National Repository of Grey Literature 4 records found  Search took 0.01 seconds. 
Risk factor modeling of Hedge Funds' strategies
Radosavčević, Aleksa ; Princ, Michael (advisor) ; Šopov, Boril (referee)
This thesis aims to identify main driving market risk factors of different strategies implemented by hedge funds by looking at correlation coefficients, implementing Principal Component Analysis and analyzing "loadings" for first three principal components, which explain the largest portion of the variation of hedge funds' returns. In the next step, a stepwise regression through iteration process includes and excludes market risk factors for each strategy, searching for the combination of risk factors which will offer a model with the best "fit", based on The Akaike Information Criterion - AIC and Bayesian Information Criterion - BIC. Lastly, to avoid counterfeit results and overcome model uncertainty issues a Bayesian Model Average - BMA approach was taken. Key words: Hedge Funds, hedge funds' strategies, market risk, principal component analysis, stepwise regression, Akaike Information Criterion, Bayesian Information Criterion, Bayesian Model Averaging Author's e-mail: aleksaradosavcevic@gmail.com Supervisor's e-mail: mp.princ@seznam.cz
Logistic regression with applications in financial sector
Bílková, Kristýna ; Branda, Martin (advisor) ; Pešta, Michal (referee)
In this bachelor thesis binary logistic regression model is described. Its parameters are estimated by maximum likelihood method. Newton-Raphson's algorithm is used for enumeration of these estimates. There are defined some statistics for testing the significance of the coefficients. Then stepwise regression is desribed. For assessing the quality of the model Pearson's Chi Square Test and Hosmer-Lemeshow's Test of the goodness of fit are defined. Diversification abilitz of the model is illustrated bz the Loreny curve and is quantificated by Gini coefficient, Kolmogorov-Smirnov statistics and generalized coefficient of determination. The theoretical knowledge is applied to insurance area data.
Regression methods of estimation of chosen properties of processed cheese with regard to the relative amount of different ternary mixtures of sodium phosphates.
Petrovič, Branislav ; Mrázková, Eva (referee) ; Michálek, Jaroslav (advisor)
This thesis deals with regression analysis of experimentally measured data of processed cheese. There is a polynomial regression used. The choice of regressors is based on Stepwise Regression and Mallows's Statistics. The estimation of the mean value is used to find the best mixture of the emulsifying salts with regards to the observed characteristic of the processed cheese. Analysis of the experiment and its results are well documented graphically.