Show simple item record

Optimization in Finance

dc.contributor.advisorPopela, Pavelen
dc.contributor.authorSowunmi, Ololadeen
dc.date.accessioned2020-07-20T18:58:58Z
dc.date.available2020-07-20T18:58:58Z
dc.date.created2020cs
dc.identifier.citationSOWUNMI, O. Finanční optimalizace [online]. Brno: Vysoké učení technické v Brně. Fakulta strojního inženýrství. 2020.cs
dc.identifier.other125383cs
dc.identifier.urihttp://hdl.handle.net/11012/192393
dc.description.abstractThis 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.en
dc.description.abstractThis 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.cs
dc.language.isoencs
dc.publisherVysoké učení technické v Brně. Fakulta strojního inženýrstvícs
dc.rightsStandardní licenční smlouva - přístup k plnému textu bez omezenícs
dc.subjectPortfolio Optimizationen
dc.subjectStochastic Programmingen
dc.subjectMarkowitz Mean Variance modelen
dc.subjectConditional Value-at-Risken
dc.subjectRockefeller and Uryasev CVaR optimization modelen
dc.subjectGAMSen
dc.subjectEfficient Frontier.en
dc.subjectPortfolio Optimizationcs
dc.subjectStochastic Programmingcs
dc.subjectMarkowitz Mean Variance modelcs
dc.subjectConditional Value-at-Riskcs
dc.subjectRockefeller and Uryasev CVaR optimization modelcs
dc.subjectGAMScs
dc.subjectEfficient Frontier.cs
dc.titleFinanční optimalizaceen
dc.title.alternativeOptimization in Financecs
dc.typeTextcs
dcterms.dateAccepted2020-07-16cs
dcterms.modified2020-07-16-14:29:38cs
thesis.disciplineMatematické inženýrstvícs
thesis.grantorVysoké učení technické v Brně. Fakulta strojního inženýrství. Ústav matematikycs
thesis.levelInženýrskýcs
thesis.nameIng.cs
sync.item.dbid125383en
sync.item.dbtypeZPen
sync.item.insts2020.07.20 20:58:58en
sync.item.modts2020.07.17 08:12:48en
eprints.affiliatedInstitution.facultyFakulta strojního inženýrstvícs
dc.contributor.refereeHrabec, Dušanen
dc.description.markBcs
dc.type.drivermasterThesisen
dc.type.evskpdiplomová prácecs
but.committeeprof. 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)cs
but.defenceStudent 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.cs
but.resultpráce byla úspěšně obhájenacs
but.programAplikované vědy v inženýrstvícs
but.jazykangličtina (English)


Files in this item

Thumbnail
Thumbnail
Thumbnail

This item appears in the following Collection(s)

Show simple item record