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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Stability of multistage ALM models with respect to changes in scenario trees
 Uhliarik, Andrej ; Kopa, Miloš (advisor) ; Lachout, Petr (referee)
This thesis focuses on the stability of ALM models formulated as problems of multistage stochastic programming, with respect to reductions in scenario tree. In the first chapter, we introduce multistage stochastic programming problem and the chosen approach of the master scenario tree generation. The second chapter describes models of asset price evolution in time and clustering algo- rithm used for generation of the master tree. In the third chapter, we describe three random and three deterministic scenario tree reduction algorithms. In the fourth chapter, we formulate two pension fund ALM problems - the first one is four-stage problem, the second one is seven-stage problem. The fifth chap- ter is dedicated to the description of the practical part of the thesis, in which we study and compare the stability of the objective function and the solutions in individual stages with respect to scenario tree reductions obtained from the algorithms described in the third chapter. 1
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Moving averages in time series
 Uhliarik, Andrej ; Cipra, Tomáš (advisor) ; Hudecová, Šárka (referee)
This thesis focuses on time series analysis usikng methods based on moving averages, especially the method based on the approximation of the trend compo- nent of a time series by polynomial functions. In the theoretical part of the thesis, we describe procedures for choosing right weights, degree and length of moving average for a specific time series. In the practical part, we are demonstrating this process on real data. A part of the thesis is a simple software for smoothing time series and tables with weights of moving averages for specific degrees and lengths. 1
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