Témata prací (Výběr práce)(verze: 348)
Detail práce
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Robust portfolio selection
Název práce v češtině: Robustní výběr portfolií Robust portfolio selection portfolio selection, VaR, CVaR, mean-variance, robust portfolio selection, VaR, CVaR, mean-variance, robust 2012/2013 bakalářská práce angličtina Institut ekonomických studií (23-IES) RNDr. Michal Červinka, Ph.D. skrytý - zadáno vedoucím/školitelem 10.05.2013 14.05.2013 09.09.2014 08:00 IES 17.07.2014 09.09.2014 Mgr. Lucie Kraicová
 Zásady pro vypracování In the thesis, the author will first introduce risk measures and then analyze three commonly used risk measures: variance, Value at Risk (VaR) and Conditional Value at Risk (CVaR). For each of these three risk measures she will formulate corresponding portfolio selection models: classical mean-variance model, mean-VaR model and mean-CVaR model. Next, the author will specify robust counterparts of classical mean-variance model. In the last part of the thesis, the author will illustrate robust portfolio selection by applying classical mean-variance model and its robust counterparts on historical data and compare the results. The theoretical part of the thesis will be based primarily on [1] and references therein.
 Seznam odborné literatury [1] F.J. Fabozzi, D. Huang, G.Zhou: Robust portfolios: contributions from operations research and finance, Ann. Oper. Res 176, pp. 191-220, 2010. [2] R. Tütüncü, M. Koenig: Robust asset allocation. Annals of Operations Research 132, 157–187, 2004.
 Předběžná náplň práce Outline: 1) Introduction 2) Risk measures and preliminaries 3) Portfolio selection models 3.1) Mean-Variance model 3.2) Mean-VaR model 3.3) Mean-CVaR model 3.4) Robust portfolio selection models 4) Numerical example 5) Conclusion
 Předběžná náplň práce v anglickém jazyce Outline: 1) Introduction 2) Risk measures and preliminaries 3) Portofolio selection models 3.1) Mean-Variance model 3.2) Mean-VaR model 3.3) Mean-CVaR model 3.4) Robust portfolio selection models 4) Numerical example 5) Conclusion