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Finanční optimalizace / Optimization in Finance

This thesis presents two Models of portfolio optimization, namely the Markowitz Mean Variance Optimization Model and the Rockefeller and Uryasev CVaR Optimization Model. It then presents an application of these models to a portfolio of clean energy assets for optimal allocation of financial resources in terms of maximum returns and low risk. This is done by writing GAMS programs for these optimization problems. An in-depth analysis of the results is conducted, and we see that the difference between both models is not very significant even though these results are data-specific.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:417164
Date January 2020
CreatorsSowunmi, Ololade
ContributorsHrabec, Dušan, Popela, Pavel
PublisherVysoké učení technické v Brně. Fakulta strojního inženýrství
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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