20.500.12556/RUL-102144 Pogojna tvegana vrednost in optimizacija portfeljev delo diplomskega seminarja Conditional value at risk and portfolios optimization V delu diplomskega seminarja z naslovom Pogojna tvegana vrednost in optimizacija portfeljev je predstavljen pristop optimizacije portfelja na podlagi minimizacije mere tveganja portfelja, imenovane pogojna tvegana vrednost. Čeprav definicija omenjene mere tveganja sloni na definiciji mere tveganja, imenovane tvegana vrednost, pa vendarle velja, da tehnika pristopa optimizacije portfelja na podlagi minimizacije pogojne tvegane vrednosti portfelja ne potrebuje predhodne določitve vrednosti tvegane vrednosti portfelja. Optimizacija portfelja, natančneje deležev nenegativnih pozicij posameznih finančnih instrumentov v portfelju, se prevede na minimizacijo konveksne zvezno odvedljive funkcije, s pomočjo katere dobimo pripadajoči vrednosti pogojne tvegane vrednosti in tvegane vrednosti portfelja. Funkcija vsebuje integral skupne gostote verjetnosti donosnosti finančnih instrumentov. Za uporabo na konkretnih podatkih zato uporabimo eno izmed tehnik vzorčenja iz vrednosti tržnih spremenljivk za predpisani portfelj, s tem aproksimiramo prej omenjeni integral in optimizacijo prevedemo na problem linearnega programiranja. In the diploma seminar thesis entitled Conditional Value at Risk and portfolios optimization, a portfolio optimization approach based on the minimization of the portfolio risk measure, called the Conditional Value at Risk, is presented. Although the definition of the above-mentioned risk measure is based on the definition of the risk measure, called the Value at Risk, the technique of the portfolio optimization approach based on minimization of the Conditional Value at Risk of the portfolio does not require the calculation of the Value at Risk of the portfolio beforehand. The optimization of the portfolio, more precisely, the shares of the non-negative positions in individual financial instruments in the portfolio, is transformed to the minimization of a convex and continuously differentiable function, through which the values of the Conditional Value at Risk and the Value at Risk of the portfolio are obtained. The function contains an integral of the joint probability density function of financial instruments returns. To use the approach on concrete data, we use one of the sampling techniques from the values of the portfolio related market variables, approximate the beforementioned integral and transform the optimization problem into the problem of linear programming. optimizacija portfelja upravljanje s tveganji mera tveganja koherentna mera tveganja tvegana vrednost pogojna tvegana vrednost linearno programiranje konveksna analiza portfolio optimization risk management risk measure coherent risk measure Value at Risk Conditional Value at Risk linear programming convex analysis true false false Slovenski jezik Angleški jezik Delo diplomskega seminarja/zaključno seminarsko delo/naloga 2018-07-20 07:45:01 2018-07-20 07:45:02 2022-08-15 03:40:26 0000-00-00 00:00:00 2018 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 87436 18412377 115.pdf 115.pdf 1 51688D6B4C0E5455475B4804086840C5 94cf1e90501e176841d0545aa179d937a04349e3a39ef85ab6d5070f3d3d6d54 7a7f3d4d-a1b5-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=112436 116.rar 116.rar 1 638ABE768D60F34CCD4B128FB0D091E1 d9db2cc1f0775a9eecfa0f1d7625887508e1b7d2447aacc853e5db25b34863c1 7a94c445-a1b5-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=112437 Fakulteta za matematiko in fiziko 0 0 0