Essays about: "Swing-pricing"

Found 1 essay containing the word Swing-pricing.

  1. 1. Optimal Portfolio Re-Balancing on Fixed Periods using a Cost/Risk Adaptation Model and Stochastic Optimization.

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Max Ehn; Marcus Jämte; [2023]
    Keywords : Optimal portfolio re-balancing; optimal liquidation; minimize transaction costs; trading-volume estimation; stochastic optimization; Financial mathematics; tracking error; execution strategies; opportunity costs; liquidation costs; applied mathematics; PRIIP regulation; Swing-pricing;

    Abstract : In this thesis we investigate the problem of portfolio re-balancing for fixed periods using a cost/risk adaptation model and stochastic optimization. The cost/risk adaptation model takes theory of optimal liquidity costs and risk preference to build a universe in which we try to find better strategies than conventional ones. READ MORE