Optimalizace portfolia s mírou stochastické nedominance v omezeních

• Thesis title in Czech: Optimalizace portfolia s mírou stochastické nedominance v omezeních
• Thesis title in English: Portfolio optimization with stochastic non-dominance constraints
• Key words: portfolio|optimalizace|stochastická nedominance
• English key words: portfolio|optimization|stochastic non-dominance
• Academic year of topic announcement: 2024/2025
• Thesis type: Bachelor's thesis
• Department: Department of Probability and Mathematical Statistics (32-KPMS)
• Supervisor: doc. RNDr. Ing. Miloš Kopa, Ph.D.
• Author: hidden - assigned and confirmed by the Study Dept.
• Date of registration: 20.03.2025
• Date of assignment: 20.03.2025
• Confirmed by Study dept. on: 21.03.2025
• Advisors: RNDr. Jana Junová

Guidelines

Student/ka se seznámí s modely optimalizace portfolia se stochastickou dominancí v omezeních. Tu pak nahradí stochastickou nedominancí a bude analyzovat rozdíly v optimálních portfoliích. Součástí práce bude empirická studie na realných finančních datech.

References

Jana Junová, Miloš Kopa: Measures of stochastic non-dominance in portfolio optimization, European Journal of Operational Research, Volume 321, Issue 1, 2025, Pages 269-283.

Dentcheva, D., & Ruszczyński, A. (2006). Portfolio optimization with stochastic dominance constraints. Journal of Banking & Finance, 30(2), 433–451. ​