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This paper presents a methodology to define the trading policy of an energy generation agent. The proposed approach uses stochastic programming to represent the uncertainty related to the short-term price fluctuation. The aim of the model (based on possible prices) is to identify the composition of an optimum portfolio in accordance with the decision-maker risk perception. The most important contribution...
Portfolio analysis theory and an econometric wind farm revenue estimation model under limited information are combined for the quantification of the value of the geographic diversity of the wind resource in the profitability of diversified wind farm investments. Investment decisions are driven by a compromise between risk and return. The proposed model draws on actual data to estimate the extent under...
The investment decision-making problem, which makes it possible to distribute capital among real and portfolio investments, is presented. The investment decision-making method under uncertainty is proposed for solving the problem.
Public agencies make significant investments in capital facilities to meet the requirements of their missions. Interest in sustainable building practices has increased over recent years, but obstacles remain to implementing such practices in public construction projects on a regular basis. A primary stumbling block is the difficulty in generating accurate estimates for total cost of ownership of a...
This paper deals with the portfolio selection problem when the expected return rates and risks are fuzzy. Firstly, assuming the transaction cost being taken as V-shaped function, a fuzzy linear portfolio model is established based on the hypothesis that the correlation coefficients of different stock return rates are the same. Then, the fuzzy linear programming problem is transformed into a multi-objective...
The main results here are a pair of social-cognitively significant necessary conditions for spin glass complexity that support rational choice in the social optimization problem under uncertain mean social returns and their correlations:(N1) the random mean social returns must be small relative to correlations, and (N2) the social portfolio weights or commitments to separate social activities cannot...
Portfolio with one risk-free and one risky assets was explored in \cite{BT1995, LO1999, SS2000, Gomes2005, Bassett2004, DGP2008, BG2009, HZ2009} for risk averse investors. Most of them, for example, \cite{BT1995, LO1999, SS2000, Gomes2005, Bassett2004, DGP2008} focus on empirical or numerical studies, except for some optimization problems solved simply by heuristics. Some analytical treatments have...
This paper discusses the VaRU minimization portfolio selection problem assuming that the return rates of risky securities are uncertain variables. Considering the realistic financial market, we propose a new model which adds the integer constraint of the transaction lot. Then the crisp form of the model is given. In the meanwhile, a revised branch-and-bound method is introduced in the paper. Finally,...
An expected utility model is proposed to measure the utility toward fuzzy wealth. Some properties and concepts, such as certainty equivalence are analyzed. Based on maximizing the expected utility, some models are given to consider how to form an optimal portfolio: the first problem on investing in a crisp asset and an uncertainty asset with fuzzy value, the second problem on investing in a set of...
This paper discusses the uncertain portfolio selection problem for the insurer. A new model is proposed assuming that the return rates of risky securities are uncertain variables. Then the crisp forms of the model are given. Finally, each result of two numerical examples shows the application of the model.
Intermittent and uncertain nature of power output from weather-dependent renewable energy sources like solar is a major challenge in integrating them with traditional power grids that mostly consist of reliable power sources. We have created a framework for efficiently managing the weather-related uncertainty risk of solar generators and facilitating their integration into power grids while optimizing...
This paper employs a Monte Carlo based decision-support tool to assess the expected overall generation costs and risks of different thermal plant portfolios with high wind power penetrations. In particular, we present a case study of an electricity industry with Coal, CCGT, OCGT and Wind generation options that faces uncertain future fuel prices, carbon pricing, demand, and plant capital costs. The...
The estimation of operating reserve to guarantee the system security and economic operation is an important task in power system operation. With the rapid increase of wind power installation and its large scale integration into power systems, the uncertainty of wind power should be considered in operating reserve estimation. This paper discusses the risk from wind power forecast error and introduces...
The engagement of new ventures in simultaneous cross-border venture capital with different partners has become a ubiquitous phenomenon in today's international business landscape. This paper reviews and synthesizes the extant cross-border venture capital syndication literature and organizes it around three key research areas: (a) the motivation and decision of cross-border venture capital syndication;(b)...
The electricity exchange include the uncertainty of many aspects, e.g. energy demand. The techniques to risk management used widely in financial markets must be adopted, because of differences between electricity and other products. The uncertainty in presented approach is modelled by random variables, described by probability density function or probability distribution. Risk management involve the...
This paper discusses a multi-period portfolio problem in the situation where security returns are given mainly by experts' judgment and evaluation. The security return rates are regarded as uncertain variables in the situation and the justification of using them is discussed. An uncertain adjusting Risk Index model is proposed in which optimal portfolio adjustments are determined with the objective...
In this paper, we use stock and bond data from seven countries to carry out an empirical study on international asset allocation and compare the advantages and disadvantages of Chinese investors with other investors. The major findings of this paper include: First, adding bonds to the portfolio can significantly reduce portfolio volatility. Second, using the exchange rate forward to hedge exchange...
This paper presents an approach to define the IT service portfolio so that the definition can bring the best interests to the IT Service provider and its customers. During the Service Strategy phase of the IT service life cycle defined in ITIL, the major challenge to be faced by IT executives is the selection of a maximum benefits IT service portfolio. In this paper, the IT service portfolios are...
The purpose of this paper is to discuss the mechanism of efficiency formation of NIS. In view of project, NIS could be regarded as an innovation projects portfolio. Using methodology of system analysis, the result of this paper is: There are three hierarchies including element hierarchy, project hierarchy and system hierarchy; three efficiency variables named as element efficiency, integration efficiency...
In the new power business, the goal of electric generation companies is to commit their services at profit. The committed services will determine the future cash flows and consequently financial performance. However, purely generation assets' cash flows are path-dependent, since the path dependency relies on operational generating units' constraints. This paper focuses on the GenCos' future cash revenue...
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