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Asymptotic Control of Portfolio for several assets
Asymptotické řízení portfolia pro několik akcií
dc.contributor.advisorDostál, Petr
dc.creatorKováč, Jakub
dc.date.accessioned2017-04-18T11:16:55Z
dc.date.available2017-04-18T11:16:55Z
dc.date.issued2009
dc.identifier.urihttp://hdl.handle.net/20.500.11956/20806
dc.description.abstractWe consider an investor who invests in a stock and money market and whose goal is to maximize the market value of her portfolio in the very long run. The goal of the thesis is to find an optimal trading strategy for the investor. The stocks' market values are simulated by multidimensional Brownian motion. The possibility to buy and sell stocks introduces a new dimension to the dynamics of the problem. By using the Itoo calculus we derive the basic properties of the continous model. Considering the continous model difficulties with finding the optimal trading strategy, we aproximate the continous model by a dsicrete model. In the end, the thesis presents hints to use the Howard algorithm in the discrete case. The main contribution of the thesis is the introduction and proof of the Howard algorithm which can be used as a tool to find the optimal trading strategy in the discrete model.en_US
dc.languageSlovenčinacs_CZ
dc.language.isosk_SK
dc.publisherUniverzita Karlova, Matematicko-fyzikální fakultacs_CZ
dc.titleAsymptotické řízení portfolia pro několik akciísk_SK
dc.typediplomová prácecs_CZ
dcterms.created2009
dcterms.dateAccepted2009-05-26
dc.description.departmentDepartment of Probability and Mathematical Statisticsen_US
dc.description.departmentKatedra pravděpodobnosti a matematické statistikycs_CZ
dc.description.facultyFaculty of Mathematics and Physicsen_US
dc.description.facultyMatematicko-fyzikální fakultacs_CZ
dc.identifier.repId46698
dc.title.translatedAsymptotic Control of Portfolio for several assetsen_US
dc.title.translatedAsymptotické řízení portfolia pro několik akciícs_CZ
dc.contributor.refereeJustová, Iva
dc.identifier.aleph001119684
thesis.degree.nameMgr.
thesis.degree.levelmagisterskécs_CZ
thesis.degree.disciplineFinanční a pojistná matematikacs_CZ
thesis.degree.disciplineFinancial and insurance mathematicsen_US
thesis.degree.programMatematikacs_CZ
thesis.degree.programMathematicsen_US
uk.thesis.typediplomová prácecs_CZ
uk.taxonomy.organization-csMatematicko-fyzikální fakulta::Katedra pravděpodobnosti a matematické statistikycs_CZ
uk.taxonomy.organization-enFaculty of Mathematics and Physics::Department of Probability and Mathematical Statisticsen_US
uk.faculty-name.csMatematicko-fyzikální fakultacs_CZ
uk.faculty-name.enFaculty of Mathematics and Physicsen_US
uk.faculty-abbr.csMFFcs_CZ
uk.degree-discipline.csFinanční a pojistná matematikacs_CZ
uk.degree-discipline.enFinancial and insurance mathematicsen_US
uk.degree-program.csMatematikacs_CZ
uk.degree-program.enMathematicsen_US
thesis.grade.csDobřecs_CZ
thesis.grade.enGooden_US
uk.abstract.enWe consider an investor who invests in a stock and money market and whose goal is to maximize the market value of her portfolio in the very long run. The goal of the thesis is to find an optimal trading strategy for the investor. The stocks' market values are simulated by multidimensional Brownian motion. The possibility to buy and sell stocks introduces a new dimension to the dynamics of the problem. By using the Itoo calculus we derive the basic properties of the continous model. Considering the continous model difficulties with finding the optimal trading strategy, we aproximate the continous model by a dsicrete model. In the end, the thesis presents hints to use the Howard algorithm in the discrete case. The main contribution of the thesis is the introduction and proof of the Howard algorithm which can be used as a tool to find the optimal trading strategy in the discrete model.en_US
uk.publication.placePrahacs_CZ
uk.grantorUniverzita Karlova, Matematicko-fyzikální fakulta, Katedra pravděpodobnosti a matematické statistikycs_CZ


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