Finanční optimalizace

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B
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Vysoké učení technické v Brně. Fakulta strojního inženýrství
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.
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Citation
SOWUNMI, O. Finanční optimalizace [online]. Brno: Vysoké učení technické v Brně. Fakulta strojního inženýrství. 2020.
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Document version
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Language of document
en
Study field
Matematické inženýrství
Comittee
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) prof. Mgr. Pavel Řehák, Ph.D. (člen) Prof. Bruno Rubino (člen) Assoc. Prof. Matteo Colangeli (člen) Assoc. Prof. Massimiliano Giuli (člen)
Date of acceptance
2020-07-16
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 defence
práce byla úspěšně obhájena
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Standardní licenční smlouva - přístup k plnému textu bez omezení
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