Autor: Kulikowski, R. - Prolib Integro

Skocz do pozycji: 1.

Tytuł:: Optimization of survival strategy by application of safety dependent utility model
Autorzy:: Kulikowski, R.
Tematy:: optymalizacja
prawdopodobieństwo
ryzyko
teoria decyzji
teoria systemów
wzór użytkowy
death-averting
decision support
expcted return
life saving
optimization
optimum life-saving strategy
probability of death and survival
risk
safety
utility models; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/205749.pdf Link otwiera się w nowym oknie
Opis:: This paper deals with life-saving decisions. The decision maker can buy a number of death-averting devices or services which increase his safety S at the expense of the discounted future consumption R. The safety and consumption depend parametrically on the death probability p and the probability reducing strategy x, i.e. S(p/x); R(p/x). The two-factors utility function U(S, R) is used to find the optimum strategy x = [...]. which maximizes U(x). One can show that the unique strategy [...] exists and can be effectively derived. Many applications of proposed methodology are indicated.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Two factors utility approach
Autorzy:: Kulikowski, R.
Tematy:: optymalizacja
expected return
investment allocation
optimum investment strategies
portfolio optimization
portfolio variance
risk aversion
utility function
worse case return; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/206747.pdf Link otwiera się w nowym oknie
Opis:: This paper deals with optimization of portfolios composed of securities (equities). The drawbacks of existing methodologies, based on a single factor utility function, are indicated. The two-factor utility function introduced takes into account the expected excess return and expected worst case return (both in monetary units). Assuming that utility is "risk averse" and "constant returns to scale", a theorem on existence of optimum strategy of investments is proven. The optimum strategy is derived in an explicit form. A numerical example is also given.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Portfolio optimization - two rules approach
Autorzy:: Kulikowski, R.
Tematy:: optymalizacja
optymalizacja portfela
expected return
investment allocation
optimum investment strategies
portfolio optimization
portfolio variance
risk aversion
utility function
worse case return; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/206858.pdf Link otwiera się w nowym oknie
Opis:: The new approach to the portfolio optimization, based on the concept of two-factor utility function, is proposed. The first factor describes the expected average profit, while the second - the worse case profit. Then, two rules enabling one to compose an optimum portfolio are formulated. The first rule determines the level of acceptance for all assets with given risk/return ratio. The second rule enables one to allocate the investment fund among all the accepted assets. The methodology proposed does not require to specify the individual utility function in an explicit form. It can be used to optimize portfolios composed of equities as well as bond and other securities, using a passive or - active management strategy.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 4.

Tytuł:: Information pricing for portfolio optimization
Autorzy:: Banek, T.
Kulikowski, R.
Tematy:: wartość informacji
martyngał
optymalizacja portfela inwestycyjnego
value of information
martingale
portfolio optimization; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/970590.pdf Link otwiera się w nowym oknie
Opis:: We consider the following problem: is there a rational or fair price for the reports made by analysts, experts, investor advisers concerning the rate of return (RR) of investments? We define the notion of the value of information included in the family of probability distributions of the RR. Next, we illustrate this notion for a linear-quadratic utility function.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 5.

Tytuł:: Predictive and look-up table control methods of a three-level AC-DC converter under distorted grid voltage
Autorzy:: Falkowski, P.
Kulikowski, K.
Grodzki, R.
Tematy:: three-level AC/DC converter
direct power control
finite contol set model predictive control
lookup table method
AC/DC
trzypoziomowy konwerter AC/DC; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Powiązania:: https://bibliotekanauki.pl/articles/201956.pdf Link otwiera się w nowym oknie
Opis:: Power electronic three-level AC-DC converters connecting a utility grid with DC supplies are widely used in renewable energy sources. For such distributed systems, the quality of energy is very important. Hence, control algorithms of an AC-DC converter have to provide not only a sinusoidal shape of grid current, but also stable operation during transient states in the grid, e.g. voltage dips or voltage unbalance. This paper deals with the problem of robustness of AC-DC control methods under disturbed grid voltage. Three modern predictive control algorithms are presented and investigated under grid voltage distortions. Experimental results from a laboratory test setup illustrating properties of the described methods are shown.
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 6.

Artykuł

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