Distributionally robust portfolio optimization for radioactive waste fund
Başlık çevirisi mevcut değil.
- Tez No: 839075
- Danışmanlar: Belirtilmemiş.
- Tez Türü: Yüksek Lisans
- Konular: Maliye, İşletme, Finance, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2021
- Dil: İngilizce
- Üniversite: University of Southampton
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 53
Özet
While the benefits obtained with nuclear technologies, especially nuclear energy, continue to make our lives easier, the radioactive wastes should be stored as hazardous waste for many years. Therefore, their storage and decommission cause various costs. A radioactive waste fund can be named a security fund established to cover all costs arising from radioactive waste in the current or future. The main problem for this fund is that the fund, established to cover future costs, loses its value over time due to reasons such as inflation. For this reason, risky investments and efficient portfolio management are a requirement for radioactive waste funds. Because it will not be efficient to determine a framework for the investments of funds due to the different risk approaches of each country, it will be more constructive and effective to suggest an up-to-date portfolio optimization method to be used in investments. In this study, an optimum portfolio selection model has been studied with the Distributionally Robust Optimization method, which is up-to-date and continues to develop. In order to demonstrate the efficiency of the model, comparisons have been made based on the investment principles and results of the Swedish nuclear waste fund, which shares the data openly. In the comparison made for 2021, the model calculated the optimum portfolio by using historical data until the end of 2020. At the end of 2021, the real returns of the indexes are observed. As a result, the optimum portfolio weights determined by the model can get higher yield than the return rates published by the Swedish nuclear waste fund for 2021.
Özet (Çeviri)
Özet çevirisi mevcut değil.
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