Essays about: "Mean - Variance"

Showing result 1 - 5 of 285 essays containing the words Mean - Variance.

  1. 1. On The Evaluation of District Heating Load Predictions

    University essay from Lunds universitet/Institutionen för energivetenskaper

    Author : Herman Hansson; [2023]
    Keywords : Technology and Engineering;

    Abstract : District Heating is a technology with the potential to enable a fossil-free society. However, to realize this potential, some improvements need to be made in order to improve District Heating operation at large, decrease losses in the systems, and thus increase the competitiveness of District Heating as a technology. READ MORE

  3. 2. Robust Portfolio Optimization with Correlation Penalties

    University essay from KTH/Matematisk statistik

    Author : Pelle Nydahl; [2023]
    Keywords : Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

    Abstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE

  4. 3. Study of evaluation metrics while predicting the yield of lettuce plants in indoor farms using machine learning models

    University essay from Högskolan i Skövde/Institutionen för informationsteknologi

    Author : Divya Chedayan; Harry Geo Fernandez; [2023]
    Keywords : machine learning; lettuce yield prediction; Regression; SVR; RF; DNN; MAE; MSE; RMSE; R-squared; Adjusted R-squared;

    Abstract : A key challenge for maximizing the world’s food supply is crop yield prediction. In this study, three machine models are used to predict the fresh weight (yield) of lettuce plants that are grown inside indoor farms hydroponically using the vertical farming infrastructure, namely, support vector regressor (SVR), random forest regressor (RFR), and deep neural network (DNN). READ MORE

  5. 4. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds

    University essay from KTH/Matematik (Avd.)

    Author : Idun Cederberg; Ida Cui; [2023]
    Keywords : Master Thesis; Financial Mathematics; Fund of Funds; Portfolio Optimization; Mean Variance Optimization; Masterexamensarbete; finansiell matematik; fond i fond; portföljoptimering; modern portföljteori;

    Abstract : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. READ MORE

  6. 5. Portfolio Optimization Problems with Cardinality Constraints

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Abolgasem Esmaeily; Felix Loge; [2023]
    Keywords : Portfolio Optimization; Modern Portfolio Theory MPT • Mixed Integer Programming MIP ; Efficient Frontier; Cardinality Constraints; Daily Returns; Expected Returns; Asset Allocation; Diversification;

    Abstract : This thesis analyzes the mean variance optimization problem with respect to cardinalityconstraints. The aim of this thesis is to figure out how much of an impact transactionchanges has on the profit and risk of a portfolio. We solve the problem by implementingmixed integer programming (MIP) and solving the problem by using the Gurobi solver. READ MORE