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Metody stochastického programováni pro investiční rozhodování / Stochastic Programming Methods for Investment Decisions

This thesis deals with methods of stochastic programming and their application in financial investment. Theoretical part is devoted to basic terms of mathematical optimization, stochastic programming and decision making under uncertainty. Furter, there are introduced basic principles of modern portfolio theory, substantial part is devoted to risk measurement techniques in the context of investment, mostly to the methods Value at Risk and Expected shortfall. Practical part aims to creation of optimization models with an emphasis to minimize investment risk. Created models deal with real data and they are solved in optimization software GAMS.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:233045
Date January 2014
CreatorsKubelka, Lukáš
ContributorsCFA, Tomáš Menčík,, Popela, Pavel
PublisherVysoké učení technické v Brně. Ústav soudního inženýrství
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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