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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Maximum Return Portfolio
 Palko, Maximilián ; Večeř, Jan (advisor) ; Šmíd, Martin (referee)
Classical method of portfolio selection is based on minimizing the variabi- lity of the portfolio. The Law of Large Numbers tells us that in case of longer investment horizon it should be enough to invest in the asset with the highest expected return which will eventually outperform any other portfolio. In our thesis we will suggest some portfolio creation methods which will create Maxi- mum Return Portfolios. These methods will be based on finding the asset with maximal expected return. That way we will avoid the problem of estimation errors of expected returns. Two of those methods will be selected based on the results of simulation analysis. Those two methods will be tested with the real stock data and compared with the S&P 500 index. Results of the testing suggest that our portfolios could have an application in the real world. Mainly because our portfolios showed to be significantly better than the index in the case of 10 year investment horizon. 1
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Generalized Linear Models in Reserving Risk
 Zboňáková, Lenka ; Pešta, Michal (advisor) ; Branda, Martin (referee)
In the presented thesis we deal with the generalized linear models framework in a claims reserving problem. Claims reserving in non-life insurance is firstly described and the considered class of models is introduced. Consequently, this branch of stochastic modelling is implemented in the reserving setup. For computation of the risk associated with claims reserving, we need a predictive distribution of future liabilities in order to evaluate risk measures such as Va- lue at Risk and Conditional Value at Risk. Since datasets in non-life insurance commonly consist of a small number of observations and estimation of predictive distributions can be complicated, we adopt a bootstrap method for this purpose. Model fitting, simulations and consequent measuring of the reserving risk are performed within the use of real-life data. Based on this, an analysis of fitted models and their comparison together with graphical outputs is included. 1
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