Sökning: "portfolio optimisation"

Hittade 5 avhandlingar innehållade orden portfolio optimisation.

  1. 1. Liquidity and Portfolio Optimisation

    Författare :Björn Hagströmer; Jane M. Binner; Aston University Aston Business School; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; stock market; liquidity; systematic liquidity; portfolio optimisation; high-frequency data; Economics; Nationalekonomi;

    Sammanfattning : This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock markets. The discussion on liquidity is focussed on measurement issues, including TAQ data processing and measurement of systematic liquidity factors. LÄS MER

  3. 2. Decision Analysis in Situations with Conflicting Interests

    Författare :Tobias Fasth; Aron Larsson; Love Ekenberg; Lisa Brouwers; Valentina Ferretti; Stockholms universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Multiple Criteria Decision Analysis; Portfolio Decision Analysis; Conflict Analysis; Decision Tools; Land Use Planning; Computer and Systems Sciences; data- och systemvetenskap;

    Sammanfattning : Decision problems in participatory decision making involve multiple stakeholders, who often have conflicting preferences concerning the actions under consideration. Decision problems such as these can be structured as multi-criteria problems, which enables the actions to be evaluated in terms of more than one single criterion. LÄS MER

  4. 3. Demand Flexibility for the Simultaneous Provision of Multiple Services : Tapping the Potential of Controllable Electric Loads for Frequency Reserves and Energy Arbitrage

    Författare :Lars Herre; Lennart Söder; Qiuwei Wu; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; aggregator; chance constrained optimisation; demand response; de-mand response provider; demand side management; frequency reserves; load control; stochastic optimization; aggregator; riskbegränsad optimering; efterfrågestyrning; leverantör av efterfrågesvar; efterfrågeflexibilitet; frekvensreserver; laststyrning; stokastisk optimering.; Electrical Engineering; Elektro- och systemteknik;

    Sammanfattning : Power systems with increasing shares of renewable energy sources require sufficient flexibility sources. One source of flexibility for future power systems is constituted by flexible electric loads. The concept of demand response captures the utilization of demand side flexibility to provide services to the power system. LÄS MER

  5. 4. High-level modelling and local search

    Författare :Magnus Ågren; Pierre Flener; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; Datavetenskap; Computer Science;

    Sammanfattning : Combinatorial optimisation problems are ubiquitous in our society and appear in such varied guises as DNA sequencing, scheduling, configuration, airline-crew and nurse rostering, combinatorial auctions, vehicle routing, and financial portfolio design. Their efficient solution is crucial to many people and has been the target for much research during the last decades. LÄS MER

  7. 5. On Distributed Balancing of Wind Power Forecast Deviations in Competitive Power Systems

    Författare :Richard Scharff; Lennart Söder; Mikael Amelin; Gerard L. Doorman; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; balancing; wind power integration; electricity market; wind power variations; wind power forecast errors;

    Sammanfattning : Wind power generation does, on the one hand, contribute to a less polluting and more sustainable electric power generation mix. On the other hand, the uncertainty and the variability of the power output do challenge the operation of the power system: hourly variations in wind power generation are hardly predictable in a precise way. LÄS MER