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A combination of real options, simulation and decision trees for investment decisions
Pavlovská, Tereza ; Dlouhý, Martin (advisor) ; Dlouhá, Zuzana (referee)
This thesis is concerned with the evaluation of real options whose value represents a certain flexibility of the firm to decide about company´s assets in the future. In addition to classic models which were developed for option rating, such as binomial and Black-Scholes model, which have advantages and disadvantages, there is introduced a possible combination of decision trees and simulation Monte Carlo which runs directly inside the tree. This combination can erase the disadvantages which these methods have when they are used separately for option evaluation. In this thesis there can be found an application example inspired by a real situation and there are described different possibilities of usage of the mentioned combination and there is also demonstrated an unambiguous advantage of this method and that is a bigger amount of information which is provided in comparison with standard models. It allows the company to access much more complex image of the investment. The result is also various option values according to the used technique.
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Simulation model of warehouse
Klán, Vojtěch ; Dlouhý, Martin (advisor) ; Kuncová, Martina (referee)
The issue of the work is use of simulation methods in real situation. First part of thesis belongs to explanation of warehouse technologies and simulation techniques used in the work. Follows a transformation of real enterprise warehouse to computer simulation model. The main part is focused on experiments on this model which solves real problems in this warehouse. Target of first experiment is to find solutions to shorten the waiting time of trucks. This is accomplished by series of experiments, which are compared and the best solution is selected. Another three experiments contains future or hypothetical situations in the warehouse. On the basis of the simulation results future steps and preparations are proposed.
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Efficiency and performance analysis of higher education
Krňávek, Jiří ; Jablonský, Josef (advisor) ; Dlouhý, Martin (referee)
This thesis focuses on the efficiency and performance analysis of higher education in the Czech Republic. The theoretical part deals with interpretation of methods, which are then used in the practical part. These methods are data envelopment analysis (DEA) and methods of multi-criteria evaluation with cardinal information on criteria. Another important chapter of the theoretical part is the chapter about the most famous world rankings of universities and practice in this field in the Czech Republic. The practical part is divided into two sections. The first deals with the analysis of the efficiency of economic faculties on public universities in the Czech Republic from 2011 to 2013. The second one is aimed at the creation of a ranking of these faculties for 2015 using the methods of multi-criteria evaluation.
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GUI aplikace pro řešení úlohy z kooperativní teorie her
Cerman, Otto ; Dlouhý, Martin (advisor) ; Tichá, Michaela (referee)
Occasionally, a part of the budget of a city, company or other entity has to be allocated among its parts in the form of subsidies or other contributions. The main objective of such an entity is to find such a set of criteria and such a set of their relative weights that estimate the expected cost best. The objective of a sub-entity is subsidy maximization by influencing the criteria and their weights. From this reason, the best budget splitting is a relative term. From the mathematical point of view, such a problem belongs to mathematical optimization or mathematical programming. In this thesis, five quantitative methods are presented. Two of them set the weights without the participation of decision makers. The first allocation method is based on multiple-criteria decision-making and the second one on data envelopment analysis. Together with them, a different mathematical model with maximum and minimum weights for the set of criteria is presented. Two its modifications are discussed too. As the only one presented multi-criteria mathematical model is based on maximization of the relative and absolute profit simultaneously. The aim of this work is to study the known mathematical models for subsidy allocation problem, to invent new ones, to choose suitable ones and subsequently to implement the suitable ones into a standalone GUI application created in the Matlab environment. The presented application proposes several allocation possibilities according to different selected models using mathematical functions taken from Matlab. This user-friendly application is executable on common computers and can be used at the Magistrate of the City of Prague as a support tool in voting decision. Moreover, this application can be extended to new methods or program functions. The selected quantitative methods are used for the budget allocation problem among the city districts for real data of the City of Prague. Experimental results are discussed.
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Rozhodování v Ultimatum Game
Avanesyan, Galina ; Zouhar, Jan (advisor) ; Dlouhý, Martin (referee)
The aim of this work is to show that even people who outwardly demonstrate irrational behaviour are actually rational. The only reason why their actions deviate from theoretical rational behaviour is given by different utility functions. Ultimatum game with its easy rules represents a great way to show deviations between human and rational behaviours. The model described in the thesis focuses on Responder's decision making, which is influenced not only by maximization of pure economical profit but also by many other factors, which are summed in the model in one variable -- attitude to fairness. It is shown how this variable can be predicted using decisions obtained from a multi-round Ultimatum game. To prove that humans behave in accordance with their own preferences, the modelled game does not only estimate players' attitudes to fairness but also predicts players' following actions using knowledge of estimated values.
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Optimalizace těžby přírodních zdrojů
Chrobok, Viktor ; Dlouhý, Martin (advisor) ; Kodera, Jan (referee) ; Vošvrda, Miroslav (referee)
The thesis describes various modifications of the predator-prey model. The modifications are considering several harvesting methods. At the beginning a solution and a sensitivity analysis of the basic model are provided. The first modification is the percentage harvesting model, which could be easily converted to the basic model. Secondly a constant harvesting including a linearization is derived. A significant part is devoted to regulation models with special a focus on environmental applications and the stability of the system. Optimization algorithms for one and both species harvesting are derived and back-tested. One species harvesting is based on econometrical tools; the core of two species harvesting is the modified Newton's method. The economic applications of the model in macroeconomics and oligopoly theory are expanded using the methods derived in the thesis.
