Aplikovaná finanční optimalizace

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but.committeedoc. 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)cs
but.defenceThe 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.cs
but.jazykangličtina (English)
but.programApplied and Interdisciplinary Mathematicscs
but.resultpráce byla úspěšně obhájenacs
dc.contributor.advisorPopela, Pavelen
dc.contributor.authorOpoku, Eunice Boaduwaaen
dc.contributor.refereeHrabec, Dušanen
dc.date.created2024cs
dc.description.abstractThis 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.en
dc.description.abstractThis 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.cs
dc.description.markDcs
dc.identifier.citationOPOKU, E. Aplikovaná finanční optimalizace [online]. Brno: Vysoké učení technické v Brně. Fakulta strojního inženýrství. 2024.cs
dc.identifier.other162422cs
dc.identifier.urihttp://hdl.handle.net/11012/249617
dc.language.isoencs
dc.publisherVysoké učení technické v Brně. Fakulta strojního inženýrstvícs
dc.rightsStandardní licenční smlouva - přístup k plnému textu bez omezenícs
dc.subjectMathematical programmingen
dc.subjectPortfolio Optimizationen
dc.subjectMarkowitz Mean Variance modelen
dc.subjectSelected Stochastic modelen
dc.subjectGeneral Algebraic Modeling System (GAMS)en
dc.subjectEfficient Frontier.en
dc.subjectMathematical programmingcs
dc.subjectPortfolio Optimizationcs
dc.subjectMarkowitz Mean Variance modelcs
dc.subjectSelected Stochastic modelcs
dc.subjectGeneral Algebraic Modeling System (GAMS)cs
dc.subjectEfficient Frontier.cs
dc.titleAplikovaná finanční optimalizaceen
dc.title.alternativeApplied Financial Optimizationcs
dc.typeTextcs
dc.type.drivermasterThesisen
dc.type.evskpdiplomová prácecs
dcterms.dateAccepted2024-10-04cs
dcterms.modified2024-10-08-12:30:53cs
eprints.affiliatedInstitution.facultyFakulta strojního inženýrstvícs
sync.item.dbid162422en
sync.item.dbtypeZPen
sync.item.insts2025.03.27 10:46:39en
sync.item.modts2025.01.15 19:17:32en
thesis.disciplinebez specializacecs
thesis.grantorVysoké učení technické v Brně. Fakulta strojního inženýrství. Ústav matematikycs
thesis.levelInženýrskýcs
thesis.nameIng.cs
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