Andreas de Vries

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The main business of banks and insurance companies is risk. Banks and financial institutions lend money, running the risk of losing the lended amount, and they borrow “short money” having less risk but higher expected rates of return. Insurance companies on the other hand earn a risk premium for guaranteeing indemnifification for a negative outcome of a(More)
A connection between the notion of information and the concept of risk and return in portfolio theory is deduced. This succeeds in two steps: A general moment-return relation for arbitrary assets is derived, thereafter the total expected return is connected to the Kullback-Leibler information. With this result the optimization problem to maximize the(More)
Electricity market mechanisms designed to steer sustainable generation of electricity play an important role for the energy transition intended to mitigate climate change. One of the major problems is to complement volatile renewable energy sources by operationally flexible capacity reserves. In this paper a proposal is given to determine prices on(More)
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