Essays about: "optimal liquidation"

Showing result 1 - 5 of 7 essays containing the words optimal liquidation.

  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

  3. 2. Dry Powder in Private Equity: How Does It Relate to Performance and What Are the Implications for Investors?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Adam Larsfelt; Sannamari Bölenius; [2019]
    Keywords : Private Equity; Dry Powder; IRR; Fundraising; Cost of equity;

    Abstract : Although average returns are decreasing in the PE industry, fund sizes are increasing more than ever, as more and more capital is poured into the industry. The amount of uncalled capital, known as dry powder, has recently hit record-high levels. READ MORE

  4. 3. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation

    University essay from KTH/Optimeringslära och systemteori

    Author : Johan Dimitry El Baghdady; [2017]
    Keywords : Stochastic optimal control; dynamic programming; asset allocation; non-cooperative games; subgame perfect Nash equilibrium; time-inconsistency; dynamic portfolio optimization; mean-variance; state dependent risk aversion; extended Hamilton-Jacobi-Bellman; execution algorithms.; Stokastisk optimal styrning; dynamisk programmering; tillgångsallokering; icke-kooperativa spel; Nashjämvikt; tidsinkonsistens; dynamisk portföljoptimering; avvägning mellan förväntad avkastning och varians; tillståndsberoende riskhantering; utökad Hamilton-Jacobi-;

    Abstract : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. READ MORE

  5. 4. Implementation of a risk calculation model incorporating optimal liquidation strategies

    University essay from Umeå universitet/Institutionen för fysik

    Author : Matilda Berglund; [2016]
    Keywords : ;

    Abstract : .... READ MORE

  6. 5. Optimal Liquidation of Stock

    University essay from Uppsala universitet/Analys och sannolikhetsteori

    Author : Di Liu; [2016]
    Keywords : ;

    Abstract : .... READ MORE