SSRN Author: Luisa TibilettiLuisa Tibiletti SSRN Content
http://www.ssrn.com/author=28964
http://www.ssrn.com/rss/en-usSun, 15 May 2016 01:23:47 GMTeditor@ssrn.com (Editor)Sun, 15 May 2016 01:23:47 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Hydroassets Portfolio Management for Intraday Electricity Trading in a Discrete Time Stochastic Optimization PerspectiveHydro storage system optimization is becoming one of the most challenging task in Energy Finance. Following the Blomvall and Lindberg (2002) interior point model, we set up a stochastic multiperiod optimization procedure by means of a 'bushy' recombining tree that provides fast computational results. Inequality constraints are packed into the objective function by the logarithmic barrier approach and the utility function is approximated by its second order Taylor polynomial. The optimal solution for the original problem is obtained as a diagonal sequence where the first diagonal dimension is the parameter controlling the logarithmic penalty and the second is the parameter for the Newton step in the construction of the approximated solution. Optimimal intraday electricity trading and water values for hydroassets are computed. The algorithm is implemented in Mathematica.
http://www.ssrn.com/abstract=2648838
http://www.ssrn.com/1496285.htmlSat, 14 May 2016 03:53:12 GMTREVISION: Financial Leverage in Multi-Period Appraisal: Do ROE and APV Move in the Same Direction?This paper addresses a classical problem in corporate finance concerning the impact of leverage on financial performance measures. A popular leverage formula suggests to increase the leverage to raise the Return on Equity (ROE), if the condition that the rate of Return of Investment (ROI) is higher than the Rate of Debt (ROD) is met. Since financial projects are typically spread over time, we question whether this leverage rule holds also in multi-period appraisals. First, we define the multi-period ROE as the Internal Rate of Return (IRR) of the equity cash flow (ECF) generated by the project investment. Then we state sufficient and necessary conditions for leverage to raise ROE. For levered investments where debt is paid back by the project cash inflow, leverage rule holds in multi-period appraisals. Second, we wonder whether leverage has a favorable impact on the economic value creation, where this latter is measured by the Adjusted Present Value (APV) of the project. The ...
http://www.ssrn.com/abstract=2717522
http://www.ssrn.com/1463366.htmlSun, 24 Jan 2016 21:40:18 GMTREVISION: Financial Leverage in Multi-Period Appraisal: Do ROE and APV Move in the Same Direction?This paper addresses a classical problem in corporate finance concerning the impact of leverage on financial performance measures. If the rate of Return of Investment (ROI) is higher than the Rate of Debt (ROD), a popular leverage formula suggests to increase the leverage to raise the Return on Equity (ROE). Since financial projects are typically spread over time, we question whether this leverage rule holds for multi-period appraisals. First, we define the multi-period ROE as the Internal Rate of Return (IRR) of the equity cash flow (ECF) generated by the project investment. Then we state sufficient and necessary conditions for leverage to raise ROE. For levered investments where debt is entirely paid by the project cash inflow, leverage rule holds in multi-period appraisals, as well. Second, we wonder whether leverage has a favorable impact on the economic value creation, where this latter is measured by the Adjusted Present Value (APV) of the project. The conjecture is false even ...
http://www.ssrn.com/abstract=2717522
http://www.ssrn.com/1461791.htmlTue, 19 Jan 2016 14:25:14 GMTREVISION: A Target-Oriented Approach: A 'One-Size' Model to Suit Humans and Econs BehaviorsThaler and Sunstein (2008) introduce two stereotypical decision makers: the Econs, imaginary people who always behave as strictly rational expected utility maximizers, and the Humans, real people subject to ordinary behavioral biases. This note sheds light on how the axiomatic target-oriented approach introduced by Castagnoli and Li Calzi (1996) may fit well the behavior of both of them. We show that although Econs and Humans use a different language, they maximize the same functional, e.g. the probability of meeting the goal. So declaring the probability distribution of the goal permits to elicit the agent value function. A number of different distributions for goals are discussed and the family of the skew normal ones is proposed for its user-friendly flexibility. We show how moving the skewness parameter along its range every stereotypical decision maker’s profile may be modelled.
http://www.ssrn.com/abstract=2354058
http://www.ssrn.com/1423748.htmlFri, 28 Aug 2015 04:54:52 GMTREVISION: Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for HydroassetsHydro storage system optimization is becoming one of the most challenging task in Energy Finance. Following the Blomvall and Lindberg (2002) interior point model, we set up a stochastic multiperiod optimization procedure by means of a 'bushy' recombining tree that provides fast computational results. Inequality constraints are packed into the objective function by the logarithmic barrier approach and the utility function is approximated by its second order Taylor polynomial. The optimal solution for the original problem is obtained as a diagonal sequence where the first diagonal dimension is the parameter controlling the logarithmic penalty and the second is the parameter for the Newton step in the construction of the approximated solution. Optimimal intraday electricity trading and water values for hydroassets are computed. The algorithm is implemented in Mathematica.
http://www.ssrn.com/abstract=2648838
http://www.ssrn.com/1422115.htmlSat, 22 Aug 2015 06:20:57 GMTNew: Why Investors are Loss Averters During Bull Markets and Gain Seekers During Bear Markets?How does market trend sentiment affect investors’ asymmetric loss-gain tradeoffs? Several empirical tests indicate that investors are far more loss adverse during bull markets than during bear markets (see Hwang and Satchell, 2010; Hofschire et al, 2013). In this paper we provide a sound theoretical foundation for this empirical evidence. First, we discuss how to identify the subjectively perceived market trend sentiment. Then, we propose a reference dependent definition of loss aversion and gain appetite, that generalizes the Kahneman and Tversky (1979, p. 279) and Kahneman and Tversky (1992, p. 303) loss aversion definitions. Under mild technical assumptions on utility functions, asymmetrical loss-gain evaluations are normatively influenced by the investor perceived market trend. Specifically, investors are normatively lead to loss aversion during perceived bullish markets and to risk appetite during perceived bearish markets. This market trend dependence holds for the most ...
http://www.ssrn.com/abstract=2643469
http://www.ssrn.com/1419887.htmlSat, 15 Aug 2015 05:09:43 GMT