read more

    On the equilibrium prices of a regular locally Lipschitz exchange economy

  • Xuan Duc Ha Truong
    • Categories Applications - OR and Management Sciences, Finance and Economics Tags , , , , , ,

    We extend classical results by Debreu and Dierker about equilibrium prices of a regular economy with continuously differentiable demand functions/excess demand function to a regular exchange economy with these functions being locally Lipschitz. Our concept of a regular economy is based on Clarke’s concept of regular value and we show that such a regular economy … Read more

    Modeling risk for CVaR-based decisions in risk aggregation

  • Yuriy Zinchenko
    • Categories Applications - OR and Management Sciences, Finance and Economics

    Title Modeling risk for CVaR-based decisions in risk aggregation. Abstract Measuring the risk aggregation is an important exercise for any risk bearing carrier. It is not restricted to evaluation of the known portfolio risk position only, and could include complying with regulatory requirements, diversification, etc. The main difficulty of risk aggregation is creating an underlying … Read more

    Worst-Case Conditional Value at Risk for Asset Liability Management: A Novel Framework for General Loss Functions

  • Alireza Ghahtarani
  • Ahmed Saif
  • Alireza Ghasemi
    • Categories Applications - OR and Management Sciences, Finance and Economics, Robust Optimization Tags , , , ,

    Asset-liability management (ALM) is a challenging task faced by pension funds due to the uncertain nature of future asset returns and interest rates. To address this challenge, this paper presents a new mathematical model that uses aWorst-case Conditional Value-at-Risk (WCVaR) constraint to ensure that the funding ratio remains above a regulator-mandated threshold with a high … Read more