Jean-Philippe Argaud

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Portfolio management in finance is more than a mathematical problem of optimizing performance under risk constraints. A critical factor in practical portfolio problems is severe uncertainty – ignorance – due to model uncertainty. In this paper, we show how to find the best portfolios by adapting the standard risk-return criterion for portfolio selection to(More)
This paper addresses the problem of market risk management for a company in the electricity industry. When dealing with corporate volumetric exposure, there is a need for a methodology that helps to manage the aggregate risks in energy markets. The originality of the approach presented lies in the use of intervals to formulate a specific portfolio(More)
The Empirical Interpolation Method (EIM) and its generalized version (GEIM) can be used to approximate a physical system by combining data measured from the system itself and a reduced model representing the underlying physics. In presence of noise, the good properties of the approach are blurred in the sense that the approximation error no longer converges(More)
Open Archive Toulouse Archive Ouverte (OATAO) OATAO is an open access repository that collects the work of Toulouse researchers and makes it freely available over the web where possible. a b s t r a c t Data assimilation method consists in combining all available pieces of information about a system to obtain optimal estimates of initial states. The(More)
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