Institute of Information Theory and Automation

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Utilization of Stochastic Optimization and Equilibrium Models in Portfolio Selection and Energy Finance

Identification Code: 
18-04145S
Start: 
2018-01-01
End: 
2020-12-31
Project Focus: 
teoretický
Project Type (EU): 
other
Abstract: 
Our research effort follows the current challenging problems of portfolio analysis and energy finance. In particular, we shall investigate sparse robust portfolio selection problems with non-smooth objectives and analyze the joint effects of sparsity and robustification using real stock exchange data. Also, we shall attempt at modeling the price of emission allowances and provide predictions of the auction revenues in the Czech Republic emissions market. Further, we plan to analyze the strategic behavior of agents in the deregulated electricity markets. In all three research areas, we shall investigate models which have a common general mathematical structure. We plan to use the cutting-edge mathematical tools of variational analysis and apply the state-of-the-art methods of nonsmooth and stochastic optimization for development of new numerical techniques. We attempt at development of a new theory which has not yet been reflected in the literature as well as of research studies based on real world instances.
Publications ÚTIA: 
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2018-05-31 13:00