Finanční optimalizace
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Date
Authors
Sowunmi, Ololade
Advisor
Referee
Mark
B
Journal Title
Journal ISSN
Volume Title
Publisher
Vysoké učení technické v Brně. Fakulta strojního inženýrství
ORCID
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.
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.
Description
Keywords
Portfolio Optimization , Stochastic Programming , Markowitz Mean Variance model , Conditional Value-at-Risk , Rockefeller and Uryasev CVaR optimization model , GAMS , Efficient Frontier. , Portfolio Optimization , Stochastic Programming , Markowitz Mean Variance model , Conditional Value-at-Risk , Rockefeller and Uryasev CVaR optimization model , GAMS , Efficient Frontier.
Citation
SOWUNMI, O. Finanční optimalizace [online]. Brno: Vysoké učení technické v Brně. Fakulta strojního inženýrství. 2020.
Document type
Document version
Date of access to the full text
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