Stochastic dominance in portfolio optimization
Stochastická dominance v úlohách optimalizace portfolia
bachelor thesis (DEFENDED)
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http://hdl.handle.net/20.500.11956/105382Identifiers
Study Information System: 206345
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- Kvalifikační práce [10932]
Author
Advisor
Consultant
Vitali, Sebastiano
Referee
Branda, Martin
Faculty / Institute
Faculty of Mathematics and Physics
Discipline
Financial Mathematics
Department
Department of Probability and Mathematical Statistics
Date of defense
13. 2. 2019
Publisher
Univerzita Karlova, Matematicko-fyzikální fakultaLanguage
English
Grade
Very good
Keywords (Czech)
Stochastická dominance, optimalizace portfolia, Markowitzuv modelKeywords (English)
Stochastic dominance, portfolio optimization, Markowitz modelThe main topic of this thesis is the application of stochastic dominance constrains to portfolio optimization problems. First, we recall Markowitz model. Then we present portfolio selection problems with stochastic dominance constraints. Finally, we compare performance of these two approaches in an empirical study presented in the last chapter.