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Simulating the Interaction of a Renewable Portfolio Standard with Electricity and Carbon Markets
Electricity and Carbon Markets Renewable Portfolio Standard
2015/7/31
The authors ran a game-based simulation of an electricity
market with both an RPS and a cap-and-trade market for
greenhouse gas emissions allowances. High renewable
energy shares reduced and shifte...
Simulating the Interaction of a Renewable Portfolio Standard with Electricity and Carbon Markets
Electricity and Carbon Markets Renewable Portfolio Standard
2015/7/31
The authors ran a game-based simulation of an electricity
market with both an RPS and a cap-and-trade market for
greenhouse gas emissions allowances. High renewable
energy shares reduced and shifte...
Research on the Project Portfolio Technology Based on Functional Objective
Multi-Project Portfolio of Projects Functional Objective of Project Project Portfolio Technology
2013/2/23
The portfolio technology is used to solve project portfolio problems from strategic-level and tactical-level, namely, project portfolios based on goals and similarities, respectively. On the basis of ...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
Belief Propagation Algorithm for Portfolio Optimization Problems
Belief Propagation Algorithm Portfolio Optimization Problems
2010/10/21
The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti and...
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
Stochastic Utilities Optimal Portfolio Stochastic Flows
2010/10/20
The paper generalizes the construction by stochastic flows of consistent utilities processes introduced by M. Mrad and N. El Karoui (2010). The market is incomplete and securities are modeled as local...
Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function
Zeitnot market modeling statistically optimal strategy Markov process
2010/10/20
A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective o...
Finding the Efficient Frontier for a Mixed Integer Portfolio Choice Problem Using a Multiobjective Algorithm
Markowitz Model Multiobjective Optimization NSGA Portfolio Selection
2013/2/23
We propose a computational procedure to find the efficient frontier for the standard Markowitz mean-variance model with discrete variables. The integer constraints limit on the one hand the portfolio ...
Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
Turnover account value real traders portfolio optimizing behavior
2010/11/3
Despite the availability of very detailed data on nancial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-ba...
主讲人
Guo Kai
Harvard University
题目
A Generalized Portfolio View of the Current Account