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Vícekriteriální analýza portfolia na českých nebo zahraničních trzích / Multiobjective portfolio analysis

The objective of this thesis is to apply alternative multi-objective optimization techniques to the portfolio selection problem. Theoretical part starts with detailed analysis of the classical Markowitz model and its assumptions. Following that, introduction of multi-criterion optimization techniques available for finding non-dominated portfolios is given. One of these techniques, the genetic algorithm, is presented in great detail. Some of the basic methods useful for predicting stock prices and its risks are presented at the end of the theoretical part. Practical part presents an application of the theory to the problem of constructing efficient portfolios of 11 selected stocks traded on Prague Stock Exchange. Results achieved by different approaches are compared and interpreted.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:15696
Date January 2009
CreatorsKunt, Tomáš
ContributorsKalčevová, Jana, Kuncová, Martina
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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