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Aplikace optimalizačních metod na problémy výroby elektřiny
Šumbera, Jiří ; Dlouhý, Martin (advisor) ; Pelikán, Jan (referee) ; Hančlová, Jana (referee)
This thesis deals with application of optimisation methods based on linear and mixed-integer linear programming to various problems in the power sector related to electricity production. The thesis goal is to test the applicability of such methods to formulating and solving various instances from the class of real-world electricity production problems, and to find the advantages and disadvantages associated with using these methods. Introductory chapters describe the main characteristics of power markets, including the historical and regulatory context. Fundamental properties of power markets on both demand and supply side are also described, both from a real-world and a modelling point of view. Benefits of optimisation and modelling are discussed, in particular the solution feasibility and optimality as well as insights gained from sensitivity analysis which is often difficult to replicate with the original system. In the core of the thesis, optimisation techniques are applied to three case studies, each of which deals with a specific problem arising during electricity production. In the first problem, the profit of gas-fired power plant in Slovakia from selling power on the day-ahead market is maximised. The model is set up using both technical and commercial constraints. The second problem deals with the problem of representing a two-dimensional production function which primarily arises for a hydro generator with large variations in the level of its reservoir. Several representations of the original function using piecewise linear subsets are presented, compared, and characterised by their computational intensity both theoretically and practically. In the third problem, the prices on the German day-ahead market in 2011 are modelled. Contrary to the previous two models, the model does not capture an optimisation problem faced by a single producer, but incorporates a large subset of the whole market instead. Consequently the model is formed out of generic constraints relevant to all power plants whose parameters are estimated. By combining information about the aggregate availability of power plants with the estimated efficiencies a full supply curve for each day is created. Different scenarios are analysed to test the impact of uncertain inputs such as unknown or estimated constraints. The choice of the investigated problems stems from the attempt to cover electricity production problems from the point of view of multiple criteria. The three investigated electricity production problems span a broad range from the decisions of a single power plant to the modelling a power market as a whole. Formulations of the production function with different level of detail are presented ranging from a simple linear relationship to several bivariate function formulations. While each problem answers a specific question, they all illustrate the ease with which various electricity production problems can solved using optimisation methods based on linear and mixed-integer linear programming. This is mainly due to the ability of these methods to approximate even non-linear functions and constraints over non-convex domains and find global solutions in reasonable time. Moreover, models formulated with these methods allow sensitivity and scenario analyses to be carried out easily as is illustrated in each of the case studies.
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Simulation of the client workplace of the health insurance company
Karbusická, Martina ; Dlouhý, Martin (advisor) ; Fábry, Jan (referee)
Simulation is an advanced tool to capture and simplify a complex system and it allows to track the effects of changes in it to function of the entire system. The aim of the thesis was to model the current function of the system and monitor the effects of changes by experiments with the model in order to find a new and better solution. In this thesis, the running of the client workplace of Všeobecná zdravotní pojišťovna ČR was monitored and the simulation was based on real data from May 2012. The simulation was performed using the software Simul8. The results of the base case show that the system leads to accumulation of entities and long time spent in the queue. Within experimenting with the model there were created 8 scenarios that modify some parts of the system. Firstly the results of the scenarios were compared to the base case and then they were compared with each other. The scenario that was chosen as the best, was better in most of parameters compared to the base case. The parameter with the worst value in the base case - time spent queuing for a normal counter - has improved by 62 % in the new scenario. This scenario was chosen as a new and better solution for the current system.
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Agent-based models of cooperative games
Sedláček, Adam ; Burian, Jan (advisor) ; Dlouhý, Martin (referee)
The diploma thesis describes design and creation of agent-based model of cooperative games and its subsequent analysis. The created model combines assumptions of game the-ory with other findings; it examines the dynamics of coalition formation and the influence of external and internal factors on this formation. The first theoretical part introduces the game theory and clarifies basic principles and con-cepts of N - player cooperative games. It evaluates the benefits and disadvantages of solu-tions introduced by this theory. The thesis further deals with multi-agent systems focused on agent-based models as an analytical and computational method for analyzing complex systems. There are also explained basic principles of agent-based modeling, including ap-proaches of their creation. Furthermore, there are presented distinctions between different types of agents, environments and models. The second practical part specifies assumptions and principles that are essential for the created multi-agent model. The diploma thesis describes the development of agent-based model of cooperative games by itself, including its characteristics and behavior. Final analysis of the created model clarifies impact of individual variables on the coalition for-mation process and confirms its ability to investigate given area.
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Application of Two-Player Game Theory in Economics
Tichá, Michaela ; Pelikán, Jan (advisor) ; Dlouhý, Martin (referee)
The concern of this thesis is to discuss different applications of two-player game theory in economics. It is divided into two main chapters - the theoretical part and the practical part. The theoretical part is composed of the classical game theory and the game theory with vector payoffs. In the first instance basic ideas of the classical game theory is introduced. Elaboration of the duopoly model follows. Subsequently basic ideas of the theory with vector payoffs and one of the solution concepts of game theory with vector payo s are included. The practical part follows. This part contains two examples which are the real application of the concept described in the theoretical part.
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