This thesis focuses on stochastic dominance in portfolio selection problems. The thesis recalls basic knowledge from the area of portfolio optimization with utility functions and first, second, $N$-th and infinite order of stochastic dominance. It sumarizes Post's, Kuosmanen's and Kopa's criteria for portfolio efficiency and necessary and sufficient conditions of stochastic dominance for discrete and continuous probability distributions. The thesis also contains formulations of optimization problems with second order stochastic dominance constraints derived for discrete and continuous probability distributions. A practical application is also a part of the thesis, where the optimization problems for monthly returns of Czech stocks are solved using optimization software GAMS.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:324560 |
| Date | January 2013 |
| Creators | Dorová, Bianka |
| Contributors | Kopa, Miloš, Kozmík, Václav |
| 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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