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We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility.…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
The most commonly accepted model for investors' preferences is expected utility theory. More recently, other theories have emerged and pose new challenges to mathematics. The present paper treats preferences of cumulative prospect theory…
The design of energy markets is a subject of ongoing debate, particularly concerning the choice between the widely adopted Pay-as-Clear (PC) pricing mechanism and the alternative Pay-as-Bid (PB). These mechanisms determine how energy…
Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…
This working paper presents a comprehensive study on the development and analysis of various electricity market models, focusing on continuous, discrete, and fractional-order approaches. The continuous model captures the ongoing…
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
The transition to a fully decarbonised electricity system depends on integrating new technologies that ensure reliability alongside sustainability. However, missing risk markets hinder investment in reliability-enhancing technologies by…
We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…
Financial markets are subject to long periods of polarized behavior, such as bull-market or bear-market phases, in which the vast majority of market participants seem to almost exclusively choose one action (between buying or selling) over…
We study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocation is constrained to lie within a given convex set. We…
Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…
In this paper, the problem of smart grid energy management under stochastic dynamics is investigated. In the considered model, at the demand side, it is assumed that customers can act as prosumers who own renewable energy sources and can…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
The mushrooming of distributed energy resources turns end-users from passive price-takers to active market participants. To manage those massive proactive end-users efficiently, virtual power plant (VPP) as an innovative concept emerges. It…
The participation of renewable, energy storage, and resources with limited fuel inventory in electricity markets has created the need for optimal scheduling and pricing across multiple market intervals for resources with intertemporal…
Market-based instruments such as payments, auctions or tradable permits have been proposed as flexible and cost-effective instruments for biodiversity conservation on private lands. Trading the service of conservation requires one to define…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…