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National Repository of Grey Literature

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	Risk aversion in portfolio efficiency Puček, Samuel ; Branda, Martin (advisor) ; Kopa, Miloš (referee) This thesis deals with selecting the optimal portfolio for a risk averse investor. Firstly, we present the risk measures, specifically spectral risk me- asures which consider an individual risk aversion of the investor. Then we propose a diversification-consistent data envelopment analysis model. The model is searching for an efficient portfolio with respect to second-order sto- chastic dominance. The crux of the thesis is a model based on the theory of multi-criteria optimization and spectral risk measures. The presented mo- del is searching for an optimal portfolio suitable for the investor with a given risk aversion. In addition, the optimal portfolio is also consistent with second- order stochastic dominance efficiency. The topic of the practical part is a nu- merical study in which both models are implemented in MATLAB. Models are applied to a dataset from real financial markets. Personal contribution lies in comparing the diversification-consistent data envelopment analysis model and model based on multi-criteria optimization, both with respect to second order stochastic dominance efficiency. Detailed record
	Comparison of various approaches to portfolio efficiency Kopa, Miloš This paper deals with portfolio efficiency testing with respect to various criteria. Detailed record
	Stabilita SSD eficience portfolia - měsíční versus roční výnosy Kopa, Miloš Stability of SSD portfolio efficiency - monthly versus yearly returns. Detailed record

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