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Asymptotic Control of Portfolio
dc.contributor.advisorDostál, Petr
dc.creatorStaníková, Dana
dc.date.accessioned2017-03-29T13:25:22Z
dc.date.available2017-03-29T13:25:22Z
dc.date.issued2006
dc.identifier.urihttp://hdl.handle.net/20.500.11956/5826
dc.description.abstractNazev prace: Asyniptoticke fixeni prol folia Autor: Dana Stanikova Katedra: Katedra pravdepodobnost i a matemalicke slatistiky Yedouci bakalafske prace: Mgr. Petr Dostal. Ph.D. c-inail vedouciho: do.sl.aKikarlin.iiifJ'.ciini.c/ Abstrakt: Mejme investora. ktery investuje na akcioveni a pcuezuiin trhu. .Icho rile-in jc inaxiniali/ovat asymptolickou hodnotn trxni cony porl.folia v nekonccnrin casovein horixontn. \ pfipadc" diskrotni aproxiinacc Markovova procosu pfcdstavn- jiciho nasi pozici na trim pouzijcnu1 Howardnv algoritinus a nkazomc, xe vyslcdky tohol.o a .s])ojit.('1ho modc-lu si nav/ajcm odpovi'dajf. Klicova slova: Markovovy procc.sy, Ilovvardnv algoritmus, Brownuv j)ohyl> Tit.In: Asymptotic' Control of Portfolio Author: Dana Stanikova Department: Department of Probability and Mal.liomatical Statistics Supervisor: Mgr. Petr Dostal. Ph.D. Supervisor's e-mail address: dostalukarlin.mfl'.cimi.c/, Abstract: We consider an investor who invests in a stock and a money market. Her aim is to maximize the asymptotic behaviour of the portfolio market price as the time lion/out goes l.o infinity. We apply Howard's algorithm to the dis- crete approximation of the Markov process representing our position in the market and show that the results in this and the continuous case correspond to each other. Keywords:...en_US
dc.description.abstractNazev prace: Asyniptoticke fixeni prol folia Autor: Dana Stanikova Katedra: Katedra pravdepodobnost i a matemalicke slatistiky Yedouci bakalafske prace: Mgr. Petr Dostal. Ph.D. c-inail vedouciho: do.sl.aKikarlin.iiifJ'.ciini.c/ Abstrakt: Mejme investora. ktery investuje na akcioveni a pcuezuiin trhu. .Icho rile-in jc inaxiniali/ovat asymptolickou hodnotn trxni cony porl.folia v nekonccnrin casovein horixontn. \ pfipadc" diskrotni aproxiinacc Markovova procosu pfcdstavn- jiciho nasi pozici na trim pouzijcnu1 Howardnv algoritinus a nkazomc, xe vyslcdky tohol.o a .s])ojit.('1ho modc-lu si nav/ajcm odpovi'dajf. Klicova slova: Markovovy procc.sy, Ilovvardnv algoritmus, Brownuv j)ohyl> Tit.In: Asymptotic' Control of Portfolio Author: Dana Stanikova Department: Department of Probability and Mal.liomatical Statistics Supervisor: Mgr. Petr Dostal. Ph.D. Supervisor's e-mail address: dostalukarlin.mfl'.cimi.c/, Abstract: We consider an investor who invests in a stock and a money market. Her aim is to maximize the asymptotic behaviour of the portfolio market price as the time lion/out goes l.o infinity. We apply Howard's algorithm to the dis- crete approximation of the Markov process representing our position in the market and show that the results in this and the continuous case correspond to each other. Keywords:...cs_CZ
dc.languageČeštinacs_CZ
dc.language.isocs_CZ
dc.publisherUniverzita Karlova, Matematicko-fyzikální fakultacs_CZ
dc.titleAsymptotické řízení portfoliacs_CZ
dc.typebakalářská prácecs_CZ
dcterms.created2006
dcterms.dateAccepted2006-06-28
dc.description.departmentKatedra pravděpodobnosti a matematické statistikycs_CZ
dc.description.departmentDepartment of Probability and Mathematical Statisticsen_US
dc.description.facultyMatematicko-fyzikální fakultacs_CZ
dc.description.facultyFaculty of Mathematics and Physicsen_US
dc.identifier.repId43848
dc.title.translatedAsymptotic Control of Portfolioen_US
dc.contributor.refereeHurt, Jan
dc.identifier.aleph000831153
thesis.degree.nameBc.
