Blar i Articles (FOR) på emneord "VDP::Social science: 200::Economics: 210::Business: 213"
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A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting
(Journal article; Peer reviewed, 2019)In this paper, we propose a likelihood ratio based method to evaluate density forecasts which can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. Unlike the well‐known Berkowitz ... -
A Maximum Principle Approach to Risk Indifference Pricing with Partial Information
(Journal article, 2008)We consider the problem of risk indifference pricing on an incomplete market, namely on a jump diffusion market where the controller has limited access to market information. We use the maximum principle for stochastic ... -
An analysis of maintenance schedules for public facilities
(Journal article; Peer reviewed, 2019)We present a flexible, formal framework for maintenance scheduling for public facilities. Key features of the model include an accelerating deterioration scheme, a general utility measure, and real estate market effects ... -
Dead Battery? Wind Power, the Spot Market, and Hydropower Interaction in the Nordic Electricity Market
(Journal article; Peer reviewed, 2013)It is well established within both the economics and power system engineering literature that hydropower can act as a complement to large amounts of intermittent energy. In particular hydropower can act as a “battery” where ... -
Duopolistic competition under risk aversion and uncertainty
(Journal article; Peer reviewed, 2014-07-16)A monopolist typically defers entry into an industry as both price uncertainty and the level of risk aversion increase. By contrast, the presence of a rival typically hastens entry under risk neutrality. Here, we examine ... -
Optimal control with partial information for stochastic Volterra equations
(Journal article; Peer reviewed, 2010)In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus ... -
Relational Contracts, Multiple Agents, and Correlated Outputs
(Journal article; Peer reviewed, 2019)We analyze relational contracts between a principal and a set of risk-neutral agents whose outputs are correlated. When only the agents’ aggregate output can be observed, a team incentive scheme is shown to be optimal, ... -
Scrapping a wind turbine: Policy changes, scrapping incentives and why wind turbines in good locations get scrapped first
(Journal article; Peer reviewed, 2014)The most common reason for scrapping a wind turbine in Denmark is to make room for a newer turbine. The decision to scrap a wind turbine is then highly dependent on an opportunity cost that comes from the interaction of ... -
When energy efficiency is secondary: The case of Offshore Support Vessels
(Journal article; Peer reviewed, 2019)Offshore Support Vessels (OSVs) deal with time-sensitive logistics and sophisticated marine operations for high-value offshore oil and gas installations. We investigate whether this creates preferences that effectively ...