英文标题：
《Optimal Portfolio in Intraday Electricity Markets Modelled by
L\\\'evy-Ornstein-Uhlenbeck Processes》
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作者：
Marco Piccirilli and Tiziano Vargiolu
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最新提交年份：
2018
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英文摘要：
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected terminal utility of his wealth. We assume a mean-reverting additive process to drive the power prices. In the case of logarithmic utility, we reduce the fully non-linear Hamilton-Jacobi-Bellman equation to a linear parabolic integro-differential equation, for which we explicitly exhibit a classical solution in two cases of modelling interest. The optimal strategy is given implicitly as the solution of an integral equation, which is possible to solve numerically as well as to describe analytically. An analysis of two different approximations for the optimal policy is provided. Finally, we perform a numerical test by adapting the parameters of a popular electricity spot price model.
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中文摘要：
我们研究了一个为在日内电力市场中运行的代理设计的最优投资组合问题。允许投资者在模拟持续交易权力的单一风险资产中进行交易，目的是最大化其财富的预期终端效用。我们假设一个均值回复加性过程来驱动电价。在对数效用的情况下，我们将完全非线性的Hamilton-Jacobi-Bellman方程简化为线性抛物型积分微分方程，对于这一方程，我们在两种建模情况下显式地给出了经典解。最优策略隐式地作为一个积分方程的解给出，它既可以用数值方法求解，也可以用解析方法描述。分析了最优策略的两种不同近似。最后，我们通过调整流行的电力现货价格模型的参数进行了数值测试。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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