Original title: Robustní optimalizace portfolia
Translated title: Robust portfolio selection problem
Authors: Zákutná, Tatiana ; Kopa, Miloš (advisor) ; Lachout, Petr (referee)
Document type: Master’s theses
Year: 2013
Language: slo
Abstract: [eng] [cze]
In this thesis, a portfolio optimization with integer variables which influ- ence optimal assets allocation, is studied. Measures of risk are defined and the cor- responding mean-risk models are derived. Two methods are used to develop robust models involving uncertainty in probability distribution: the worst-case analyses and contamination. The uncertainty in values of scenarios and in their probabili- ties of the discrete probability distribution is assumed separately followed by their combination. These models are applied to stock market data with using optimization software GAMS. V predloženej práci študujeme optimalizáciu portfólia v podmienkach ce- ločíselnosti, ktoré ovplyvňujú optimálnu alokáciu aktív. Zadefinujeme miery rizika a formulujeme "mean-risk" modely. K vytvoreniu robustných modelov zahrňujúcich neurčitosť v pravdepodobnostnom rozdelení použijeme dve metódy: analýza najhor- šieho prípadu a kontaminácia. Neurčitosť v diskrétnom pravdepodobnostnom rozde- lení uvažujeme v hodnotách scenárov a v ich pravdepodobnostiach najprv samostatne a následne v kombinácii. Vytvorené modely sú aplikované na dáta z akciového trhu pomocou optimalizačného softvéru GAMS.
Keywords: contamination; CVaR; portfolio optimization; worst-case analyses; analýza najhoršieho prípadu; CVaR; kontaminácia; optimalizácia portfólia

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/55336

Permalink: http://www.nusl.cz/ntk/nusl-468252


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