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National Repository of Grey Literature 12 records found  previous11 - 12  jump to record: Search took 0.01 seconds. 
Robustness of the Markowitz portfolios
 Petráš, Tomáš ; Dupačová, Jitka (advisor) ; Kopa, Miloš (referee)
This diploma thesis deals with the problem of portfolio optimization in relation to the mean vector and the variance matrix of yields. The emphasis is put on Mar- kowitz model. In the thesis there are explored some possibilities of robustification based on the used parametric set. Beside the classic formulation of the task our focus is also devoted to the cases in which short sales are not allowed. The core of the thesis constitutes of a simulation study that models the impact of errors in the estimation of the input parameters of Markowitz model. It takes into account different types of risk aversions and different approaches to modelling parameter perturbations . Therefore it specifies the hypothesis of the dominating influence of the mean vector estimate which is valid only for a risk lover. 1
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Kelly criterion in portfolio selection problems
 Dorová, Bianka ; Kopa, Miloš (advisor) ; Omelka, Marek (referee)
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.
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National Repository of Grey Literature : 12 records found   previous11 - 12  jump to record:
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