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Finanční optimalizace

Optimization in Finance

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Author
Sowunmi, Ololade
Advisor
Popela, Pavel
Referee
Hrabec, Dušan
Grade
B
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Abstract
This thesis presents two Models of portfolio optimization, namely the Markowitz Mean Variance Optimization Model and the Rockefeller and Uryasev CVaR Optimization Model. It then presents an application of these models to a portfolio of clean energy assets for optimal allocation of financial resources in terms of maximum returns and low risk. This is done by writing GAMS programs for these optimization problems. An in-depth analysis of the results is conducted, and we see that the difference between both models is not very significant even though these results are data-specific.
 
This thesis presents two Models of portfolio optimization, namely the Markowitz Mean Variance Optimization Model and the Rockefeller and Uryasev CVaR Optimization Model. It then presents an application of these models to a portfolio of clean energy assets for optimal allocation of financial resources in terms of maximum returns and low risk. This is done by writing GAMS programs for these optimization problems. An in-depth analysis of the results is conducted, and we see that the difference between both models is not very significant even though these results are data-specific.
 
Keywords
Portfolio Optimization, Stochastic Programming, Markowitz Mean Variance model, Conditional Value-at-Risk, Rockefeller and Uryasev CVaR optimization model, GAMS, Efficient Frontier., Portfolio Optimization, Stochastic Programming, Markowitz Mean Variance model, Conditional Value-at-Risk, Rockefeller and Uryasev CVaR optimization model, GAMS, Efficient Frontier.
Language
angličtina (English)
Study brunch
Matematické inženýrství
Composition of Committee
prof. RNDr. Josef Šlapal, CSc. (předseda) prof. RNDr. Miloslav Druckmüller, CSc. (místopředseda) doc. Ing. Luděk Nechvátal, Ph.D. (člen) doc. RNDr. Jiří Tomáš, Dr. (člen) doc. Mgr. Pavel Řehák, Ph.D. (člen) Prof. Bruno Rubino (člen) Assoc. Prof. Matteo Colangeli (člen) Assoc. Prof. Massimiliano Giuli (člen)
Date of defence
2020-07-16
Process of defence
Student introduced his diploma thesis Optimization in Finance to the committee members and explained the fundaments of his topic. There were no questions from reviewer. Additional question was from supervisor Pavel Popela and prof. Šlapal ant they were answered satisfactory.
Result of the defence
práce byla úspěšně obhájena
Persistent identifier
http://hdl.handle.net/11012/192393
Source
SOWUNMI, O. Finanční optimalizace [online]. Brno: Vysoké učení technické v Brně. Fakulta strojního inženýrství. 2020.
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  • 2020 [577]
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