Return to search

Robustní optimalizace portfolia / Robust portfolio selection problem

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.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:324628
Date January 2013
CreatorsZákutná, Tatiana
ContributorsKopa, Miloš, Lachout, Petr
Source SetsCzech ETDs
LanguageSlovak
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

Page generated in 0.0018 seconds