Convex risk measures for portfolio optimization and concepts of flexibility

Due to their axiomatic foundation and their favorable computational properties convex risk measures are becoming a powerful tool in financial risk management. In this paper we will review the fundamental structural concepts of convex risk measures within the framework of convex analysis. Then we will exploit it for deriving strong duality relations in a generic portfolio optimization context. In particular, the duality relationship can be used for designing new, efficient approximation algorithms based on Nesterov's smoothing techniques for non-smooth convex optimization. Furthermore, the presented concepts enable us to formalize the notion of flexibility as the (marginal) risk absorption capacity of a technology or (available) resource

Convex risk measures for portfolio optimization and concepts of flexibility

Due to their axiomatic foundation and their favorable computational properties convex risk measures are becoming a powerful tool in financial risk management. In this paper we will review the fundamental structural concepts of convex risk measures within the framework of convex analysis. Then we will exploit it for deriving strong duality relations in a generic portfolio optimization context. In particular, the duality relationship can be used for designing new, efficient approximation algorithms based on Nesterov’s smoothing techniques for non-smooth convex optimization. Furthermore, the presented concepts enable us to formalize the notion of flexibility as the (marginal) risk absorption capacity of a technology or (available) resources.

Risk management of power portfolios and valuation of flexibility

ISSN:0171-6468ISSN:1436-630

Risk management in power markets: The Hedging value of production flexibility

Since the 1990s power markets are being restructured worldwide and nowadays electrical power is traded as a commodity. The liberalization and with it the uncertainty in gas, fuel and electrical power prices requires an effective management of production facilities and financial contracts. Thereby derivatives build essential instruments to exchange volume as well as price risks. The challenge for participants in the newly competitive market environment is how to design, price and hedge derivative contracts in particular combination with the flexibility embedded in dispatch strategies of production assets. Accordingly, an adequate basis for management and investment decisions is needed which responds to the highly complex market situation.Electricity risk Power derivatives Dispatch management of power plants Operational flexibility Futures markets Emission trading

The Jülich High Brilliance Neutron Source Project

With the construction of the ESS, the European neutron user community islooking forward to the brightest neutron source worldwide. At the same timethere is an ongoing concentration of research with neutrons to only a few butvery powerful neutron facilities. These bright lighthouses mainly serve the needsof a limited amount of experienced experimentalists, but the smaller or mediumflux sources necessary for method development, user recruitment and usereducation, mere capacity, proof-of-principle experiments or operation ofspecialized instruments and methods seem to vanish.Responding to this situation the Jülich Centre for Neutron Science has started aproject towards the development and design of compact accelerator drivenhigh-brilliance neutron sources as an efficient and cost effective alternative tocurrent low- and medium-flux reactor and spallation sources. Such compactsources have the potential to fill the gap for the access of science and industryto neutrons and serve as local national or regional international medium-flux, buthigh-brilliance neutron facilities. The goal of the project is to deliver a “High-Brilliance Neutron Source (HBS)”, where a compact neutron production systemand a compact moderator produce a field of thermal and cold neutrons with highbrilliance that can efficiently be extracted in an optimized neutron transportsystem.With shaping the experiment from the source to the instrument detector adedicated holistic neutron experiment could be set-up to fulfill the differentscientific requirements in a flexible and efficient way at demand by the neutronuser. In order to respond to such requirements, we propose a novel type ofneutron facility on the basis of flexible compact accelerators with dedicatedtarget and moderator solutions for specific experimental requirements. A briefoutline of the project and the achievements already reached, will be presented

The Jülich High Brilliance Neutron Source Project - Improving acces to neutrons

With the construction of the ESS, the European neutron user community is looking forward to the brightest neutron source worldwide. At the same time there is an ongoing concentration of neutron science to only a few neutron facilities. These bright lighthouses serve the needs of a limited amount of experienced researchers, but the smaller or medium flux sources used for method development, user recruitment, education or proof-of-principle experiments seem to vanish.Responding to this situation the Jülich Centre for Neutron Science has started a project to develop and design compact accelerator driven high-brilliance neutron sources as an efficient and cost effective alternative to current low- and medium-flux reactor and spallation sources. Such compact sources have the potential to offer access of science and industry to neutrons as local national or regional medium-flux, but high-brilliance neutron facilities. The project aims to deliver a “High-Brilliance Neutron Source (HBS)”, where a compact neutron production and moderator system provide thermal and cold neutrons with high brilliance efficiently extracted in an optimized neutron transport system. With shaping the experiment from the source to the detector a holistic neutron experiment could be set-up for the specific scientific requirements in a flexible and efficient way for the neutron user. We will present a brief outline of the project and status of achieved milestones

The Jülich High Brilliance Neutron Source Project – A challenge for neutron optics

Neutrons can be produced by fission in nuclear reactors, by spallation using high-power proton accelerators, and by nuclear reactions with low-energy proton accelerators. While the first two techni¬ques can offer the highest neutron flux production, current state-of-the-art accelerator technology offers the opportunity for a new landscape of novel and unique high-brilliance neutron sources based on low-energy proton accelerators. The Jülich Centre for Neutron Science has started a project to develop and design compact accelerator driven high-brilliance neutron sources as an efficient and cost effective alternative to current low- and medium-flux reactor and spallation sources. Such compact sources have the potential to offer access of science and industry to neutrons as local national or regional medium-flux, but high-brilliance neutron facilities. The project aims to deliver a “High-Brilliance Neutron Source (HBS)”, where a compact neutron production and moderator system provide thermal and cold neutrons with high brilliance efficiently extracted in an optimized neutron transport system. With shaping the experiment from the source to the detector a holistic neutron experiment could be set-up for the specific scientific requirements in a flexible and efficient way for the neutron user. This presents a particular challenge for the appropriate neutron transport systems to deliver the full brilliance of the source to the sample. Neutron lenses, ballistic guides and focusing systems will be requested to minimize any loss in brilliance and neutron flux. In this report we will present a brief outline of the JCNS HBS project and discuss resulting requirements on neutron transport devices