thesis.degree.levelbakalářskécs_CZ
thesis.degree.disciplineFinancial Mathematicsen_US
thesis.degree.disciplineFinanční matematikacs_CZ
thesis.degree.programMathematicsen_US
thesis.degree.programMatematikacs_CZ
uk.thesis.typebakalářská 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 matematikacs_CZ
uk.degree-discipline.enFinancial Mathematicsen_US
uk.degree-program.csMatematikacs_CZ
uk.degree-program.enMathematicsen_US
thesis.grade.csVýborněcs_CZ
thesis.grade.enExcellenten_US
uk.abstract.csNazev prace: Asyniptoticke fixeni prol folia Autor: Dana Stanikova Katedra: Katedra pravdepodobnost i a matemalicke slatistiky Yedouci bakalafske prace: Mgr. Petr Dostal. Ph.D. c-inail vedouciho: do.sl.aKikarlin.iiifJ'.ciini.c/ Abstrakt: Mejme investora. ktery investuje na akcioveni a pcuezuiin trhu. .Icho rile-in jc inaxiniali/ovat asymptolickou hodnotn trxni cony porl.folia v nekonccnrin casovein horixontn. \ pfipadc" diskrotni aproxiinacc Markovova procosu pfcdstavn- jiciho nasi pozici na trim pouzijcnu1 Howardnv algoritinus a nkazomc, xe vyslcdky tohol.o a .s])ojit.('1ho modc-lu si nav/ajcm odpovi'dajf. Klicova slova: Markovovy procc.sy, Ilovvardnv algoritmus, Brownuv j)ohyl> Tit.In: Asymptotic' Control of Portfolio Author: Dana Stanikova Department: Department of Probability and Mal.liomatical Statistics Supervisor: Mgr. Petr Dostal. Ph.D. Supervisor's e-mail address: dostalukarlin.mfl'.cimi.c/, Abstract: We consider an investor who invests in a stock and a money market. Her aim is to maximize the asymptotic behaviour of the portfolio market price as the time lion/out goes l.o infinity. We apply Howard's algorithm to the dis- crete approximation of the Markov process representing our position in the market and show that the results in this and the continuous case correspond to each other. Keywords:...cs_CZ
uk.abstract.enNazev prace: Asyniptoticke fixeni prol folia Autor: Dana Stanikova Katedra: Katedra pravdepodobnost i a matemalicke slatistiky Yedouci bakalafske prace: Mgr. Petr Dostal. Ph.D. c-inail vedouciho: do.sl.aKikarlin.iiifJ'.ciini.c/ Abstrakt: Mejme investora. ktery investuje na akcioveni a pcuezuiin trhu. .Icho rile-in jc inaxiniali/ovat asymptolickou hodnotn trxni cony porl.folia v nekonccnrin casovein horixontn. \ pfipadc" diskrotni aproxiinacc Markovova procosu pfcdstavn- jiciho nasi pozici na trim pouzijcnu1 Howardnv algoritinus a nkazomc, xe vyslcdky tohol.o a .s])ojit.('1ho modc-lu si nav/ajcm odpovi'dajf. Klicova slova: Markovovy procc.sy, Ilovvardnv algoritmus, Brownuv j)ohyl> Tit.In: Asymptotic' Control of Portfolio Author: Dana Stanikova Department: Department of Probability and Mal.liomatical Statistics Supervisor: Mgr. Petr Dostal. Ph.D. Supervisor's e-mail address: dostalukarlin.mfl'.cimi.c/, Abstract: We consider an investor who invests in a stock and a money market. Her aim is to maximize the asymptotic behaviour of the portfolio market price as the time lion/out goes l.o infinity. We apply Howard's algorithm to the dis- crete approximation of the Markov process representing our position in the market and show that the results in this and the continuous case correspond to each other. Keywords:...en_US
uk.publication.placePrahacs_CZ
uk.grantorUniverzita Karlova, Matematicko-fyzikální fakulta, Katedra pravděpodobnosti a matematické statistikycs_CZ
dc.identifier.lisID990008311530106986


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