Browsing Bergen Open Research Archive by Author "Sleire, Anders Daasvand"

Now showing items 1-3 of 3

    • Essays on Portfolio Risk Management and Weather Derivatives 

      Sleire, Anders Daasvand (Doctoral thesis, 2023-08-25)
      Denne avhandlingen handler om utvikling og praktisk implementering av risikostyringsmetoder for investeringsporteføljer, energiporteføljer, og håndtering av vær- og forurensningsrisiko. Avhandlingen inkluderer tre ...

    • etrm: Energy Trading and Risk Management in R 

      Sleire, Anders Daasvand (Journal article; Peer reviewed, 2022)
      This paper introduces etrm, an R package with tools for trading and financial risk management in energy markets. Contracts for electric power and natural gas differ from most other commodities due to the fact that physical ...

    • Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations 

      Sleire, Anders Daasvand; Støve, Bård; Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne; Haugen, Sverre Hauso (Journal article; Peer reviewed, 2021)
      It is well known that there are asymmetric dependence structures between financial returns. This paper describes a portfolio selection method rooted in the classical mean–variance framework that incorporates such asymmetric ...