Searched for: subject%3A%22Mean%255C-Variance%22
(1 - 14 of 14)
document
Nakos, Vangelis (author)
Portfolio optimization, a fundamental area of study in financial engineering,<br/>plays a crucial role in creating efficient portfolios. In this thesis, we consider<br/>a robust multi-period Mean-Variance portfolio optimization framework and<br/>apply it to real-world market data. The approach we look at incorporates a<br/>time-consistent...
master thesis 2023
document
Giannakopoulos, G. (author), Perilla Guerra, A.D. (author), Rueda, José L. (author), Palensky, P. (author), Gonzalez-Longatt, Francisco (author)
Modernization of power systems leads to more power electronic interfaced units in the generation, demand, and transmission. Examples are remotely installed renewable energy sources, loads with constant power, or high voltage direct current (HVDC) corridors. These changes significantly affect the frequency stability margins of the system and...
book chapter 2023
document
Giannakopoulos, G. (author), Perilla Guerra, A.D. (author), Rueda, José L. (author), Palensky, P. (author)
Power electronic dominated power systems formed nowadays are characterized by fast and frequent dynamics, limited short circuit support, low inertia conditions and lack of inertial support. Under these conditions, coping with active power imbalances in a power system may becomes a significant challenge for transmission system operators (TSOs)...
conference paper 2022
document
Yu, F. (author), Ching, Wai Ki (author), Wu, Chufang (author), Gu, Jia Wen (author)
In this paper, we consider optimal pairs trading strategies in terms of static optimality and dynamic optimality under mean–variance criterion. The spread of the entity pairs is assumed to be mean-reverting and follows an Ornstein–Uhlenbeck process. A constrained optimal control problem is considered, and the Lagrange multiplier technique is...
journal article 2022
document
Giannakopoulos, George (author)
Power systems nowadays are experiencing a significant energy transition characterized by the progressive increment of power electronic interfaced units. Voltage source converters are extensively utilized to interconnect renewable energy sources at various transmission levels, facilitate the asynchronous interconnection of system areas through...
master thesis 2021
document
Zhang, Chenrui (author), Rakhshani, E. (author), Veerakumar, Nidarshan (author), Rueda, José L. (author), Palensky, P. (author)
The frequency stability of the power system is challenged by the high penetration of power electronic interfaced renewable energy sources (RES). This paper investigates the improvements of the frequency response of fully decoupled wind power generators (FDWG) by proposing a novel generic model implementation of ultracapacitors (UC) within a...
journal article 2021
document
Bodnar, Taras (author), Dmytriv, Solomiia (author), Okhrin, Yarema (author), Parolya, N. (author), Schmid, Wolfgang (author)
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency of the expected utility (EU) portfolio and discuss the asymptotic behavior of the proposed test statistic under the high-dimensional asymptotic regime, namely when...
journal article 2021
document
Zhang, Chenrui (author)
The frequency stability of the power system is challenged by the high penetration of power electronic interfaced renewable energy sources (RES). This paper investigates the improvements of frequency responses of fully decoupled wind power generators (FDWG) by proposing a novel implementing of ultracapacitors (UC) within a hybrid scheme in real...
master thesis 2020
document
Wang, D. (author), Rueda, José L. (author), Rakhshani, E. (author), van der Meijden, M.A.M.M. (author)
Unlike synchronous generators, wind turbines cannot directly respond to large disturbances, which may cause transient instability, due to their power electronic-based interface and maximum power control strategy. To effectively monitor the influence of wind turbines, this paper proposes an approach that combines decision trees (DTs), and a...
journal article 2020
document
Bodnar, Taras (author), Ivasiuk, Dmytro (author), Parolya, N. (author), Schmid, Wolfgang (author)
We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution, the closed-form expressions of the optimal portfolio weights are obtained for both utility functions. Moreover, we prove that both optimal portfolios belong to...
journal article 2020
document
Perilla Guerra, A.D. (author), Papadakis, Stelios (author), Rueda, José L. (author), van der Meijden, M.A.M.M. (author), Palensky, P. (author), Gonzalez-Longatt, Francisco (author)
The decommissioning of synchronous generators, and their replacement by decoupled renewable power plants, has a significant impact on the transient stability performance of a power system. This paper concerns with an investigation of the degree of transient stability enhancement that can be achieved in power systems with high shares (e.g.,...
journal article 2020
document
PAPADAKIS, Stelios (author)
During the last years, electric power generation was based mainly on large centralized fossil fuelled power plants. However, nowadays and in the future, efforts are made to increase the share from renewable sources, as a result of increasing environmental concern. Indeed, in some networks areas, wind generators gradually start to replace...
master thesis 2019
document
Rueda, José L. (author), Erlich, Istvan (author)
Mean-Variance Mapping Optimization (MVMO) belongs to the family of evolutionary algorithms, and has proven to be competitive in solving computationally expensive problems proposed in the Icompetitions CEC2014, CEC2015, and CEC2016. MVMO can tackle such problems by evolving a set of solutions (population based approach) or a single solution ...
conference paper 2018
document
Peeters Weem, J.M. (author)
In this thesis we discuss a framework for life-cycle construction. For the construction of life-cycles we use mean-variance optimization. Mean-variance optimization is a portfolio selection method used to find a combination of asset classes that has an optimal risk-return trade-off. We choose the replacement ratio, the pension income as fraction...
master thesis 2017
Searched for: subject%3A%22Mean%255C-Variance%22
(1 - 14 of 14)