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National Repository of Grey Literature 3 records found  Search took 0.01 seconds. 
Optimization problems solving using various software
 Petráš, Tomáš ; Kopa, Miloš (advisor) ; Branda, Martin (referee)
This thesis deals with practical problems when solving tasks of linear programming using mathematical software Mathematica, Gams, R and Matlab. It describes the basic properties of solvers, packages and optimizing functions of these programs. The aim of the thesis is to compare computer times needed to solve problems of different sizes using the considered programs. We consider these time efficiencies with and without the time consumed by loading the input data. At the end of the thesis we find the most suitable program for each of the problems sizes and we give some recomendations for the practical use of these products when solving problems of linear programming.
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Robustness of the Markowitz portfolios
 Petráš, Tomáš ; Dupačová, Jitka (advisor) ; Kopa, Miloš (referee)
This diploma thesis deals with the problem of portfolio optimization in relation to the mean vector and the variance matrix of yields. The emphasis is put on Mar- kowitz model. In the thesis there are explored some possibilities of robustification based on the used parametric set. Beside the classic formulation of the task our focus is also devoted to the cases in which short sales are not allowed. The core of the thesis constitutes of a simulation study that models the impact of errors in the estimation of the input parameters of Markowitz model. It takes into account different types of risk aversions and different approaches to modelling parameter perturbations . Therefore it specifies the hypothesis of the dominating influence of the mean vector estimate which is valid only for a risk lover. 1
Detailed record
Optimization problems solving using various software
 Petráš, Tomáš ; Kopa, Miloš (advisor) ; Branda, Martin (referee)
This thesis deals with practical problems when solving tasks of linear programming using mathematical software Mathematica, Gams, R and Matlab. It describes the basic properties of solvers, packages and optimizing functions of these programs. The aim of the thesis is to compare computer times needed to solve problems of different sizes using the considered programs. We consider these time efficiencies with and without the time consumed by loading the input data. At the end of the thesis we find the most suitable program for each of the problems sizes and we give some recomendations for the practical use of these products when solving problems of linear programming.
Detailed record

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