Urban water management: optimal price and investment policy under climate variability

Conjunctive surface water and groundwater management under climate change

Climate change can result in significant impacts on regional and global surface water and groundwater resources. Using groundwater as a complimentary source of water has provided an effective means to satisfy the ever-increasing water demands and deal with surface water shortages problems due to robust capability of groundwater in responding to climate change. Conjunctive use of surface water a...

Investment under Uncertainty and Policy Change∗

In this paper the impact of a policy change on the investment behavior of the firm is studied in an asymmetric information setting. The policy change occurs when a stochastic process describing the state of the economic environment reaches a certain trigger. Asymmetric information is modeled here by imposing that the firm does not know this trigger but only its probability distribution. Consequ...

Optimal Investment Under Transaction Costs

We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d. discrete-time two-asset markets under proportional transaction costs. We then extend our analysis to cover markets having more than two stocks. The market is modele...

Optimal investment under partial information

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot be observed directly. This leads to an optimal control probl...

Coping with Impacts of Climate Variability and Climate Change in Water Management: A Scoping Paper