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Technical paper

Risk-adjusted planning

An energy firm’s economic performance can be highly affected by incorrect valuation of implied economic risk. For this reason it is essential to provide management with the correct risk assessment tools. Here we propose a way of introducing risk…

The two-factor Black-Litterman model

Over the years, an increasing number of practitioners have been using the Black-Littermanmodel to make tactical asset allocation decisions. The model generates more stable resultsthan classical mean-variance optimisation and incorporates return forecasts…

Bond execution models

While research on the optimal execution of equity trading has become popular, a study of this kind has not yet been done with regard to the bond market. In this article, Koichi Miyazaki presents a bond execution model that incorporates the strong…

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