Investments and forward utilities
نویسندگان
چکیده
This paper proposes a new approach for portfolio allocation. The novel concept of forward dynamic utility is introduced. General classes of such utilities are constructed by combining the local variational utility input with the market dynamics represented by multidimensional Ito process. Explicit closed form expressions for optimal allocations are obtained. They depend exclusively on the optimal wealth level and the utility-generated measure of risk.
منابع مشابه
Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model
We introduce a new class of dynamic utilities that are generated forward in time. We discuss the associated value functions, optimal investments and indifference prices and we compare them with their traditional counterparts, implied by backward dynamic utilties.
متن کاملUsing Auctions to Divest Generation Assets
Deregulation of the electric power industry is proceeding rapidly, forcing utilities to compete on price at both the retail and wholesale level. To ease the transition to competition, most states will compensate utilities for the difference between costs incurred on past capital investments under regulation and the profits they can expect to earn on these assets under competition. This differen...
متن کاملThe End of the “Modern Corporation”: Deregulation and Ownership of Electric Utilities1
Berle and Means (1932) claimed that “modern” corporations in the United States had diffuse ownership. Their claim characterizes regulated electric utilities until the mid1990s. But following the 1992 EPACT deregulation, block ownership in utilities increased sharply, relative to a matched sample of non-utilities, which already had large blocks by the 90s. The post-EPACT blocks in utilities were...
متن کاملAlstom Grid Smart Distribution Solutions for Smart Utilities
As the Electric Distribution industry enters the Smart Grid era, it is deploying a variety of new technologies (including distributed energy resources) and communications infrastructure to enhance the performance of the distribution grid, improve customer satisfaction and reduce the carbon footprint. On the one hand, these new Smart Grid investments look as though they will pay off as customers...
متن کاملPursuing Energy Efficiency as a Hedge against Carbon Regulatory Risks: Current Resource Planning Practices in the West
Uncertainty surrounding the nature and timing of future carbon regulations poses a fundamental and far-reaching financial risk for electric utilities and their ratepayers. Long-term resource planning provides a potential framework within which utilities can assess carbon regulatory risk and evaluate options for mitigating exposure to this risk through investments in energy efficiency and other ...
متن کامل