Stochastic Surplus Process and Constrained Portfolio Optimisation with VaR and CVaR

Date

2016-09-05

Author

Şimşek, Meral
Uğur, Ömür
Kestel, Sevtap Ayşe

Metadata

Show full item record

Item Usage Stats

185
views

0
downloads

URI

https://hdl.handle.net/11511/71862

Collections

Unverified, Conference / Seminar

Suggestions

OpenMETU
Core

Stochastic surplus process and constrained portfolio optimization with VaR and CVaR Şimşek, Meral; Uğur, Ömür; Kestel, Sevtap Ayşe (null; 2016-09-08)
Stochastic optimal control theory: new applications to finance and insurance Akdoğan, Emre; Yolcu Okur, Yeliz; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017) In this study, the literature, recent developments and new achievements in stochastic optimal control theory are studied. Stochastic optimal control theory is an important direction of mathematical optimization for deriving control policies subject to timedependent processes whose dynamics follow stochastic differential equations. In this study, this methodology is used to deal with those inﬁnite-dimensional optimization programs for problems from ﬁnance and insurance that are indeed motivated by the real l...
Stochastic assembly line balancing problems involving robots and reliability restriction Şahin, Muhammet Ceyhan; Tural, Mustafa Kemal; Department of Industrial Engineering (2022-7-1) When considering assembly processes in the manufacturing ecosystem, the task times may vary from cycle to cycle, especially in assembly lines where manual operations are abundant. Line stops, defective products, and off-line tasks caused by the uncertainty in assembly processes can be highly costly for companies. Stochastic assembly line balancing problems (SALBPs) consider the task processing times as random variables to deal with uncertainty in real-life assembly operations. The difficulties faced due to...
Stochastic risk assessment of an insurance portfolio underrenewal process with VaR and CVaR as initial capital Şimşek, Meral; Uğur, Ömür (2017-09-04)
Stochastic characterization and mathematical analysis of feedforward linearizers Coşkun, Arslan Hakan; Demir, Şimşek; Department of Electrical and Electronics Engineering (2003) Feedforward is known to be one of the best methods for power amplifier linearization due to its superior linearization performance and broadband stable operation. However feedforward systems have relatively poor power efficiency and are complicated due to the presence of two nonlinear amplifiers and the requirements of amplitude, phase and delay matching within two different loops. In this thesis stochastic characterization of a simple feedforward system with autocorrelation analysis has been presented for ...

Citation Formats

M. Şimşek, Ö. Uğur, and S. A. Kestel, “Stochastic Surplus Process and Constrained Portfolio Optimisation with VaR and CVaR,” 2016, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/71862.