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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Optimization of Value at Risk using integer programming
 Fausek, Matěj ; Branda, Martin (advisor) ; Procházka, Vít (referee)
This thesis is focused on the portfolio optimization problem. The foundations of this problem were laid by Professor Markowitz (1952), who measured risk using the standard deviation of random returns. In this paper, the standard deviation will be replaced by the Value at Risk function. We will show that if the number of past observations or the number of assets is limited by a constant, there will be an algorithm that can solve the problem in a reasonable amount of time. We will formulate the problem as a mixed-integer linear optimization problem. This paper also includes computation on real data. 27
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