A multi-period stochastic portfolio optimization model applied for an airline company in the EU ETS

DOI10.1080/02331934.2014.895900zbMath1334.60120OpenAlexW1974543664MaRDI QIDQ2926492

Elem Güzel Kalaycı, Esma Gaygısız, Gerhard-Wilhelm Weber

Publication date: 24 October 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2014.895900

zbMATH Keywords

stochastic differential equationsMonte Carlo simulationairline companycorrelated geometric Brownian motionmulti-stage stochastic portfolio optimization

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Brownian motion (60J65) Optimal stochastic control (93E20) Combinatorial probability (60C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

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Cites Work

• On fair pricing of emission-related derivatives
• \(\text{CO}_{2} \) emissions trading planning in combined heat and power production via multi-period stochastic optimization
• A two-stage stochastic programming model for electric energy producers
• Handbook of Power Systems II
• Natural gas storage valuation and optimization: A real options application
• Jump-Diffusion Modeling in Emission Markets
• A GAME-THEORETIC TREATMENT OF A TIME-DISCRETE EMISSION REDUCTION MODEL

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