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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Multivariate financial time series models in portfolio optimization
 Bureček, Tomáš ; Hendrych, Radek (advisor) ; Prášková, Zuzana (referee)
This master thesis deals with the modeling of multivariate volatility in finan- cial time series. The aim of this work is to describe in detail selected approaches to modeling multivariate financial volatility, including verification of models, and then apply them in an empirical study of asset portfolio optimization. The results are compared with the classical approach of portfolio optimization theory based on unconditional moment estimates. The evaluation was based on four known op- timization problems, namely minimization of variance, Markowitz's model, ma- ximization of the Sharpe ratio and minimization of CVaR. The output portfolios were compared by using four metrics that reflect the returns and risks of the port- folios. The results demonstrated that employing the multivariate volatility models one obtains higher expected returns with less expected risk when comparing with the classical approach. 1
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Market of newsboys
 Bureček, Tomáš ; Lachout, Petr (advisor) ; Kopa, Miloš (referee)
This thesis solves the task of a newspaper vendor, which fits into the classical tasks of stochastic programming. The work includes an extension to the market of newsboys and also considers various influences that vendors may suffer. A continuous version of the problem is considered. The task is to find the optimal amount of product the buyer can buy to maximize his yield. The thesis discusses the issue of solving this problem. First, the problem is demonstrated in a easier version, and later this problem is developed. Finally, we find an iterative algorithm that calculates the approximate solution and demonstrates its functionality on an example. 1
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