Aplikovaná finanční optimalizace
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Date
Authors
Opoku, Eunice Boaduwaa
ORCID
Advisor
Referee
Mark
D
Journal Title
Journal ISSN
Volume Title
Publisher
Vysoké učení technické v Brně. Fakulta strojního inženýrství
Abstract
This thesis examines the application of two optimization models, namely the Markowitz Mean-Variance Model and Two-Stage Stochastic Programming in optimizing commodity investments with a specific case study of Ghana. To maximize expected return while minimizing risk, we used export and import data from the Bank of Ghana (BOG) and commodity price data from the International Monetary Fund (IMF). While the Two-Stage Stochastic model uses time series data to account for future uncertainties, the Markowitz Mean-Variance model balances the trade-off between expected return and risk by using covariance and the efficient frontier in its analysis. The General Algebraic Modelling System (GAMS) software is used to implement the optimization models, and their results are then compared.
This thesis examines the application of two optimization models, namely the Markowitz Mean-Variance Model and Two-Stage Stochastic Programming in optimizing commodity investments with a specific case study of Ghana. To maximize expected return while minimizing risk, we used export and import data from the Bank of Ghana (BOG) and commodity price data from the International Monetary Fund (IMF). While the Two-Stage Stochastic model uses time series data to account for future uncertainties, the Markowitz Mean-Variance model balances the trade-off between expected return and risk by using covariance and the efficient frontier in its analysis. The General Algebraic Modelling System (GAMS) software is used to implement the optimization models, and their results are then compared.
This thesis examines the application of two optimization models, namely the Markowitz Mean-Variance Model and Two-Stage Stochastic Programming in optimizing commodity investments with a specific case study of Ghana. To maximize expected return while minimizing risk, we used export and import data from the Bank of Ghana (BOG) and commodity price data from the International Monetary Fund (IMF). While the Two-Stage Stochastic model uses time series data to account for future uncertainties, the Markowitz Mean-Variance model balances the trade-off between expected return and risk by using covariance and the efficient frontier in its analysis. The General Algebraic Modelling System (GAMS) software is used to implement the optimization models, and their results are then compared.
Description
Keywords
Mathematical programming, Portfolio Optimization, Markowitz Mean Variance model, Selected Stochastic model, General Algebraic Modeling System (GAMS), Efficient Frontier., Mathematical programming, Portfolio Optimization, Markowitz Mean Variance model, Selected Stochastic model, General Algebraic Modeling System (GAMS), Efficient Frontier.
Citation
OPOKU, E. Aplikovaná finanční optimalizace [online]. Brno: Vysoké učení technické v Brně. Fakulta strojního inženýrství. 2024.
Document type
Document version
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Language of document
en
Study field
bez specializace
Comittee
doc. Ing. Luděk Nechvátal, Ph.D. (předseda)
prof. RNDr. Miloslav Druckmüller, CSc. (místopředseda)
prof. Mgr. Pavel Řehák, Ph.D. (člen)
doc. RNDr. Jiří Tomáš, Dr. (člen)
doc. Mgr. et Mgr. Aleš Návrat, Ph.D. (člen)
Mariapia Palombaro (člen)
Gennaro Ciampa (člen)
Matteo Colangeli (člen)
Carmela Scalone (člen)
Date of acceptance
2024-10-04
Defence
The student presented her master's thesis on “Applied Financial Optimization”. After the presentation, the supervisor's and the opponent's reviews were read. The student has appropriately answered the opponent's questions.
Result of defence
práce byla úspěšně obhájena
Document licence
Standardní licenční smlouva - přístup k plnému textu bez omezení