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Portfolio optimization of hydroelectric assets subject to financial indicators

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Cash Sub-additive Risk Measures and Interest Rate Ambiguity

Claudia Ravanelli

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the ori ...

Wiley-Blackwell2009

A Stochastic Programming Approach for QoS-Aware Service Composition

Daniel Kuhn, Wolfram Wiesemann

We formulate the service composition problem as a multi-objective stochastic program which simultaneously optimizes the following quality of service (QoS) parameters: workflow duration, service invocation costs, availability, and reliability. All of these ...

IEEE2008

Deconvolution of 3D fluorescence micrographs with automatic risk minimization

Michaël Unser, Cédric René Jean Vonesch, Sathish Ramani

We investigate the problem of automatic tuning of a deconvolution algorithm for three-dimensional (3D) fluorescence microscopy; specifically, the selection of the regularization parameter lambda. For this, we consider a realistic noise model for data obtai ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2008

Deconvolution of 3D Fluorescence Micrographs with Automatic Risk Minimization

Michaël Unser, Cédric René Jean Vonesch, Sathish Ramani

We investigate the problem of automatic tuning of a deconvolution algorithm for three-dimensional (3D) fluorescence microscopy; specifically, the selection of the regularization parameter λ. For this, we consider a realistic noise model for data obtained ...

IEEE2008

Optimal Numeraires for Risk Measures

Damir Filipovic

Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire w ...

Wiley-Blackwell2008

Multi-agent modelling of electricity markets

Abdelaziz Lahlou

This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...

EPFL2007

Methods for documenting the personally constructed reality of risk

James Denman Birdsall

To document an individual's longitudinal construction of risk is a logistically intensive task. To identify a logistically feasible approach, we review existing agent-based experience documentation approaches within the context of a specified risk source - ...

Taylor & Francis Inc, 1900 Frost Road, Suite 101, Bristol, Pa 19007 Usa2007

Bayesian risk analysis of financial time series

Christophe Osinski

This thesis is a contribution to financial statistics. One of the principal concerns of investors is the evaluation of portfolio risk. The notion of risk is vague, but in finance it is always linked to possible losses. In this thesis, we present some measu ...

EPFL2006

RISK21 - Coping with Risk due to Natural Hazards in the 21st Century

Laurent Vulliet

To be able to take effective and efficient decisions leading to transparent and comparable results between different risk situations, a consistent and systematic risk management process has to be followed (in this context called “integral risk management”) ...

Taylor & Francis2006

Benchmarking of hydroelectric stochastic risk management models using financial indicators

Matthias Finger, Pierre-André Haldi

The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stoc ...

2005