Browsing Norges Handelshøyskole by Subject "C61"

Now showing items 1-2 of 2

    • Dynamic portfolio optimization with transaction costs and state-dependent drift 

      Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Wang, Huamao (Working paper;2014:1, Working paper, 2014)
      We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or ...

    • Energy storage and renewable energy 

      Durmaz, Tunç (Discussion paper;18/2014, Working paper, 2014-05)
      I consider an economy with fossil fuel and renewable energy and energy storage, and search for the conditions that lead to welfare improvements when energy is stored. I then solve for the optimal decision rule and analyze ...