We optimize the asset allocation, consumption and bequest decisions of an investor with uncertain lifetime and under time-varying investment opportunities. The asset menu is given by stocks, zero coupon bonds and pure endowments with different maturities. The latter are contingent on either a single or a joint life, and pay fixed or variable benefits. We further include transaction costs on sto...

as information has the role of organization asset, its protection is the key to the survival of any organization. information security management system (isms) defines protection of information in three specific concepts: information confidentiality, accuracy, and availability. many failures in implementing isms rooted in organizational problems and lack of attention to the state of readiness o...

If the price of an asset follows a jump diffusion process, the market is in general incomplete. In this case, hedging a contingent claim written on the asset is not a trivial matter, and other instruments besides the underlying must be used to hedge in order to provide adequate protection against jump risk. We devise a dynamic hedging strategy that uses a hedge portfolio consisting of the under...

This paper proposes a new tool for analysis of power system disturbance. The information from proposed analysis method is useful to many control, operation and protection applications such as reliability analysis, asset management and outage management. Development of automated disturbance analysis and fault location software is introduced. Concerns in implementation, including source of data, ...