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A novel matrix based systematic approach for vulnerability assessment
, Article COMPEL - The International Journal for Computation and Mathematics in Electrical and Electronic Engineering ; Volume 40, Issue 1 , 2021 , Pages 1-17 ; 03321649 (ISSN) ; Doroudi, A ; Fotuhi Firuzabad, M ; Bashiri, M ; Sharif University of Technology
Emerald Group Holdings Ltd
2021
Abstract
Purpose: This paper aims to propose a novel matrix-based systematic approach for vulnerability assessment. Design/methodology/approach: The proposed method consists of two major steps. First, the power network is modeled as a topological combination of edges (transmission lines, transformers, etc.) and nodes (buses, substations, etc.). The second step is to use an axiomatic design-based index for topology analysis. This index is based on the systematic counting of possible routes from the start (generators) to destination (loads), considering load importance, before and after a disruption. Findings: The effectiveness of the proposed method is demonstrated through an illustrative example and...
Optimization in Investment Management with Uncertain data
, M.Sc. Thesis Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
In this thesis, first, the problem of valuation of a portfolio is considered. This portfolio consists of some risky assets and real options written on them, with capital budgeting constrain. Three major elements of this problem are: portfolio, capital budgeting and real options. After reviewing the relevant literature, we develop a framework for managerial decisions about risky assets, by applying of Option Valuation Theory and Stochastic Dynamic Programming. The objective is to fill the gap in the valuation literature and propose a model that considers three aspects of investment decisions– portfolio approach, capital budgeting and real options- simultaneously. The proposed model...
A novel matrix based systematic approach for vulnerability assessment
, Article COMPEL - The International Journal for Computation and Mathematics in Electrical and Electronic Engineering ; 2020 ; Doroudi, A ; Fotuhi Firuzabad, M ; Bashiri, M ; Sharif University of Technology
Emerald Group Holdings Ltd
2020
Abstract
Purpose: This paper aims to propose a novel matrix-based systematic approach for vulnerability assessment. Design/methodology/approach: The proposed method consists of two major steps. First, the power network is modeled as a topological combination of edges (transmission lines, transformers, etc.) and nodes (buses, substations, etc.). The second step is to use an axiomatic design-based index for topology analysis. This index is based on the systematic counting of possible routes from the start (generators) to destination (loads), considering load importance, before and after a disruption. Findings: The effectiveness of the proposed method is demonstrated through an illustrative example and...
Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model
, Article Mathematics and Computers in Simulation ; Volume 190 , 2021 , Pages 1056-1079 ; 03784754 (ISSN) ; Sharifi, A ; Arian, H ; Sharif University of Technology
Elsevier B.V
2021
Abstract
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo algorithm for calculating VaR and ES based on Gaussian Mixture Models is introduced. Gaussian Mixture Models are able to cluster input data with respect to market's conditions and therefore no correlation matrices are needed for risk computation. Sampling from each cluster with respect to their weights and then calculating the volatility-adjusted stock returns leads to possible scenarios for prices of assets. Our results on a sample of US stocks show that...