scholarly journals A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

1986 ◽  
Vol 11 (2) ◽  
pp. 371-382 ◽  
Author(s):  
Stanley R. Pliska
Keyword(s):  
Stochastic Calculus ◽  
Optimal Portfolios ◽  
Continuous Trading

scholarly journals Optimal Portfolios for Different Anticipating Integrals under Insider Information

Mathematics ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 75
Author(s):  
Carlos Escudero ◽  
Sandra Ranilla-Cortina
Keyword(s):  
Portfolio Optimization ◽  
Financial Market ◽  
Investment Strategy ◽  
Stochastic Calculus ◽  
Optimal Portfolio ◽  
Simple Problem ◽  
Optimal Portfolios ◽  
Insider Information ◽  
Anticipating Stochastic Calculus ◽  
Potential Use

We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results obtained by means of the Russo-Vallois forward, the Ayed-Kuo, and the Hitsuda-Skorokhod integrals. We compute the optimal portfolio for each of these cases with the aim of establishing a comparison between these integrals in order to clarify their potential use in this type of problem. Our results give a partial indication that, while the forward integral yields a portfolio that is financially meaningful, the Ayed-Kuo and the Hitsuda-Skorokhod integrals do not provide an appropriate investment strategy for this problem.

Optimal Portfolios with Derivatives

CFA Digest ◽  
1998 ◽  
Vol 28 (3) ◽  
pp. 40-42
Author(s):  
John H. Earl
Keyword(s):  
Optimal Portfolios

A Simple Approach to Evaluating the Stability of Optimal Portfolios

2014 ◽  
Author(s):  
Zhongjin Yang ◽  
Keli Han ◽  
Marat Molyboga ◽  
Georgiy Molyboga
Keyword(s):  
Simple Approach ◽  
Optimal Portfolios ◽  
The Stability

scholarly journals A Stochastic MPC Based Energy Management System for Simultaneous Participation in Continuous and Discrete Prosumer-to-Prosumer Energy Markets

Energies ◽  
2020 ◽  
Vol 13 (14) ◽  
pp. 3751
Author(s):  
Pablo Baez-Gonzalez ◽  
Felix Garcia-Torres ◽  
Miguel A. Ridao ◽  
Carlos Bordons
Keyword(s):  
Energy Management ◽  
Management System ◽  
Storage System ◽  
Energy Storage System ◽  
Energy Management System ◽  
Bidding Strategies ◽  
Production And Consumption ◽  
Optimal Bidding ◽  
Continuous Trading ◽  
Stochastic Model Predictive Control

This article studies the exchange of self-produced renewable energy between prosumers (and with pure end consumers), through the discrete trading of energy packages and proposes a framework for optimizing this exchange. In order to mitigate the imbalances derived from discrepancies between production and consumption and their respective forecasts, the simultaneous continuous trading of instantaneous power quotas is proposed, giving rise to a time-ahead market running in parallel with a real-time one. An energy management system (EMS) based on stochastic model predictive control (SMPC) simultaneously determines the optimal bidding strategies for both markets, as well as the optimal utilisation of any energy storage system (ESS). Simulations carried out for a heterogeneous group of agents show that those with SMPC-EMS achieve savings of between 3% and 15% in their energy operation economic result. The proposed structures allows the peer-to-peer (P2P) energy trading between end users without ESS and constitute a viable alternative to avoid deviation penalties in secondary regulation markets.

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