Asset liability management under sequential stochastic dominance constraints
Article Download View Asset liability management under sequential stochastic dominance constraints
Article Download View Asset liability management under sequential stochastic dominance constraints
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
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
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
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
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
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
The price of natural gas at wholesale markets in Northwest Europe is influenced by numerous parameters. The USD to EUR exchange rate is one of these parameters. Using the LP-based gas market model WEGA, this paper will examine the impact of USD exchange rates on wholesale natural gas prices in Northwest Europe from 2025 to … Read more
We study several variants of decomposing a symmetric matrix into a sum of a low-rank positive semidefinite matrix and a diagonal matrix. Such decompositions have applications in factor analysis and they have been studied for many decades. On the one hand, we prove that when the rank of the positive semidefinite matrix in the decomposition … Read more
The purpose of this paper is to generalize the framework of activity analysis discussed in Villar (2003) and obtain similar results concerning solvability. We generalize the model due to Villar (2003), without requiring any dimensional requirements on the activity matrices and by introducing a model of activity analysis in which each activity may (or may … Read more