Original title: Finanční optimalizace
Translated title: Optimization in Finance
Authors: Sowunmi, Ololade ; Hrabec, Dušan (referee) ; Popela, Pavel (advisor)
Document type: Master’s theses
Year: 2020
Language: eng
Publisher: Vysoké učení technické v Brně. Fakulta strojního inženýrství
Abstract: This thesis presents two Models of portfolio optimization, namely the Markowitz Mean Variance Optimization Model and the Rockefeller and Uryasev CVaR Optimization Model. It then presents an application of these models to a portfolio of clean energy assets for optimal allocation of financial resources in terms of maximum returns and low risk. This is done by writing GAMS programs for these optimization problems. An in-depth analysis of the results is conducted, and we see that the difference between both models is not very significant even though these results are data-specific.
Keywords: Conditional Value-at-Risk; Efficient Frontier.; GAMS; Markowitz Mean Variance model; Portfolio Optimization; Rockefeller and Uryasev CVaR optimization model; Stochastic Programming; Conditional Value-at-Risk; Efficient Frontier.; GAMS; Markowitz Mean Variance model; Portfolio Optimization; Rockefeller and Uryasev CVaR optimization model; Stochastic Programming

Institution: Brno University of Technology (web)
Document availability information: Fulltext is available in the Brno University of Technology Digital Library.
Original record: http://hdl.handle.net/11012/192393

Permalink: http://www.nusl.cz/ntk/nusl-417164


The record appears in these collections:
Universities and colleges > Public universities > Brno University of Technology
Academic theses (ETDs) > Master’s theses