Optimizacija portfelja z linearnim programiranjem na podlagi pogojne tvegane vrednosti : delo diplomskega seminarja

Šutar, Katarina (author), Škulj, Damjan (mentor)

• Language: Slovenian
• Keywords: finančna matematika, optimizacija portfelja, linearno programiranje, stohastična dominanca, pogojna tvegana vrednost, Ginijeva povprečna razlika
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [K. Šutar]
• Year: 2017
• Number of pages: 31 str.
• PID: 20.500.12556/RUL-100694
• UDC: 519.8
• COBISS.SI-ID: 18222937
• Publication date in RUL: 06.04.2018

Secondary language

• Language: English
• Title: Portfolio optimization with linear programming based on conditional value at risk
• Keywords: mathematics, portfolio optimization, linear programming, stochastic dominance, conditional value at risk, Gini mean difference