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Optimal Investment Strategies in Discrete-Time With Access to Derivatives
,
M.Sc. Thesis
Sharif University of Technology
;
Kianfar, Farhad
(Supervisor)
Abstract
Optimal investment strategies are often derived in continuous time models, but have to be implemented in discrete time. It has been shown that in models with stochastic volatility or jumps; this could lead to significant utility loss, for an investor who utilizes ‘Derivatives’ in his/her portfolio. In this study, we determine the optimal investment strategies with discrete trading explicitly taken into account, through ‘Stochastic Dynamic Programming’. These strategies are in the form of optimal factor exposures for portfolio. The investor, then, needs to use sufficient non-redundant Derivatives in addition to the ‘Stock’ to gain the desired exposures in each point of state space he meet....
Detecting Momentum in the Return Time Series of Currency Market Equally-Weighted and Min-Variance Portfolios
, M.Sc. Thesis Sharif University of Technology ; Talebian, Masoud (Supervisor) ; Seif, Mostafa (Supervisor)
Abstract
Portfolio-based investment strategies in the currency market, unlike the stock market, have not been well-investigated as the scientific papers mostly focus on more popular investment strategies like carry trade, momentum, and technical analysis. Our main aim is to evaluate the performance of two well-known portfolio selection techniques, i.e. equally-weighted and minimum variance portfolios, in the currency market and to improve the performance, based on the characteristics of the return time series of each method. To improve the performance of the portfolios, we check for the presence of momentum in the return time series. Our findings show both portfolios do not yield abnormal returns...
Exergoeconomic Composite Curves-from theory to practice
, Article 11th World Multi-Conference on Systemics, Cybernetics and Informatics, WMSCI 2007, Jointly with the 13th International Conference on Information Systems Analysis and Synthesis, ISAS 2007, Orlando, FL, 8 July 2007 through 11 July 2007 ; Volume 5 , 2007 , Pages 332-337 ; 1934272191 (ISBN); 9781934272190 (ISBN) ; Farhanieh, B ; Mozafari, A. A ; International Institute of Informatics and Systemics (IIIS) ; Sharif University of Technology
2007
Abstract
Exergoeconomic Composite Curves (EECC) - a synergy of Exergoeconomic and Composite Curves of Pinch Analysis is a novel method and propounded for the first time in this Paper. This is the first attempt to represent investment and annual operating and maintenance costs in addition to Exergy in a graphical form similar to Composite Curves. In this Paper a simplified methodology that represents the Exergy of chemical units of a process in a graphical form and preliminary investment strategy is developed for use with the EECC. The object has therefore been to study the possibilities to save money in Northern Pulp and Paper Mill, an Iranian mill with a capacity of 600 tons/day
Individual and Institutional Trading in Tehran Security Exchange and Stock Return
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor) ; Haghpanah, Farshad (Supervisor)
Abstract
In finance literature there are different views of individual and institutional investors for variety of reasons. Despite having consensus on the difference of individual and institutional investors due to complexity and size, it seems there are much disagreement on how they affect the key process of market like return and liquidity. In this paper we consider the effect of individual and institutional trading on the short-term return of stocks. Specifically, first we define some factors to measure the trading activity of individual and institutional investors. Then we use these factors to sort each stock in the cross section to create decile portfolios and we compare the short-term return...
Optimized sectionalizing switch placement strategy in distribution systems
, Article IEEE Transactions on Power Delivery ; Vol. 27, issue. 1 , 2012 , p. 362-370 ; ISSN: 08858977 ; Fotuhi-Firuzabad M ; Parvania, M ; Mosleh, M ; Sharif University of Technology
Abstract
Automation is acknowledged by distribution utilities as a successful investment strategy to enhance reliability and operation efficiency. However, practical approaches that can handle the complex decision-making process faced by decision makers to justify the long-term financial effects of distribution automation have remained scarce. An automated and remote-controlled sectionalizing switch play a fundamental role in an automated distribution network. This paper introduces a new optimization approach for distribution automation in terms of automated and remotely controlled sectionalizing switch placement. Mixed-integer linear programming (MILP) is utilized to model the problem. The proposed...
Optimized sectionalizing switch placement strategy in distribution systems
, Article IEEE Transactions on Power Delivery ; Volume 27, Issue 1 , 2012 , Pages 362-370 ; 08858977 (ISSN) ; Fotuhi Firuzabad, M ; Parvania, M ; Mosleh, M ; Sharif University of Technology
2012
Abstract
Automation is acknowledged by distribution utilities as a successful investment strategy to enhance reliability and operation efficiency. However, practical approaches that can handle the complex decision-making process faced by decision makers to justify the long-term financial effects of distribution automation have remained scarce. An automated and remote-controlled sectionalizing switch play a fundamental role in an automated distribution network. This paper introduces a new optimization approach for distribution automation in terms of automated and remotely controlled sectionalizing switch placement. Mixed-integer linear programming (MILP) is utilized to model the problem. The proposed...