Risk averse asymptotics in a Black-Scholes market on a finite time horizon

We consider the optimal investment and consumption problem in a Black-Scholes market, if the target functional is given by expected discounted utility of consumption plus expected discounted utility of terminal wealth. We investigate the behaviour of the optimal strategies, if the relative risk aversion tends to infinity. It turns out that the limiting strategies are: do not invest at all in the stock market and keep the rate of consumption constant

Optimal investment under transaction costs for an insurer

We deal with the problem of minimizing the probability of ruin of an insurer by optimal investment of parts of the surplus in the financial market, modeled by geometric Brownian motion. In a diffusion framework the classical solution to this problem is to hold a constant amount of money in stocks, which in practice means continuous adaption of the investment position. In this paper, we introduce both proportional and fixed transaction costs, which leads to a more realistic scenario. In mathematical terms, the problem is now of impulse control type. Its solution is characterized and calculated by iteration of associated optimal stopping problems. Finally some numerical examples illustrate the resulting optimal investment policy and its deviation from the optimal investment behaviour without transaction cost

Options for re-establishing river continuity, with an emphasis on the special solution “fish lift”: examples from Austria.

The European Water Framework Directive (WFD) became a major tool in European water policy. All the member states had to develop River Basin Management Plans (RBMPs). Austria’s first National Water Resource Management Plan was published in 2009 and describes measures to be set. Depending on the catchment size, ecological targets were defined on water body level, to be reached by 2015, 2021 or 2027. A priority goal is the re-establishment of river continuity. Therefore the Austrian Federal Ministry of Agriculture, Forestry, Environment and Water Management published a “Guideline for the construction of fish passes” in 2012.We provide an overview on measures to re-establish river continuity that were recently planned or already established at the Inn catchment, a major tributary to the upper Danube River. Planning principles as well as details from the construction phase and monitoring concepts as well as first results are presented.Founded in 1924 TIWAG started its business with the construction of the HPP Achensee, at the time one of Europe’s largest storage facilities. Since then TIWAG expanded its expertise on engineering, constructing and operating hydro power plants in Tyrol. In the first river basin management cycle at three hydropower plants, located in the“priority river network” (HPP Langkampfen, HPP Kirchbichl and HPP Imst - the latter with the weir Runserau and the water intake at Wenns), measures had to be developed to overcome discontinuity. During planning phase it was tried to apply “standard solutions” according to the Austrian guideline. This was possible for three sites, where we planned vertical slot fish passes in combination with natural bypass channels. To enable upstream migration at the weir Runserau, different alternatives were evaluated, but it was not possible to use a “standard solution”. A  review about existing fish lifts was the basis for a promising solution. The chosen design combines a conventional fish migration facility (vertical slot) with a fish lift. Linked together those facilities are offering new, additional possibilities. The characteristics of this new concept and its advantages are presented.</p