Original title: Kellyho kritérium v úlohách optimalizace portfolia
Translated title: Kelly criterion in portfolio selection problems
Authors: Dorová, Bianka ; Kopa, Miloš (advisor) ; Omelka, Marek (referee)
Document type: Bachelor's theses
Year: 2011
Language: slo
Abstract: [eng] [cze]
In the present work we study portfolio optimization problems. Introduction is followed by chapter 2, where we introduce the concept of utility function and its relationship to the investor's risk attitude. To solve the optimization problem we consider the Markowitz portfolio optimization model and the Kelly criterion, which are recalled in the fourth and fifth chapter. The work also contains an extensive numerical study. Using the optimization software GAMS we solve portfolio optimization problems. We consider a portfolio problem with (and without) allowed short sales. We compare the obtained portfolios and we discuss whether Kelly optimal portfolio is a special case of the Markowitz optimal portfolio for the special value of the minimum expected return. V predloženej práci sa zaoberáme úlohou optimalizácie portfólia. Po úvodnej kapitole zavádzame pojem úžitkovej funkcie a jej súvislosť s postojom investora voči riziku. Pre riešenie optimalizačnej úlohy uvažujeme Markowitzovu metódu optimalizácie portfólia a Kellyho kritérium, ktoré teoreticky predstavujeme v štvrtej a piatej kapitole. Súčasťou práce je aj obsiahla numerická štúdia. Pomocou optimalizačného softvéru GAMS riešime úlohu optimalizácie portfólia. Riešime aj varianty s obmedzenými krátkymi predajmi. Získané portfóliá porovnávame a skúmame, či je Kellyho optimálne portfólio špeciálnym prípadom Markowitzovho riešenia pre špeciálnu hodnotu minimálneho očakávaného výnosu.
Keywords: Kelly criterion; Markowitz model; return; risk; Kellyho kritérium; Markowitzov model; riziko; výnos

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/36966

Permalink: http://www.nusl.cz/ntk/nusl-301232


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses