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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Robust portfolio selection problem
 Zákutná, Tatiana ; Kopa, Miloš (advisor) ; Lachout, Petr (referee)
In this thesis, a portfolio optimization with integer variables which influ- ence optimal assets allocation, is studied. Measures of risk are defined and the cor- responding mean-risk models are derived. Two methods are used to develop robust models involving uncertainty in probability distribution: the worst-case analyses and contamination. The uncertainty in values of scenarios and in their probabili- ties of the discrete probability distribution is assumed separately followed by their combination. These models are applied to stock market data with using optimization software GAMS.
Detailed record
Robust portfolio selection problem
 Zákutná, Tatiana ; Kopa, Miloš (advisor) ; Lachout, Petr (referee)
In this thesis, a portfolio optimization with integer variables which influ- ence optimal assets allocation, is studied. Measures of risk are defined and the cor- responding mean-risk models are derived. Two methods are used to develop robust models involving uncertainty in probability distribution: the worst-case analyses and contamination. The uncertainty in values of scenarios and in their probabili- ties of the discrete probability distribution is assumed separately followed by their combination. These models are applied to stock market data with using optimization software GAMS.
Detailed record

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