Original title: Stochastická dominance v úlohách optimalizace portfolia
Translated title: Stochastic dominance in portfolio optimization
Authors: Paulik, Marek ; Kopa, Miloš (advisor) ; Branda, Martin (referee)
Document type: Bachelor's theses
Year: 2019
Language: eng
Abstract: The main topic of this thesis is the application of stochastic dominance constrains to portfolio optimization problems. First, we recall Markowitz model. Then we present portfolio selection problems with stochastic dominance constraints. Finally, we compare performance of these two approaches in an empirical study presented in the last chapter.
Keywords: Markowitz model; portfolio optimization; Stochastic dominance; Markowitzuv model; optimalizace portfolia; Stochastická dominance

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/105382

Permalink: http://www.nusl.cz/ntk/nusl-393721


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