Search for dissertations about: "Optimal contracts"

Showing result 1 - 5 of 28 swedish dissertations containing the words Optimal contracts.

  2. 1. On the profitability of momentum strategies and optimal leverage rules

    Author : Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout Strategies; Optimal fraction criterion; Time series momentum; Economics; nationalekonomi;

    Abstract : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. READ MORE

  4. 2. Essays on contracts and social preferences

    Author : Robertas Zubrickas; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This thesis deals with the problems of optimal grading, employee performance evaluation by unaccountable managers, and the evolution of inequity-averse preferences. The purpose is to explain certain stylized facts related to these problems, and this is attempted with the help of contract-theoretic models. READ MORE

  5. 3. Studies in Mortgage Pricing and Finance Theory

    Author : Stefan Toll; Bengt Turner; Thomas Lindh; Timothy Riddiough; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Mortgage pricing; Finance theory; Reverse mortgages; Optimal loan contracts; Credit risk; Nationalekonomi; Economics; Nationalekonomi;

    Abstract : This thesis consists of three self-contained essays.Essay 1 examines the question of why reverse or participating mortgages have not been as much in demand as predicted. A theoretical framework is derived for evaluating the expected utility associated with a reverse or participating mortgage. READ MORE

  6. 4. Electricity Market Design Strategies for Hydro-dominated Power Systems : Exploring Optimal Bidding, Planning, and Strategic Operation through Various Market Design Strategies

    Author : Abolfazl Khodadadi; Lennart Söder; Audun Botterud; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Nordic Balancing Model; Electricity Market Designs; Stochastic Optimization; Contract-for-Difference Contracts; Nordiska Balanseringsmodellen; Design av Elektricitetsmarknader; Stokastisk Optimering; Kontrakt- för-Skillnad Kontrakt; Electrical Engineering; Elektro- och systemteknik; Nationalekonomi; Economics;

    Abstract : The existing wholesale power markets in Nordic countries play a vital role in ensuring the planned balance between supply and demand. However, these markets do not guarantee real-time operational security of the power system. READ MORE

  7. 5. Semi-Markov Models for Insurance and Option Rewards

    Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE