Zobrazeno 1 - 10
of 28
pro vyhledávání: '"Maxim Bichuch"'
Autor:
Maxim Bichuch, Zachary Feinstein
Publikováno v:
European Journal of Operational Research. 296:353-367
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of collateralized repurchase agreements, the haircut level of which depend
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a86e3eeb143c0ef57fbcfbde56d70f38
https://doi.org/10.1016/j.ejor.2021.04.040
https://doi.org/10.1016/j.ejor.2021.04.040
Publikováno v:
Mathematical Finance. 30:738-781
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c50d5d4faae08be03b5c98ce6a1d62b7
https://doi.org/10.1111/mafi.12260
https://doi.org/10.1111/mafi.12260
Publikováno v:
Energy Economics. 120:106567
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e28561d3eaf7918ad3cfd3aa1738728
https://doi.org/10.1016/j.eneco.2023.106567
https://doi.org/10.1016/j.eneco.2023.106567
We consider the problem of learning an inner approximation of the region of attraction (ROA) of an asymptotically stable equilibrium point without an explicit model of the dynamics. Rather than leveraging approximate models with bounded uncertainty t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::533aa8489aba6e2c417d483e347658cc
Autor:
Maxim Bichuch, Ke Chen
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::79a40e6822bcaa6511c042534408b256
https://doi.org/10.2139/ssrn.4285825
https://doi.org/10.2139/ssrn.4285825
Autor:
Maxim Bichuch, Jiahao Hou
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da032ae183298a9c9dc0c190774b4cbd
https://doi.org/10.2139/ssrn.4217845
https://doi.org/10.2139/ssrn.4217845
In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a network of obligations through blockchain. In particular, we investigate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a94096569c1ec69f911d02581822604f
http://arxiv.org/abs/2109.00446
http://arxiv.org/abs/2109.00446
Publikováno v:
SSRN Electronic Journal.
This supplemental appendix accompanies "Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration" by the same authors, available at: http://ssrn.com/abstract=3701852. This appendix contains the proof of theorems omitted
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::232f311b687244c809c7ad2cd1e4a818
https://doi.org/10.2139/ssrn.3806087
https://doi.org/10.2139/ssrn.3806087
Publikováno v:
The Journal of Energy Markets.
We model a hierarchical Stackelberg game in a competitive power market under high behind-the-meter photovoltaics penetration and demand-side uncertainty, with emphasis on the feedback loop between distributed generation via photovoltaics and power pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::937883528122f275bf1d220ab5114d9a
https://doi.org/10.21314/jem.2020.217
https://doi.org/10.21314/jem.2020.217
Autor:
Ronnie Sircar, Maxim Bichuch
Publikováno v:
SIAM Journal on Control and Optimization. 57:437-467
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a lo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bf183ea06eb9e6a33ebd2c25d3c4b3b
https://doi.org/10.1137/18m1208459
https://doi.org/10.1137/18m1208459