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An Application of Stochastic Optimal Control in Solving the Mean-variance Portfolio Selection Problem
, M.Sc. Thesis Sharif University of Technology ; Farhadi, Hamidreza (Supervisor)
Abstract
In this essay, by putting in the framework of linear-quadratic optimal control (LQ),we study and solve the mean-variance portfolio selection problem. Two models will be studied in our work; in one we assume that the price process satisfies a diffusion stochastic differential equation, while in the second model, we assume it to satisfy a jump-diffusion stochastic differential equation. In both models, a formula for the efficient frontier is obtained. This essay is mainly obtained from the works of the following articles and books:
1)X.Y. Zhou and D. Li, Continuous-Time Mean-Variance Portfolio Selection:A Stochastic LQ Framework. Applied Mathematics and Optimization. 42(2000),...
1)X.Y. Zhou and D. Li, Continuous-Time Mean-Variance Portfolio Selection:A Stochastic LQ Framework. Applied Mathematics and Optimization. 42(2000),...
Friction damper for vibration control in offshore steel jacket platforms
, Article Journal of Constructional Steel Research ; Volume 65, Issue 1 , 2009 , Pages 180-187 ; 0143974X (ISSN) ; Gholizad, A ; Sharif University of Technology
2009
Abstract
The performance of friction dampers to mitigate the wave-induced vibrations in jacket-type offshore platforms has been investigated in this study. Due to the random nature of ocean waves, a full stochastic analysis method has been used to evaluate the response of the structures equipped with these devices. A stochastic linearization technique has also been used to take the nonlinear behavior of these hysteretic dampers into account. At last, the developed mathematical formulation has been applied to evaluate the response of realistic models, and to find out the optimal values for the adjustable parameters of the friction dampers to dissipate the wave induced vibrations of the platforms. ©...
Passive devices for wave induced vibration control in offshore steel jacket platforms
, Article Scientia Iranica ; Volume 16, Issue 6 A , 2009 , Pages 443-456 ; 10263098 (ISSN) ; Gholizad, A ; Sharif University of Technology
2009
Abstract
Performances of tuned mass dampers and friction dampers to mitigate the wave induced vibrations in jacket type offshore platforms have been compared in this study. Due to the random nature of ocean waves, a full stochastic analysis method has been used to evaluate the response of the structures equipped with these devices. A stochastic linearization technique has been used to take the nonlinear behavior of friction dampers into account. The developed mathematical formulation has been applied to evaluate the response of realistic models, and to find out the optimal values for the adjustable parameters of friction dampers. The results have been verified in comparison with time domain nonlinear...
Friction damper for fatigue damage mitigation in steel jacket platforms
, Article Proceedings of the International Conference on Offshore Mechanics and Arctic Engineering - OMAE, 15 June 2008 through 20 June 2008, Berlin ; Volume 1 , 2008 , Pages 27-34 ; 9780791848234 (ISBN) ; Gholizad, A ; Ocean, Offshore, and Arctic Engineering Division; ASME ; Sharif University of Technology
2008
Abstract
The performance of friction dampers to mitigate the wave induced vibrations in jacket type offshore platforms has been investigated in this study. Due to the random nature of ocean waves, a full stochastic analysis method has been intended to evaluate the response of the structures utilized with these devices and also a stochastic linearization technique has been used to take the nonlinear behavior of these hysteretic dampers into account. At last, the developed mathematic formulation has been practiced to evaluate the response of a realistic model and to find out the optimal values for the adjustive parameters of the friction dampers to dissipate the wave induced vibrations of the platform....