Kellyho kritérium v úlohách optimalizace portfolia
| Thesis title in thesis language (Slovak): | Kellyho kritérium v úlohách optimalizace portfolia |
|---|---|
| Thesis title in Czech: | Kellyho kritérium v úlohách optimalizace portfolia |
| Thesis title in English: | Kelly criterion in portfolio selection problems |
| Key words: | Kellyho kritérium, Markowitzov model, riziko, výnos |
| English key words: | Kelly criterion, Markowitz model, return, risk |
| Academic year of topic announcement: | 2010/2011 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | slovenština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Ing. Miloš Kopa, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 07.10.2010 |
| Date of assignment: | 08.10.2010 |
| Date and time of defence: | 21.06.2011 00:00 |
| Date of electronic submission: | 18.05.2011 |
| Date of submission of printed version: | 27.05.2011 |
| Date of proceeded defence: | 21.06.2011 |
| Opponents: | doc. Ing. Marek Omelka, Ph.D. |
| Guidelines |
| Posluchač spracuje teórii Kellyho kritéria.
Formuluje optimalizační úlohy s využitím tohoto kritéria. Na praktické aplikaci z finančního prostředí bude demonstrovat praktické výhody i nevýhody těchto modelů. Srovná výsledky těchto modelů s výsledky jiných modelů optimalizace portfolia. |
| References |
| Leonard C. Maclean, Edward O. Thorp, William T. Ziemba: Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria, Quantitative Finance, Volume 10, Issue 7 August 2010 , pages 681 - 687.
Edward O. Thorp: Portfolio choice and the Kelly criterion, in Stochastic Optimization Models in Finance, Academic Press, edited by W.T. Ziemba. S.L. Brumelle, and R.G. Vickson, 1975, pp. 599-620. Vaclav Kozmik: Eficience portfolií při spojitém rozdělení výnosů, diplomová práce, MFF UK v Praze, 2010. |
| Preliminary scope of work |
| Kellyho kritérium v úlohách optimalizace portfolia |
| Preliminary scope of work in English |
| Kelly criterion in portfolio selection problems |