Time Inconsistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach
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References listed on IDEAS
- Alvaro Cartea & Marcelo Figueroa, 2005.
"Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 12(4), pages 313-335.
- Alvaro Cartea & Marcelo_Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Finance 0501011, EconWPA, revised 12 Sep 2005.
- Alvaro Cartea & Marcelo Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, Department of Economics, Mathematics & Statistics.
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Elsevier, vol. 30(3), pages 829-846, May.
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-14 (All new papers)
- NEP-CSE-2006-10-14 (Economics of Strategic Management)
- NEP-FIN-2006-10-14 (Finance)
- NEP-FMK-2006-10-14 (Financial Markets)
- NEP-RMG-2006-10-14 (Risk Management)
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