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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Risk aversion in portfolio efficiency
 Puček, Samuel ; Branda, Martin (advisor) ; Kopa, Miloš (referee)
This thesis deals with selecting the optimal portfolio for a risk averse investor. Firstly, we present the risk measures, specifically spectral risk me- asures which consider an individual risk aversion of the investor. Then we propose a diversification-consistent data envelopment analysis model. The model is searching for an efficient portfolio with respect to second-order sto- chastic dominance. The crux of the thesis is a model based on the theory of multi-criteria optimization and spectral risk measures. The presented mo- del is searching for an optimal portfolio suitable for the investor with a given risk aversion. In addition, the optimal portfolio is also consistent with second- order stochastic dominance efficiency. The topic of the practical part is a nu- merical study in which both models are implemented in MATLAB. Models are applied to a dataset from real financial markets. Personal contribution lies in comparing the diversification-consistent data envelopment analysis model and model based on multi-criteria optimization, both with respect to second order stochastic dominance efficiency.
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Scheduling optimization problems in education
 Puček, Samuel ; Kopa, Miloš (advisor) ; Branda, Martin (referee)
This work deals with the theory of integer programming. After defining the ba- sic concepts, it presents two algorithms suitable for solving integer problems. Firstly, it talks about the branch and bound algorithm and secondly, it talks about the cutting plane algorithm. Next, it presents an assignment problem, which is a special case of integer programming. The work describes the hungarian method and explains its usage on exemplary examples. The last part of the work solves the real problem from the practice. The aim of this section is to find an optimal schedule for classes one to seven of the selected elementary school. It introduces input data processing, creating a model and the solution. Obtained results are accompanied by a brief discussion. 1
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