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Costs of alternative environmental policy instruments in the presence of industry compensation requirements
Environmental instrument choice Pollution control Compensation requirements Emissions abatement costs
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2015/7/17
This paper explores how the costs of meeting given aggregate targets for pollution emissions change with the imposition of the requirement that key pollution-related industries be compensated for pote...
Calibration of optimal execution of financial transactions in the presence of transient market impact
Calibration financial transactions market
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2012/9/14
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A ...
The Economics of Power Generation Technology Choice and Investment Timing in the Presence of Policy Uncertainty
Bioenergy Investment Renewable Energy Electricity Wind Power
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2013/2/23
The purpose of this study is to analyze how market and policy uncertainties affect the general profitability of new investments in the power sector, and investigate the associated investment timing an...
The demand for beer in presence of past consumption and advertising in the Czech Republic
beer demand alcoholic beverages 2SLS SUR Czech Republic
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2014/2/27
The paper focuses on beer consumption in the Czech Republic, the country with the highest beer consumption per capita in the world. To understand the recent beer-consumption behaviour, we use the mont...
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
portfolio market risk volatility scaling square-root-of-time rule
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2010/10/21
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
Optimal Execution Strategy in the Presence of Price Impact
Price impact impulse control singular control
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2010/10/21
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of th...
Ruin probability in the presence of risky investments
Ruin probability risky investments
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2010/12/13
We consider an insurance company in the case when the premium rate is a bounded non-negative random function $c_\zs{t}$ and the capital of the insurance company is invested in a risky asset whose pri...
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Continuous-Time Process iin the Presence of Market Microstructure Noise
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2014/3/13
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however,we show that the optimal sampl...
ESTIMATING DETERMINISTIC TRENDS IN THE PRESENCE OF SERIALLY CORRELATED ERRORS
DETERMINISTIC TRENDS PRESENCE OF SERIALLY CORRELATED ERRORS
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2014/3/18
This paper studies the problems of estimation and inference in the linear trend model yt = a + P3t + ut, where ut follows an autoregressive process with largest root p and , is...