Optimalize portfolia ve skokových modelech
| Název práce v češtině: | Optimalize portfolia ve skokových modelech |
|---|---|
| Název v anglickém jazyce: | Portfolio Optimization in Jump Models |
| Klíčová slova: | optimální volba portfolia|skokové modely |
| Klíčová slova anglicky: | optimal portfolio choice|jump models |
| Akademický rok vypsání: | 2024/2025 |
| Typ práce: | diplomová práce |
| Jazyk práce: | |
| Ústav: | Katedra pravděpodobnosti a matematické statistiky (32-KPMS) |
| Vedoucí / školitel: | doc. RNDr. Jan Večeř, Ph.D. |
| Řešitel: |
| Zásady pro vypracování |
| The goal of this thesis is to find the optimal portfolio in models driven by jumps, specifically in models driven by the gamma process. The approach should be based on the minimization of the relative entropy between the agent's opinion and the density that is replicable by the available assets at a fixed future time T. One can use mean variance approximation to find a proxy analytical solution to this problem. As the gamma process is infinitely divisible, one can find a dynamic strategy corresponding to the limiting case when T -> 0. As a special case of this approach, one should be able to find the analogous solution for the normal model (corresponding to Merton's Portfolio Problem), or solution for Poisson model that is also infinitely divisible. |
| Seznam odborné literatury |
| Markowitz, H. (1952) Portfolio Selection. The Journal of Finance, 7, 77-91.
Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. The review of Economics and Statistics, 247-257. Vecer, J. (2024): Principles of Bayesian Portfolio Choice, CRC Press. |