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This paper presents a strategy to design a Demand Side Management in the Brazilian energy market, using stochastic optimization and price elasticity of demand. This paper evaluates the proxy value for triggering the Incentive-based program of Demand Response (DR) in a Brazilian utility company. Then, the results show the proxy values for three types of customers, regarding the deficit scenarios. Also,...
Considering the valuation of forest stands based on uncertain revenue from wood sales, concession policy (such as carbon subsidies), and associated costs, the paper focuses on building a stochastic control model to study the forest asset dynamic management. The key contributions are to establish a stochastic control model and to find the optimal dynamic strategy about harvesting quantity in the continual...
Assume the stochastic short-term interest rate follows the Vasieck dynamics. The optimal investment problem for a riskless asset, a rolling horizon bond, and single risky stock is developed. The investment objective is maximizing the expected utility from the terminal wealth with minimum performance constraints. The problem has been solved by the martingale approach. The explicitly optimal investment...
A continuous-time model for life insurance purchase, consumption and investment is proposed. In this paper we obtain the arbitrage value of human capital and characteristics of admissibility using stochastic analysis, show our model is complete, then establish the existence of optimal solutions using convex analysis. Finally, explicit solutions are found for CRRA utilities.
Suppose that a market consists of a foreign exchange deposit and a risky stock, the optimal portfolio problem with consumption is formulated under the continuous-time mean- variance frame. By using the stochastic linear-square control theory, the explicit optimal trading strategies and the closed-form efficient frontier are derived. The numerical example shows that with the increase of the consumption...
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