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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Parameter choice in portfolio optimization problems based on out-of-sample performance
 Vaňková, Kateřina ; Kopa, Miloš (advisor) ; Večeř, Jan (referee)
This thesis investigates three optimization models using the rolling window method. These models are based on maximizing profits and minimizing risk. Two statistics are considered in the models: expected value and a risk measure. Risk measures analyzed in this thesis are: the variance, the Conditional Value-at-Risk at a specified confidence level, and the Mean Absolute Deviation. Models are tested on the real US stock data of ten companies in the time period of twenty years: from January 30th, 1999 to January 30th, 2019. The aim of this thesis is to analyze these models using the rolling window method and to investigate its sensitivity towards changes in the values of several parameters in order to identify the best parameter setting.
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Multi - event Bonus - Malus System
 Kaplanová, Martina ; Mazurová, Lucie (advisor) ; Branda, Martin (referee)
This work deals with bonus - malus systems for automobile insurance that distinguishtypes of claim. The first part of this work is definition of bonus - malus systems that do not distinguish types of claim and then their expansion just to multi - event bonus - malus systems. The main focus of the work is computation of stationary distribution for different systems, which means the distribution of classes in which the system stabilizes. Furthermore, there are several simulations of trajectory of insured through the system based on the number and type of accidents that they have caused. Finally, relative frequencies of classes in which insured is at the end of the simulation and the stationary distribution of the system are compared. Powered by TCPDF (www.tcpdf.org)
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