Oblikovanje optimalnega portfelja z uporabo terminskih pogodb ter evropskih nakupnih in prodajnih opcij na trgu električne energije : magistrsko delo

Port, Neva (author), Velušček, Dejan (mentor)

• Language: Slovenian
• Keywords: optimalni statični portfelj, optimalni portfelj v zveznem času, VaR omejitev, stohastično kvadratično programiranje
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [N. Port]
• Year: 2013
• Number of pages: 108 str.
• PID: 20.500.12556/RUL-96879
• UDC: 519.8
• COBISS.SI-ID: 16751961
• Publication date in RUL: 17.10.2017

Secondary language

• Language: English
• Title: Developing optimal hedging portfolio using future contracts and European put and call options on the electricity market
• Keywords: optimal static hedging portfolio, optimal hedging portfolio in continous time, VaR-constrain, stochastic quadratic programming