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Prestressed bridge in Budišov nad Budišovkou
Topinková, Petra ; Zich, Miloš (referee) ; Koláček, Jan (advisor)
This paper proposes main load-bearing structure for simple span concrete bridge across Budišovka river. Length of the construction is 18.8m. Three studies have been proposed and one of those was chosen for further processing. Selected study, prestressed concrete slab, was evaluated for ultimate and serviceability limit state according to recent European standards. Paper also includes visualizations and drawings.
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Šikmost v teorii optimalizace a eficience portfolia
Mikulík, Petra ; Branda, Martin (advisor) ; Lachout, Petr (referee)
In this thesis we study models, which search for an optimal portfolio from a set of stocks. On the contrary to the classical approach focusing only on expected return and variance, we examine models where an additional crite- rion of skewness is included. Furthermore we formulate a model for measuring performance of a portfolio defined as the distance from the Pareto efficient frontier. In numerical experiments we apply the models on historical prices and stock data from the electronic stock market NASDAQ. We analyze the stock data from companies listed in the index NASDAQ-100. We conclude by comparing of optimal portfolios created using different models among each other, with trivial single-stock portfolios and the with NASDAQ-100 index itself.
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Volatility and Skewness Spillover Effects: Multiresolution Analysis
Frýd, Lukáš ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
The thesis investigates volatility and skewness spillover effects among seven world stock indices and WTI oil under the assumption of the presence of heterogeneous investors. The data sample covers the period from January 1990 to July 2016. The questions addressed in the thesis are twofold: firstly, the dependency of the spillover effect for both the moments-volatility and skewness-on different investments horizons is tested. Further, it is mea- sured whether the inclusion of skewness into has an impact on the volatility spillovers. The decomposition to the different investment horizons is per- formed by the wavelet transformation. Conditional volatility and skewness were estimated by GAS model, which is capable to dynamize static parame- ters from Skewed t distribution. Empirical results suggest significant spillover effects from both volatil- ity and skewness. Another important result is that skewness has a non- significant impact on the volatility spillover effects. Further, it has been found that spillover effects for both the moments are time-scale dependent: the higher investment horizons are associated with higher spillover effects. Additionally, our results support the evidence of the significant impact of the financial crisis in 2008 on the structure of markets. From 2008, there are stronger volatility...
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Risk aggregation allowing for skewness
Šimonová, Soňa ; Mazurová, Lucie (advisor) ; Zichová, Jitka (referee)
The main objective of this thesis is to examine different methods of calcula- tion of economic capital for an insurance company which allow for skewness. For calculating the economic capital we use two alternative risk measures- Value at Risk (VaR) and Conditional Value at Risk (CVaR). The first part of the thesis is concerned with deriving exact formulae for VaR and CVaR for normally distribu- ted losses and describing the modification of these formulae using Cornish-Fisher approximation. Next, the method using lognormal model with a parameter cap- turing skewness is discussed. The parameter is used for deriving a formula for skewness of a sum of losses. The approximation of the sum is thus obtained and is used for deriving formulae for VaR and CVaR for aggregated losses. Finally, the methods are compared numerically using R software. 1
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Šikmost v teorii optimalizace a eficience portfolia
Mikulík, Petra ; Branda, Martin (advisor) ; Lachout, Petr (referee)
In this thesis we study models, which search for an optimal portfolio from a set of stocks. On the contrary to the classical approach focusing only on expected return and variance, we examine models where an additional crite- rion of skewness is included. Furthermore we formulate a model for measuring performance of a portfolio defined as the distance from the Pareto efficient frontier. In numerical experiments we apply the models on historical prices and stock data from the electronic stock market NASDAQ. We analyze the stock data from companies listed in the index NASDAQ-100. We conclude by comparing of optimal portfolios created using different models among each other, with trivial single-stock portfolios and the with NASDAQ-100 index itself.
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General skew-probability distributions
Václavík, Jiří ; Lachout, Petr (advisor) ; Dostál, Petr (referee)
In the present work we study families of skew-probability distributions. We will gradually build concept of families of more and more general distributions. For us the most important ones are skew normal distribution, elliptical distri- bution and skew elliptical distribution. On the each of them we will present basic properties and visualize particular examples. At the end we will generate realizations of variates and propose how to estimate the original distribution.
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Prestressed bridge in Budišov nad Budišovkou
Topinková, Petra ; Zich, Miloš (referee) ; Koláček, Jan (advisor)
This paper proposes main load-bearing structure for simple span concrete bridge across Budišovka river. Length of the construction is 18.8m. Three studies have been proposed and one of those was chosen for further processing. Selected study, prestressed concrete slab, was evaluated for ultimate and serviceability limit state according to recent European standards. Paper also includes visualizations and drawings.
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Skewness Preference
Kvapil, Mikuláš ; Svoboda, Miroslav (advisor) ; Tříska, Dušan (referee)
The diploma thesis is concerned with analysis of behavior of bettors on horse races. The aim is to test the hypothesis that bettors prefer skewness and they are risk averse. In the thesis is used the method of empirical data collection of horse racing in the Czech Republic and their subsequent testing using a regression model. The testing of the presented model did not confirm the hypothesis of skewness preference in the case of betting on horse races in the Czech Republic.
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