Essays about: "mean variance theory"

Showing result 1 - 5 of 52 essays containing the words mean variance theory.

  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. 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

  4. 3. Evaluation of MPC and PI control on a Tribometer : Design and comparison of control methods for a Pin-on-Disc Tribometer

    University essay from KTH/Skolan för industriell teknik och management (ITM)

    Author : Ehab Ziad Raheem; Tore Malmström; [2023]
    Keywords : Control Theory; MPC; PI; PI-Cascade; Tribometer; Pin-on-Disc; Reglersystem; MPC; PI; PI-Kaskadreglering; Tribometer; Stift-På-Skiva;

    Abstract : This thesis compares Model Predictive Control (MPC) and Proportional-Integral (PI) control in a pin-on-disc tribometer. The tribometer consists of a geared Direct Current (DC) motor driving a flywheel and a voice coil actuating a pin onto the surface of the flywheel. READ MORE

  5. 4. Portfolio Optimization Problems with Transaction Costs

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Stina Gustavsson; Linnéa Gyllberg; [2023]
    Keywords : Portfolio optimization; variable transaction costs; fixed transaction costs;

    Abstract : 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. READ MORE

  6. 5. Dynamic Covariance Modelling Using Generalised Wishart Processes

    University essay from Lunds universitet/Matematisk statistik

    Author : Fredrik Nilsson; [2023]
    Keywords : Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

    Abstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE