The overall topic of this thesis is the valuation of power generation assets under energy and risk constraints. Our focus is on the modeling aspect i.e. to find the right balance between accuracy and computational feasibility. We define a new not yet investigated unit commitment problem that introduces an energy constraint to a thermal power plant. We define a continuous stochastic dynamic prog...

he United Nations (UN) Millennium Deve lopmen t Goa ls (MDGs) represent a path-breaking global effort to combat poverty and human deprivation. In comparison with prior attempts, the MDGs are unique in symbolising the first ever global long-term agreement to combat the multiple dimensions of poverty (Sumner & Tiwari 2009), while providing national policymakers with comprehensive and timebound go...

In my previous article, http://www.jot.fm/issues/issue_2004_01/column7, we discussed how large reusable assets could provide the seed to design and build complex solutions. As a quick recap we reused large-grained composite e-business patterns (http://www106.ibm.com/developerworks/patterns/select-pattern.html) within a methodology that was modified to match customer requirements to an appropria...

It is now standard in economics to model natural resources as a special form of capital that can be depleted or accumulated. The following review shows how such an approach can be extended to ecosystems, implying that they are a form of natural asset that produces a flow of beneficial goods and services over time. The review includes a discussion of valuing ecosystem services, focusing on the p...

This paper studies the financing of durable assets in a model with collateral constraints due to limited enforcement. Durability affects the ease of financing: we show that more durable assets require larger down payments of internal funds per unit of capital making them harder to finance, because durability raises the price of an asset and hence the overall financing need more than its collate...

Information and technical applications on the Internet have come to represent great economic values. At the same time it is a well-known fact that the Web and similar digital networks challenge the conventional ways of understanding and managing intellectual property rights. This gives rise to a need for legal advice, but precise answers are rarely found in the law itself. In this context, awar...

We investigate the properties of mean-variance efficient portfolios when the number of assets is large. We show analytically and empirically that the proportion of assets held short converges to 50% as the number of assets grows, and the investment proportions are extreme, with several assets held in large positions. The cost of the no-shortselling constraint increases dramatically with the num...

top 20 ETFs by assets (with a combined total of $541 billion investor dollars) represent more than half of total equity ETF assets, and 17 of those 20 passively track traditional indices. The other three, representing $34 billion in assets, follow dividend strategies.2 invested in passive index funds (all U.S. and world equity mutual funds), but by November 2012, that number had risen to roughl...

——————————————————————————————————— We study optimal portfolio choice in a two-country model where assets represent claims on future consumption and facilitate trade in markets with imperfect credit. Assuming that foreign assets trade at a cost, agents hold relatively more domestic assets. Consequently, agents have larger claims to domestic over foreign consumption. Moreover, foreign assets tur...

This paper investigates how interest rates on liquid assets and excess returns on risky assets are determined when only safe assets can be used as liquid assets when waiting for an informative signal of future payoffs. In particular, we carefully differentiate between a demand for liquid assets while waiting for new information and a demand for safe assets for precautionary reasons. Employing K...