SOWUNMI, O. Finanční optimalizace [online]. Brno: Vysoké učení technické v Brně. Fakulta strojního inženýrství. 2020.

Posudek vedoucího

Popela, Pavel

The author fulfilled the defined requirements of his diploma thesis in a suitable way and he has achieved all specified goals at very good level. I must confirm that the amount of work that has been done by the author on the subject of thesis during the winter and spring periods was adequate for this thesis theme. The author has worked hard and communicated with me as a supervisor in an open way. In the work on his thesis, at first, he utilized new knowledge obtained from courses Optimization 2 (focusing on principal ideas of stochastic programming) and Financial Mathematics (dealing with introductory concepts and related computations) during the autumn semester. As an active student, he had deepen his knowledge useful for thesis by self-study and short consultations. So, in my opinion, he has significantly improved his knowledge in areas of optimization modelling a financial optimization by studying recommended literature. For thesis related computations he has successfully used GAMS software tool that he learned independently himself, and so, he has also updated his knowledge of software tools suitable for his thesis related computations. During the spring semester, he has applied his knowledge to real-world data set. By supervisor’s recommendation he has focused on the renewable (clean) energy investment possibilities as an interesting area for modern and future research applications. While a supervisor was not personally available for several months during the whole covid 19 university quarantine period, the author of thesis has worked independently on thesis theme and he has shown his abilities to work with various optimization topics and interesting application challenges. So, the author originally applied Markowitz approach in Chapter 3 (explained it earlier in Chapter 2) to the chosen set of real-world data scenarios and he further focused on introduction of CVaR and related computations. It is obvious that the future usability of thesis results is not in theory but it is mainly in an application on real world data. Specifically, it can be useful for the existing application based cooperation between Institute of Mathematics and Institute of Process Engineering and Energy Institute. As a supervisor, I like and accept author's original and independent treatment of the studied topic although perhaps from the point of view of an experienced specialist in financial optimization models, some modifications and other steps could be expected or asked. However, the key point is that the author of thesis really impressed me how he made his progress through the months in Brno as he started with very limited knowledge of financial optimization themes and he has learned and applied himself both traditional and recent topics on his selection of real-world data from the promising area of clean energy. He also successfully passed the final period of corrections in June, so I can conclude that the student has shown me his talent by the progress he made from the beginning to the final results of his applied thesis. Regarding the formal aspects of thesis, we can say that the theme of thesis is presented in a compact and logical way. The layout of thesis text into chapters is well balanced. The author could pay more attention to the concluding comments adressed to final resutls and final figures would deserve a more extensive description. Overview paragraphs in Chapters 1 and 2 are less formally conceived, however, they are well illustrated by examples. We can welcome the enclosed zip file with all programs in GAMS and related figures because they illustrate well the author’s serious approach to the studied topic. The graphical layout of thesis is nice. In particular, I highly evaluate figures illustrating the main concepts (CVaR etc.). Most typos and grammatical errors have been corrected during the final reading of thesis. I also appreciate the author’s work with literature. In addition to his selection of recommended general sources, he has independently searched for extra classical and recent sources. Then, he further used them in the thesis in a suitable way. I fully appreciate how the student has worked systematically and independently on his master thesis during the spring period. The author was active and polite all the time even when he was patiently waiting for his busy supervisor. All my recommendations given to to the author were incorporated carefully and without delays. After all my previous remarks, I must say that the author has satisfied all goals of his thesis at very good level, and so, I recommend his thesis for the thesis defence and classify it by B mark.

Posudek oponenta

Hrabec, Dušan

The submitted master thesis entitled Optimization in Finance deals with an application of two well-known portfolio optimization models to a portfolio of clean energy assets for optimal allocation of financial resources. The thesis is written in English and consists of five chapters, including Introduction and Conclusion. The first chapter presents basic concepts of deterministic and stochastic programming. This is followed with the chapter on portfolio optimization models, especially Markowitz Mean Variance Optimization model and Conditional Value at Risk Optimization model. These are applied on the clean energy assets in Chapter 3 and the comparison of the models is provided in Chapter 4. The thesis does not contain errors in the description of the models and methods and I appreciate that it is written in a very good English. There are only minor and negligible inaccuracies (e.g., in model (1.7) or when using abbreviation CVaR/CVAR). Chapter 3 includes original examples on the real data, more specifically daily prices of five renewable energy companies (June 2010 – March 2020). The examples are solved using GAMS software while GAMS codes are provided in the Appendix. However, I think that Chapter 4 as well as Conclusion should provide better/deeper practical insights, discussion and conclusions of the overall results. Especially the Conclusion section does not provide results summary but rather outline of the thesis. There are also some parts that could be better presented and interpreted (such as figures 2 and 3 or tables 1 and 2). Altogether, I recommend this master thesis for the defense and classify it by B mark.

eVSKP id 125383