Sökning: "portfolio optimisation"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden portfolio optimisation.

  1. 1. Optimised ESG portfolios. Does sustainability sacrifice profit?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Eric Hellstedt; [2022]
    Nyckelord :ESG; Sustainable investment; portfolio selection; portfolio optimisation; Sharpe ratio; Business and Economics;

    Sammanfattning : The purpose of this thesis is to investigate the relationship between ESG and portfolio investment. More specifically, we investigate if sustainable portfolios that focus on good ESG performance requires sacrificing profit or if it is possible to maintain a sustainable portfolio with a high financial gain. LÄS MER

  3. 2. 100% Renewable Energy Sourcing for Heavy Industry and the Role of Energy Storage : Renewable energy portfolio optimisation and the evolving role of the industrial energy consumer

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Elektricitetslära

    Författare :William Wäreborn; [2022]
    Nyckelord :PPA; GO; Energy Storage; Industrial; Renewable Energy; Heavy Industry;

    Sammanfattning : This master’s thesis aims to investigate the renewable energy sourcing strategy of large industrial energy consumers and the ways that it can be improved in order to more effectively reduce energy related emissions and more accurately report renewable energy usage. The investigation was carried out in four stages. LÄS MER

  4. 3. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Nikolas Tsigkas; [2022]
    Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER

  5. 4. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Rickard Nordin; Emil Mårtensson; [2021]
    Nyckelord :Term structure measurement; optimization; hedging; swap portfolio; interest rate swaps; stochastic programming; FRA; IRS; dimension reduction; component analysis; component decomposition; signal separation;

    Sammanfattning : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. LÄS MER

  7. 5. Optimisation of the Distribution of COVID-19 Vaccines

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Paula Isacson; Daniel Maslov; [2021]
    Nyckelord :Mixed-integer program; stochastic program; supply chain management; reliability; Blandad heltalsprogrammering; stokastisk programmering; logistik av försörjningskedja; tillförlitlighet;

    Sammanfattning : This paper explores how to optimally distribute vaccines by deciding what middle warehouses to use for storage. For this purpose, a network has been designed with a central warehouse, a set of middle warehouses and a set of local hospitals. LÄS MER