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)
  • Angélique Ponçot, Jean-Philippe Bouriquet, Erhard Bertrand, Patrick Gratton, Serge Thual, Olivier +5 others
  • 2013
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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