Optimální portfolia
| Thesis title in Czech: | Optimální portfolia |
|---|---|
| Thesis title in English: | Optimal portfolios |
| Key words: | optimální portfolio, míra rizika, Wolfram Mathematica |
| English key words: | optimal portfolio, risk measure, Wolfram Mathematica |
| Academic year of topic announcement: | 2015/2016 |
| Thesis type: | diploma thesis |
| Thesis language: | čeština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Jan Hurt, CSc. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 11.02.2016 |
| Date of assignment: | 17.02.2016 |
| Confirmed by Study dept. on: | 02.03.2016 |
| Date and time of defence: | 05.09.2018 08:00 |
| Date of electronic submission: | 18.07.2018 |
| Date of submission of printed version: | 20.07.2018 |
| Date of proceeded defence: | 05.09.2018 |
| Opponents: | doc. RNDr. Jan Večeř, Ph.D. |
| Guidelines |
| Řešitel(ka) pojedná o různých přístupech konstrukce optimálních portfolií. Porovná "klasická" (Markowitz) a méně užívaná nebo vůbec nepoužívaná kritéria (střední absolutní odchylka, hodnota v riziku, podmíněná hodnota v riziku, spektrální míry rizika, Kellyho kritérium). Výsledky bude numericky ilustrovat. |
| References |
| [1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Hull, J.C.: Options, Futures, and other Derivatives. 8th ed., Prentice Hall. Boston 2012. [3] Luenberger, D. G.: Investment Science. Oxford University Press. New York 1998. [4] Hurt, J.: Risk measures in finance. In: 2008 International Mathematica User Conference. http://library.wolfram.com/infocenter/Conferences/7230/. Champaign (IL) 2008. [5] Hurt, J.: Risk measures in finance revisited. In: Wolfram Technology Conference 2010. http://www.wolfram.com/events/techconf2010/presentations/JanHurt.zip/. Champaign (IL) 2010. [6] Nekrasov, V.: Kelly Criterion for Multivariate Portfolios: A Model-Free Approach (September 30, 2014). Available at SSRN: http://ssrn.com/abstract=2259133 or http://dx.doi.org/10.2139/ssrn.2259133 : [Online: accessed 30-Sept-2015] [7] McNeil, A. J., Frey, R., Embrechts, P.: Quantitative Risk Management. Princeton University Press. Princeton 2005. |
| Preliminary scope of work |
| Optimální portfolia |
| Preliminary scope of work in English |
| Optimal portfolios |