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Robust portfolio optimization aims to maximize the worst-case portfolio return given that the asset returns are allowed to vary within a prescribed uncertainty set. If the uncertainty set is not too large, the resulting portfolio performs well under normal ...
Within the global challenge of climate change and energy security, hydrogen is considered as a promising decarbonized energy vector to be used in electricity production and transportation. In this paper, the thermo-chemical production of hydrogen by natura ...
This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...
Temporary water transfers, as achievable under option contracts, capture gains from trade that would go unrealized if only permanent transfers of water rights were possible. This paper develops a bilateral option contracting model for water which includes ...
We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...
We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation cos ...
This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...
This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...
A systematic framework is developed for the thermo-environomic modeling, analysis and optimization of fuel decarbonization processes using precombustion routes to decarbonize the fuel by CO2 removal before burning the purified H2-rich gas in a gas turbine ...
A detailed thermo-economic model combining thermodynamics with economic analysis and considering different technological alternatives for the thermochemical production of liquid fuels from lignocellulosic biomass is presented. Energetic and economic models ...
