Mathieu Dancre

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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)
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