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optimal-investments
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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...
A model for investigation of optimal hydrogen pathway, and evaluation of environmental impacts of hydrogen supply system
, Article International Journal of Hydrogen Energy ; Volume 33, Issue 24 , 2008 , Pages 7314-7325 ; 03603199 (ISSN) ; Saboohi, Y ; Shayegan, J ; Sharif University of Technology
Elsevier Ltd
2008
Abstract
In order to achieve a hydrogen economy, developing widespread hydrogen supply systems are vitally important. A large number of technological options exist and are still in development for hydrogen production, storage, distribution., which cause various pathways for supplying hydrogen. Besides the technical factors, there are other effective parameters such as cost, operability, reliability, environmental impacts, safety and social implications that should be considered when assessing the different pathways as optimal and viable long-term alternatives. To aid this decision-making process, we have developed a generic optimization-based model for the long-range energy planning and design of...
Optimal investment and operation of a microgrid to provide electricity and heat
, Article IET Renewable Power Generation ; Volume 15, Issue 12 , 2021 , Pages 2586-2595 ; 17521416 (ISSN) ; Jafari, H ; Mohseni, M ; Al Sumaiti, A. S ; Heydarian Forushani, E ; Kumar, R ; Sharif University of Technology
John Wiley and Sons Inc
2021
Abstract
This paper proposes a robust investment and operation model to attend the power and heat needs of a microgrid (MG) connected to the distribution system. The optimization algorithm decides on the best investment and operation of combined heat and power (CHP), boilers, PV power generation and battery energy storage systems (BESS). For the BESS, the algorithm estimates the optimal energy storage capacity (MWh) as well as the maximum hourly delivery capacity (MW). The non-linear and non-concave heat rate chart is recast by a mix-integer linear model to have a tractable and precise model. The model considers the uncertain in some parameters using probability density function (pdf) to portrait its...
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...
Evaluation of energy recovery and potential of hydrogen production in Iranian natural gas transmission network
, Article Energy Policy ; Volume 61 , 2013 , Pages 65-77 ; 03014215 (ISSN) ; Saboohi, Y ; Kateb, M ; Sharif University of Technology
2013
Abstract
In the natural gas transmission network, from supply points to demand nods there are various technological options that include processing, transportation, conversion and gas distribution. Comprehensive analysis of natural gas network requires evaluation of different chains of gas flow through various levels based on economical and environmental criteria subject to technical and operational constraints such as feasibility, operability and reliability of different alternatives. To aid decision-making process in the sector of natural gas, a generic optimization-based model has been developed for assessing long term energy issues related to planning and design of natural gas supply systems. The...