Optimal Investment Strategy in Renewable Energy Technologies

2020 ◽  
Author(s):  
Matthias Ondra ◽  
Thomas Dangl
Keyword(s):  
Renewable Energy ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Renewable Energy Technologies ◽  
Energy Technologies ◽  
Optimal Investment Strategy

scholarly journals Renewable Heating and Cooling Solutions for Buildings and Industry

Proceedings ◽  
2020 ◽  
Vol 65 (1) ◽  
pp. 16
Author(s):  
Andrea Frazzica ◽  
Régis Decorme ◽  
Marco Calderoni ◽  
Alessandra Cuneo ◽  
Zuzana Taťáková ◽  
...  
Keyword(s):  
Renewable Energy ◽  
Heat Pump ◽  
Solar Thermal ◽  
Renewable Energy Technologies ◽  
Energy Technologies ◽  
Heating And Cooling ◽  
Common Strategy ◽  
Selection Of

This workshop brought together a selection of H2020 EU-funded projects involving experts from the biomass, geothermal, solar thermal, and heat pump sectors to discuss a common strategy for increasing the use of renewable energy technologies for heating and cooling for buildings and industry.

scholarly journals Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market

2016 ◽  
Vol 2016 ◽  
pp. 1-17 ◽  
Author(s):  
Huiling Wu
Keyword(s):  
Regime Switching ◽  
Stock Price ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Power Utility ◽  
Optimal Investment Strategy ◽  
Admissible Strategies ◽  
Definition Of ◽  
Markovian Regime Switching ◽  
Optimal Investment And Consumption

This paper studies an investment-consumption problem under inflation. The consumption price level, the prices of the available assets, and the coefficient of the power utility are assumed to be sensitive to the states of underlying economy modulated by a continuous-time Markovian chain. The definition of admissible strategies and the verification theory corresponding to this stochastic control problem are presented. The analytical expression of the optimal investment strategy is derived. The existence, boundedness, and feasibility of the optimal consumption are proven. Finally, we analyze in detail by mathematical and numerical analysis how the risk aversion, the correlation coefficient between the inflation and the stock price, the inflation parameters, and the coefficient of utility affect the optimal investment and consumption strategy.

scholarly journals Modeling, Control, and Optimization of Multi-Generation and Hybrid Energy Systems

Processes ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 1125
Author(s):  
Kody M. Powell ◽  
Kasra Mohammadi
Keyword(s):  
Renewable Energy ◽  
Energy Systems ◽  
Hybrid Energy ◽  
Renewable Energy Technologies ◽  
Energy Technologies ◽  
Hybrid Energy Systems ◽  
Increasing Trend

As renewable energy technologies decrease in cost and become more prevalent, there is an increasing trend towards electrification of many energy systems [...]

scholarly journals Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences

Mathematics ◽  
2021 ◽  
Vol 9 (14) ◽  
pp. 1610
Author(s):  
Katia Colaneri ◽  
Alessandra Cretarola ◽  
Benedetta Salterini
Keyword(s):  
Stock Prices ◽  
Regime Switching ◽  
Common Factor ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Market Model ◽  
Sensitivity Analyses ◽  
Model Parameters ◽  
Insurance Company ◽  
Optimal Investment Strategy

In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance claims vary according to a common factor given by a continuous time finite state Markov chain. We construct the value function and we prove that it is a forward dynamic utility. Then, we characterize the optimal investment strategy and the optimal proportional level of reinsurance. We also perform numerical experiments and provide sensitivity analyses with respect to some model parameters.

Sign in / Sign up

Export Citation Format

Share Document