Search for dissertations about: "Mean- Variance"

Showing result 1 - 5 of 175 swedish dissertations containing the words Mean- Variance.

  2. 1. Mean-Variance Portfolio Optimization : Eigendecomposition-Based Methods

    Author : Fred Mayambala; Torbjörn Larsson; Elina Rönnberg; Juma Kasozi; Ann-Brith Strömberg; Linköpings universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : Modern portfolio theory is about determining how to distribute capital among available securities such that, for a given level of risk, the expected return is maximized, or for a given level of return, the associated risk is minimized. In the pioneering work of Markowitz in 1952, variance was used as a measure of risk, which gave rise to the wellknown mean-variance portfolio optimization model. READ MORE

  4. 2. Novel Statistical Methods in Quantitative Genetics : Modeling Genetic Variance for Quantitative Trait Loci Mapping and Genomic Evaluation

    Author : Xia Shen; Örjan Carlborg; Lars Rönnegård; William Hill; Uppsala universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; statistical genetics; quantitative trait loci; genome-wide association study; genomic selection; genetic variance; hierarchical generalized linear model; linear mixed model; random effect; heteroscedastic effects model; variance-controlling genes; Complex Systems – Microdata Analysis;

    Abstract : This thesis develops and evaluates statistical methods for different types of genetic analyses, including quantitative trait loci (QTL) analysis, genome-wide association study (GWAS), and genomic evaluation. The main contribution of the thesis is to provide novel insights in modeling genetic variance, especially via random effects models. READ MORE

  5. 3. Estimating Probability Distribution by doing Computer Experiments

    Author : Gunnar Kjell; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; computer simulations; seismic verification; response spectrum prediction; stratified sampling; latin hypercube sampling; variance reduction; variance estimation; seismic verification;

    Abstract : In almost every field of engineering, advanced computer programs are used. In many cases only the probability distributions of the input variables to the programs are known. Sometimes stochastic processes are used as input, for example if the stresses in a construction due to an earthquake are to be calculated. READ MORE

  6. 4. Aspects of Waiting and Contracting in Game Theory

    Author : Peter Helgesson; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Game Theory; War of Attrition; ESS; N-Player; Principal-Agent Problem; Stochastic Maximum Principle; Pontryagin’s Maximum Principle; Mean- Variance; Time Inconsistent Utility Functions; Game Theory;

    Abstract : The topic of this thesis concerns two selected problem in game theory; the Nplayer War of Attrition and the Principal-Agent problem. The War of Attrition is a well established game theoretic model that was first introduced in the 2-player case by John Maynard Smith. READ MORE

  7. 5. On the Mean Square Error of Transfer Function Estimates with Applications to Control

    Author : Svante Gunnarsson; Linköpings universitet; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Mean square error; Transfer function; Estimation; Applications;

    Abstract : In this report we study the mean square error of transfer function estimates obtained by identification. The model quality is related to the use of models in regulator design, and the properties of affecting the bias part of the mean square error, both in fixed parameter control and adaptive control. READ MORE