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Basic approaches to robust conditional value at risk
 Nožička, Michal ; Branda, Martin (advisor) ; Petrová, Barbora (referee)
The work describes conditional value at risk, its robustification with respect to the probability distribution of yields of assets and its applications to optimal portfolio selection. In chapter one there are definitions of conditional value at risk and its generalization throught robustification and also motivation to these definitions. The basic properties of conditional value at risk, mainly coherence and continuity with respect to the parametr of confidence level, are discussed in chapter two. There is also shown that some of these properties are preserved after robustification. The third chapter is dedicated to the derivation of optimization problems of optimal portfolio selection on the basis of conditional value at risk and its robustification. This thesis describes only special cases so that the final problems are solveble by the means of linear programming. The fourth chapter describes particular utilization of these methods with usage of real data from financial markets. Powered by TCPDF (www.tcpdf.org)
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