Robust portfolio selection
| Thesis title in Czech: | Robustní výběr portfolií |
|---|---|
| Thesis title in English: | Robust portfolio selection |
| Key words: | portfolio selection, VaR, CVaR, mean-variance, robust |
| English key words: | portfolio selection, VaR, CVaR, mean-variance, robust |
| Academic year of topic announcement: | 2012/2013 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | angličtina |
| Department: | Institute of Economic Studies (23-IES) |
| Supervisor: | RNDr. Michal Červinka, Ph.D. |
| Author: | hidden - assigned by the advisor |
| Date of registration: | 10.05.2013 |
| Date of assignment: | 14.05.2013 |
| Date and time of defence: | 09.09.2014 08:00 |
| Venue of defence: | IES |
| Date of electronic submission: | 17.07.2014 |
| Date of proceeded defence: | 09.09.2014 |
| Opponents: | Mgr. Lucie Kraicová |
| URKUND check: | |
| Guidelines |
| 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. |
| References |
| [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. |
| Preliminary scope of work |
| 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 |
| Preliminary scope of work in English |
| 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 |