Program for stream Commodities and Financial Modelling

WC-27: Commodities, Financial Modelling and Portfolio Choice
Stream: Commodities and Financial Modelling
Room: F107
Chair(s): Gonzalo Cortazar

• Life-cycle Consumption and Asset Allocation Problem: Habit Formation and Term Life Insurance
  Nalan Gulpinar, Zhezhi Hu, Arie Gozluklu
• Time-Varying Term Structure of Oil Risk Premiums
  Gonzalo Cortazar, Hector Ortega, Eduardo Schwartz
• Can alternative energies play a key role in equity-based portfolios? A dynamic Modified Sharpe Ratio optimization approach
  Carlos Esparcia Sanchís, Antonio Díaz
• Analysis of the Expected Dividends in a Continuous-Time Insurance Model
  Boris Shigida, Ekaterina Bulinskaya