Sökning: "portfolio optimization"

Visar resultat 16 - 20 av 25 avhandlingar innehållade orden portfolio optimization.

  1. 16. Aspects of cash-flow valuation

    Författare :Fredrik Armerin; Boualem Djehiche; Bjarne Astrup Jensen; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; arbitrage; coherent and convex measures of risk; immunization; insurance; martingale methods; Matematisk statistik; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of five papers. In the first two papers we consider a general approach to cash flow valuation, focusing on dynamic properties of the value of a stream of cash flows. The third paper discusses immunization theory, where old results are shown to hold in general deterministic models, but often fail to be true in stochastic models. LÄS MER

  3. 17. Contributions to the Stochastic Maximum Principle

    Författare :Daniel Andersson; Boualem Djehiche; Fred Espen Benth; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of four papers treating the maximum principle for stochastic control problems. In the first paper we study the optimal control of a class of stochastic differential equations (SDEs) of mean-field type, where the coefficients are allowed to depend on the law of the process. LÄS MER

  4. 18. Necessary Optimality Conditions for Two Stochastic Control Problems

    Författare :Daniel Andersson; Boualem Djehiche; Tomas Björk; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of two papers concerning necessary conditions in stochastic control problems. In the first paper, we study the problem of controlling a linear stochastic differential equation (SDE) where the coefficients are random and not necessarily bounded. We consider relaxed control processes, i.e. LÄS MER

  5. 19. Energy Scheduling of Electric Vehicles for Electricity Market Participation

    Författare :Pavan Balram; Chalmers tekniska högskola; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; day-ahead market; EV aggregator; Electric vehicles; demand response; regulating power market; retailer planning;

    Sammanfattning : Global policy targets to reduce greenhouse gas emissions has led to increased interest in electric vehicles (EV) and their integration into the electricity network. Batteries in EVs offer flexibility from the demand side that could potentially compete against generating resources for providing power system services. LÄS MER

  7. 20. Risk-Neutral and Physical Estimation of Equity Market Volatility

    Författare :Mathias Barkhagen; Jörgen Blomvall; Ou Tang; Magnus Wiktorsson; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : The overall purpose of the PhD project is to develop a framework for making optimal decisions on the equity derivatives markets. Making optimal decisions refers e.g. to how to optimally hedge an options portfolio or how to make optimal investments on the equity derivatives markets. LÄS MER