In this thesis, a portfolio optimization with integer variables which influ- ence optimal assets allocation, is studied. Measures of risk are defined and the cor- responding mean-risk models are derived. Two methods are used to develop robust models involving uncertainty in probability distribution: the worst-case analyses and contamination. The uncertainty in values of scenarios and in their probabili- ties of the discrete probability distribution is assumed separately followed by their combination. These models are applied to stock market data with using optimization software GAMS.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:324628 |
| Date | January 2013 |
| Creators | Zákutná, Tatiana |
| Contributors | Kopa, Miloš, Lachout, Petr |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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