Search for dissertations about: "Financial optimization"

Showing result 1 - 5 of 43 swedish dissertations containing the words Financial optimization.

  1. 1. Decision Making under Uncertainty in Financial Markets : Improving Decisions with Stochastic Optimization

    Author : Jonas Ekblom; Jörgen Blomvall; Michal Kaut; Linköpings universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; SAMHÄLLSVETENSKAP; NATURAL SCIENCES; SOCIAL SCIENCES; Stochastic programming; Approximate dynamic programming; Financial optimization; Portfolio optimization; Corporate hedging; Scenario generation; Importance sampling;

    Abstract : This thesis addresses the topic of decision making under uncertainty, with particular focus on financial markets. The aim of this research is to support improved decisions in practice, and related to this, to advance our understanding of financial markets. READ MORE

  2. 2. Copula-based Portfolio Optimization

    Author : Maziar Sahamkhadam; Andreas Stephan; Håkan Locking; Ranadeva Jayasekera; Linnéuniversitetet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Copula; portfolio optimization; conditional Value-at-Risk; vine copulas; asymmetric tail dependence; Black-Litterman approach; expectile Value-at-Risk; multiobjective portfolios; Business administration; Företagsekonomi;

    Abstract : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. READ MORE

  3. 3. Essays on Financial Models

    Author : Henrik Amilon; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; options; neural networks; hedging; portfolio optimization; econometrics; Economics; ekonomisk teori; ekonomiska system; ekonomisk politik; ekonometri; generalized residuals; discreteness; GARCH; compass rose; nonlinearities; Chaos; economic theory; economic systems; Nationalekonomi; economic policy;

    Abstract : This thesis consists of five essays exploring the validity of some extensively used financial models with a focus on the Swedish equity and derivative markets. The essays are of both an empirical and a theoretical nature. READ MORE

  4. 4. Optimization of Joint Cell, Channel and Power Allocation in Wireless Communication Networks

    Author : Mikael Fallgren; Anders Forsgren; Zhi-Quan (Tom) Luo; KTH; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; NATURVETENSKAP; TEKNIK OCH TEKNOLOGIER; NATURAL SCIENCES; ENGINEERING AND TECHNOLOGY; Wireless multicell networks; Optimization; OFDMA; Shannon capacity; Complexity; NP-hard; Relays; Allocation problems; Heuristic algorithms;

    Abstract : In this thesis we formulate joint cell, channel and power allocation problems within wireless communication networks. The objectives are to maximize the user with mini- mum data throughput (Shannon capacity) or to maximize the total system throughput, referred to as the max-min and max-sum problem respectively. READ MORE

  5. 5. Optimization-Based Models for Measuring and Hedging Risk in Fixed Income Markets

    Author : Johan Hagenbjörk; Jörgen Blomvall; Ou Tang; Giorgio Consigli; Linköpings universitet; []
    Keywords : NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Finance; Fixed income; Interest rate risk; Credit risk; Risk management; Optimization; Mathematics;

    Abstract : The global fixed income market is an enormous financial market whose value by far exceeds that of the public stock markets. The interbank market consists of interest rate derivatives, whose primary purpose is to manage interest rate risk. READ MORE