Sökning: "Mean variance optimization"

Visar resultat 6 - 10 av 88 uppsatser innehållade orden Mean variance optimization.

  1. 6. Short-horizon Prediction of Indoor Temperature using Low-Order Thermal Networks : A case study of thermal models for heat-system control applications

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Jonas Cederberg; [2023]
    Nyckelord :Lumped Parameter Thermal Network; Resistance-Capacitance model; Parameter estimation; Modelling of Dynamical Systems; Thermal modelling; Temperature Prediction; Termiskt nätverk med klumpade parametrar; Mostånds-kapacitans modell; Parameterestimering; Modellering av dynamiska system; Termisk modellering; Temperaturprediktion.;

    Sammanfattning : Optimizing and controlling the heating systems in buildings is one way to decrease their load on the power grid, as well as introduce load flexibility to be used in Demand Response (DR) applications. A requirement in occupied buildings is that the thermal comfort of the residents is guaranteed, making the optimization of heating systems a constrained problem with respect to indoor temperature. LÄS MER

  3. 7. Portfolio Optimization Problems with Transaction Costs

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Stina Gustavsson; Linnéa Gyllberg; [2023]
    Nyckelord :Portfolio optimization; variable transaction costs; fixed transaction costs;

    Sammanfattning : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. LÄS MER

  4. 8. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500

    Kandidat-uppsats,

    Författare :Anton Rapp; Henrik Thorwaldsson; [2022-07-11]
    Nyckelord :Portfolio optimization; Miniumum variance portfolio; Capital allocation line; Cryptocurrency; Diversification;

    Sammanfattning : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. LÄS MER

  5. 9. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Sabina Colakovic; [2022]
    Nyckelord :Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

    Sammanfattning : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. LÄS MER

  7. 10. The Effect of Variability Imbalance on Lead Time

    Master-uppsats, Uppsala universitet/Institutionen för samhällsbyggnad och industriell teknik

    Författare :mitra rokni; [2022]
    Nyckelord :service time; CVp; lead time; imbalanced; variability; mean lead time; variance lead time; waiting time; variability;

    Sammanfattning : This master's thesis investigates the impact of unbalanced variability on lead time using a simulation-based optimization approach. Based on the hypothesis, variation of service time has a strong effect on lead time. LÄS MER