| Title: | Počítačová optimalizace investic na světovém trhu |
| Other Titles: | Computer aided investment optimization on the world's market |
| Authors: | Pavelec, Josef |
| Advisor: | Šedivá Blanka, RNDr. Ph.D. |
| Referee: | Marek Patrice, Ing. Ph.D. |
| Issue Date: | 2016 |
| Publisher: | Západočeská univerzita v Plzni |
| Document type: | diplomová práce |
| URI: | http://hdl.handle.net/11025/23626 |
| Keywords: | obchodov ání na kapitálovém trhu;optimalizace investic;nestacionární proces;gui matlab;markowitzova teorie portfolia;adaptivní metody |
| Keywords in different language: | stock market trading;optimal investments;non-stationary process;gui matlab;markowitz portfolio theory;adaptive methods |
| Abstract: | Tato pr áce se se zab ývá problematikou volby optim ální ho portfolia na sv ěto- vém kapitálov em trhu pomoc í Markowitzova modelu s cí lem maximalizovat investor ův zisk. Problematika nestacionarity časov ých řad kurz ů akci í na kapit álov ém trhu je řešena pomocí adaptivn ích metod odhad u. Pr áce d ále nasti ňuje i dal ší mo žnou cestu, jak řešit problematiku nestability odhadu kovarian čn í matice, zalo ženou na teorii n áhodn ých matic. Jedn ím z c íl u t éto pr áce je srovn ání dosa žen ých v ýsledk ů tradi ční m mo- delem a modelem s adaptivn í schopností . K tomuto uúčelu bylo vzhledem k v ýpo četn í n áro čnosti a objemnosti dat vyvinuto a optimalizov áno řešení v programovac ím jazyce MATLAB, kter ý je z ároveň vybaven pot řebn ým matematick ým apar átem pro tuto úlohu. |
| Abstract in different language: | This diploma thesis deals with the problematics of optimal portfolio choice with focus on the world's stock market. The goal of such an optimization is a maximization of investor's revenue and is based on the Markowitz optimal portfolio model. The problematics of non-stationary time serieses describing stocks on the world's stock market is solved by adaptive parameter estimations. This work introduces another possible way to deal with the phenomenon of non-stable covariance matrix estimates based on random matrix theory. One of the goals of this thesis is comparison of the obtained results - re- sults from traditional model and from its adaptive extension. For this purpose was designed and optimized a software tool using MATLAB as a programming language since the computational intensity and data volume is large and this language is also optimized for mathematical computations. |
| Rights: | Plný text práce je přístupný bez omezení. |
| Appears in Collections: | Diplomové práce / Theses (KMA) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| JosefPavelec-DP.pdf | Plný text práce | 987,12 kB | Adobe PDF | View/Open |
| PV_Pavelec.pdf | Posudek vedoucího práce | 168,42 kB | Adobe PDF | View/Open |
| PO_Pavelec.pdf | Posudek oponenta práce | 199,13 kB | Adobe PDF | View/Open |
| P_Pavelec.pdf | Průběh obhajoby práce | 37,58 kB | Adobe PDF | View/Open |
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