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Oblikovanje optimalnega portfelja z uporabo terminskih pogodb ter evropskih nakupnih in prodajnih opcij na trgu električne energije : magistrsko delo
ID
Port, Neva
(
Author
),
ID
Velušček, Dejan
(
Mentor
)
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MD5: 7A0AF593A94F9E7033F91D8C6010A508
PID:
20.500.12556/rul/e2539905-1950-44a6-9309-591c3047358c
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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
Views:
1948
Downloads:
381
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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
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