FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2270299004> ?p ?o ?g. }

• W2270299004 abstract "Electricity markets commonly exhibit an oligopolistic structure with market participants whose individual trading activities may shift prices essentially. In this context, the question of how to optimally liquidate an existing electricity futures portfolio over a fixed time horizon under the constraint of minimizing unfavorable price impact effects is of striking relevance for energy risk management. In this article, we thus invent a tractable market impact model for electricity futures prices. More precisely, we derive optimal liquidation strategies with respect to different target functionals of ‘conditional expected trading cost’ type. Moreover, we take forward-looking information about future electricity price behavior into account by exploiting enlarged filtration methods. Finally, we derive optimal liquidation strategies for electricity futures portfolios under this insider trading machinery as well." @default.
• W2270299004 created "2016-06-24" @default.
• W2270299004 creator A5090198498 @default.
• W2270299004 date "2013-01-01" @default.
• W2270299004 modified "2023-09-30" @default.
• W2270299004 title "Optimal Liquidation of Electricity Futures Portfolios: An Anticipative Market Impact Model" @default.
• W2270299004 cites W1494226504 @default.
• W2270299004 cites W1540817759 @default.
• W2270299004 cites W1770191378 @default.
• W2270299004 cites W18783515 @default.
• W2270299004 cites W1929167035 @default.
• W2270299004 cites W1973444515 @default.
• W2270299004 cites W1987959842 @default.
• W2270299004 cites W1995522593 @default.
• W2270299004 cites W2020909748 @default.
• W2270299004 cites W2051354157 @default.
• W2270299004 cites W2081877251 @default.
• W2270299004 cites W2087310230 @default.
• W2270299004 cites W2099645792 @default.
• W2270299004 cites W2113614127 @default.
• W2270299004 cites W2115950314 @default.
• W2270299004 cites W2123696687 @default.
• W2270299004 cites W2137118857 @default.
• W2270299004 cites W2152079871 @default.
• W2270299004 cites W2153147321 @default.
• W2270299004 cites W2158039503 @default.
• W2270299004 cites W2259967806 @default.
• W2270299004 cites W2408556348 @default.
• W2270299004 cites W2797641211 @default.
• W2270299004 cites W3124680878 @default.
• W2270299004 cites W3125123194 @default.
• W2270299004 cites W573310676 @default.
• W2270299004 cites W620795962 @default.
• W2270299004 doi "https://doi.org/10.2139/ssrn.2254293" @default.
• W2270299004 hasPublicationYear "2013" @default.
• W2270299004 type Work @default.
• W2270299004 sameAs 2270299004 @default.
• W2270299004 citedByCount "1" @default.
• W2270299004 countsByYear W22702990042013 @default.
• W2270299004 crossrefType "journal-article" @default.
• W2270299004 hasAuthorship W2270299004A5090198498 @default.
• W2270299004 hasConcept C10138342 @default.
• W2270299004 hasConcept C106159729 @default.
• W2270299004 hasConcept C106306483 @default.
• W2270299004 hasConcept C119599485 @default.
• W2270299004 hasConcept C121398111 @default.
• W2270299004 hasConcept C127288500 @default.
• W2270299004 hasConcept C127413603 @default.
• W2270299004 hasConcept C146733006 @default.
• W2270299004 hasConcept C151730666 @default.
• W2270299004 hasConcept C162324750 @default.
• W2270299004 hasConcept C16520705 @default.
• W2270299004 hasConcept C175444787 @default.
• W2270299004 hasConcept C182306322 @default.
• W2270299004 hasConcept C18903297 @default.
• W2270299004 hasConcept C206658404 @default.
• W2270299004 hasConcept C2779343474 @default.
• W2270299004 hasConcept C2780821815 @default.
• W2270299004 hasConcept C38904191 @default.
• W2270299004 hasConcept C51926234 @default.
• W2270299004 hasConcept C70771513 @default.
• W2270299004 hasConcept C86803240 @default.
• W2270299004 hasConceptScore W2270299004C10138342 @default.
• W2270299004 hasConceptScore W2270299004C106159729 @default.
• W2270299004 hasConceptScore W2270299004C106306483 @default.
• W2270299004 hasConceptScore W2270299004C119599485 @default.
• W2270299004 hasConceptScore W2270299004C121398111 @default.
• W2270299004 hasConceptScore W2270299004C127288500 @default.
• W2270299004 hasConceptScore W2270299004C127413603 @default.
• W2270299004 hasConceptScore W2270299004C146733006 @default.
• W2270299004 hasConceptScore W2270299004C151730666 @default.
• W2270299004 hasConceptScore W2270299004C162324750 @default.
• W2270299004 hasConceptScore W2270299004C16520705 @default.
• W2270299004 hasConceptScore W2270299004C175444787 @default.
• W2270299004 hasConceptScore W2270299004C182306322 @default.
• W2270299004 hasConceptScore W2270299004C18903297 @default.
• W2270299004 hasConceptScore W2270299004C206658404 @default.
• W2270299004 hasConceptScore W2270299004C2779343474 @default.
• W2270299004 hasConceptScore W2270299004C2780821815 @default.
• W2270299004 hasConceptScore W2270299004C38904191 @default.
• W2270299004 hasConceptScore W2270299004C51926234 @default.
• W2270299004 hasConceptScore W2270299004C70771513 @default.
• W2270299004 hasConceptScore W2270299004C86803240 @default.
• W2270299004 hasLocation W22702990041 @default.
• W2270299004 hasOpenAccess W2270299004 @default.
• W2270299004 hasPrimaryLocation W22702990041 @default.
• W2270299004 hasRelatedWork W1977396001 @default.
• W2270299004 hasRelatedWork W2020769838 @default.
• W2270299004 hasRelatedWork W2038010306 @default.
• W2270299004 hasRelatedWork W2111868482 @default.
• W2270299004 hasRelatedWork W2113450525 @default.
• W2270299004 hasRelatedWork W2129347762 @default.
• W2270299004 hasRelatedWork W2156021889 @default.
• W2270299004 hasRelatedWork W2161355953 @default.
• W2270299004 hasRelatedWork W2167623769 @default.
• W2270299004 hasRelatedWork W2269169984 @default.
• W2270299004 hasRelatedWork W2368790392 @default.
• W2270299004 hasRelatedWork W2548744375 @default.
• W2270299004 hasRelatedWork W3006575737 @default.
• W2270299004 hasRelatedWork W3105467471 @default.

• next