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National Repository of Grey Literature 13 records found  previous11 - 13  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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Kvantitativní podpora optimalizace akciového portfolia
 Bumbálková, Edita
The thesis deals with the optimization of the stock portfolio using modern portfo-lio theory and mathematical programming. Optimization is achieved by Markowitz Model, the Capital Asset Pricing Model and Black-Litterman model. Stocks traded on the Prague Stock Exchange, Inc., are selected as exploration assets. The simula-tion technique Monte Carlo is used for the model evaluation.
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Financial optimization
 Štolc, Zdeněk ; Kuncová, Martina (advisor) ; Kalčevová, Jana (referee)
This thesis is focused on a theoretical explanation of some models for the optimization stock portfolios with different risk measure. The theory of the nonlinear programming is detailed developed and also basic Markowitz`s model with another optimization models as Konno -- Yamazaki`s model, Roy`s model, semivariance approach and Value at Risk approach, which are based on alternative risk measure. For all models the assumptions of their applications are highlighted and the comparation of these models is made too. Analytical part is concerned in the construction of the effecient portfolios according to the described models is made on the historical market prices of 13 companies traded on Prague Stock Exchange in SPAD.
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National Repository of Grey Literature : 13 records found   previous11 - 13  jump to record:
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