Portfolio optimization models aim to optimally distribute capital among selected stocks, bonds and other securities and financial products offered on financial markets. An important factor in the optimization is the risk, which is by definition very abstract concept and is very difficult to quantify. Robust portfolio optimization model is based on the general robust binary model. The robustness of this model lies in a two-stage optimization, where every solution is subject to maximization of losses and from these pessimistic estimates such a solution is selected that best meets the user's criteria, in our case total return of the portfolio.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:199544 |
| Date | January 2013 |
| Creators | Löw, Alexandr |
| Contributors | Pelikán, Jan, Fábry, Jan |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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