Browsing Theses by Subject "portfolio optimization"
Now showing items 1-6 of 6
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Convex duality in constrained mean-variance portfolio optimization under a regime-switching model
(University of Waterloo, 2008-09-23)In this thesis, we solve a mean-variance portfolio optimization problem with portfolio constraints under a regime-switching model. Specifically, we seek a portfolio process which minimizes the variance of the terminal ... -
A General Neural Network Methodology for Multi-period Portfolio Optimization
(University of Waterloo, 2024-01-22)In this thesis, we propose a neural network methodology for solving the multi-period portfolio optimization problem. Our approach formulates the problem as a stochastic optimal control problem and uses a single neural ... -
The Impacts of Climate Change via Robust Optimization: Two Applications in Land Investment and Electricity Storage Systems
(University of Waterloo, 2024-01-03)Effectively adapting to a changing climate involves making appropriate operational decisions based on long-term climate forecasts. This dissertation presents a comprehensive framework that combines climate data, regression ... -
Individual insurance choice: A stochastic control approach
(University of Waterloo, 2023-02-28)This thesis applies the stochastic control approach to study the optimal insurance strategy for three problems. The first problem studies the optimal non-life insurance for an individual exhibiting internal habit formation ... -
Optimal Decumulation for Retirees using Tontines: a Dynamic Neural Network Based Approach
(University of Waterloo, 2023-09-19)We introduce a new approach for optimizing neural networks (NN) using data to solve a stochastic control problem with stochastic constraints. We utilize customized activation functions for the output layers of the NN, ... -
Portfolio Selection Under Nonsmooth Convex Transaction Costs
(University of Waterloo, 2006)We consider a portfolio selection problem in the presence of transaction costs. Transaction costs on each asset are assumed to be a convex function of the amount sold or bought. This function can be nondifferentiable ...