Original title: Robustní metody v teorii portfolia
Translated title: Robust methods in portfolio theory
Authors: Petrušová, Lucia ; Branda, Martin (advisor) ; Večeř, Jan (referee)
Document type: Master’s theses
Year: 2016
Language: eng
Abstract: [eng] [cze]
01 Abstract: This thesis is concerned with the robust methods in portfolio theory. Different risk measures used in portfolio management are introduced and the corresponding robust portfolio optimization problems are formulated. The analytical solutions of the robust portfolio optimization problem with the lower partial moments (LPM), value-at-risk (VaR) or conditional value-at-risk (CVaR), as a risk measure, are presented. The application of the worst-case conditional value-at-risk (WCVaR) to robust portfolio management is proposed. This thesis considers WCVaR in the situation where only partial information on the underlying probability distribution is available. The minimization of WCVaR under mixture distribution uncertainty, box uncertainty, and ellipsoidal uncertainty are investigated. Several numerical examples based on real market data are presented to illustrate the proposed approaches and advantage of the robust formulation over the corresponding nominal approach. 01 Abstrakt: Práca sa zaoberá robustnými metódami v teórii portfólia. Sú popísané rôzne miery rizika, ktoré sa využívajú pri optimalizácii portfólia, a na základe popísaných mier sú sformulované odpovedajúce optimalizačné úlohy. Analytické riešenie problému robustnej optimalizácie portfólia je uvedené pre miery rizika lower partial moments (LPM), value-at-risk (VaR) a conditional value-at-risk (CVaR). Práca popisuje aplikácie worst-case conditional value- at-risk (WCVaR) v oblasti finančného manažmentu, pričom sú detailnejšie skúmané a popísané minimalizačné úlohy za predpokladu zmiešaného rozdelenia, "box" neistoty a "ellipsoidal" neistoty. V závere práce sú prezentované výsledky numerickej štúdie na reálnych dátach z finančného trhu.
Keywords: conditional value-at-risk; portfolio selection; risk measures; robust methods; conditional value-at-risk; míry rizika; robustní metody; výběr portfolia

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/83128

Permalink: http://www.nusl.cz/ntk/nusl-352777


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses