Optimální portfolia se střední hodnotou a rozptylem: Souvislosti s maximalizací užitku v diskrétním případě

• Thesis title in Czech: Optimální portfolia se střední hodnotou a rozptylem: Souvislosti s maximalizací užitku v diskrétním případě
• Thesis title in English: Optimal Mean Variance Portfolios: Link to Utility Maximization in Discrete Case
• Key words: portfolia se střední hodnotou a rozptylem|maximalizace užitku|diskrétní rozdělení
• English key words: mean variance portfolio|utility maximization|discrete distributions
• Academic year of topic announcement: 2022/2023
• Thesis type: Bachelor's thesis
• Thesis language: čeština
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: doc. RNDr. Jan Večeř, Ph.D.
• Author: Bc. Matěj Jerhot - assigned and confirmed by the Study Dept.
• Date of registration: 04.11.2022
• Date of assignment: 10.11.2022
• Confirmed by Study dept. on: 02.12.2022
• Date and time of defence: 03.09.2024 08:30
• Date of electronic submission: 09.05.2024
• Date of submission of printed version: 09.05.2024
• Date of proceeded defence: 03.09.2024
• Opponents: RNDr. Martin Šmíd, Ph.D.

Guidelines

The aim of this work is to study links between the techniques of utility maximization and optimal mean variance portfolios. We expect that the optimal mean variance portfolio corresponds to the Taylor approximation of the utility maximization problem. One should examine this link and illustrate the quality of this approximation on specific examples, primarily on discrete distributions.

References

Vecer, J.: Numeraire Invariance of the Logarithmic Utility Funciton, working paper (2022)