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Technology Choice and Capacity Portfolios under Emissions Regulation
Pollution and Pollutants Governing Rules Regulations and Reforms Technology Production
2015/4/27
We study the impact of emissions tax and emissions cap-and-trade regulation on a firm's technology choice and capacity decisions. We show that emissions price uncertainty under cap-and-trade results i...
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfo...
A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms
Minimum Variance Portfolios Coordinate-Wise Descent Algorithms
2010/10/20
In this short report, we discuss how coordinate-wise descent algorithms can be used to solve minimum variance portfolio (MVP) problems in which the portfolio weights are constrained by $l_{q}$ norms,...