Asymptotické řízení portfolia

Abstract

Nazev prace: Asyniptoticke fixeni prol folia Autor: Dana Stanikova Katedra: Katedra pravdepodobnost i a matemalicke slatistiky Yedouci bakalafske prace: Mgr. Petr Dostal. Ph.D. c-inail vedouciho: do.sl.aKikarlin.iiifJ'.ciini.c/ Abstrakt: Mejme investora. ktery investuje na akcioveni a pcuezuiin trhu. .Icho rile-in jc inaxiniali/ovat asymptolickou hodnotn trxni cony porl.folia v nekonccnrin casovein horixontn. \ pfipadc" diskrotni aproxiinacc Markovova procosu pfcdstavn- jiciho nasi pozici na trim pouzijcnu1 Howardnv algoritinus a nkazomc, xe vyslcdky tohol.o a .s])ojit.('1ho modc-lu si nav/ajcm odpovi'dajf. Klicova slova: Markovovy procc.sy, Ilovvardnv algoritmus, Brownuv j)ohyl> Tit.In: Asymptotic' Control of Portfolio Author: Dana Stanikova Department: Department of Probability and Mal.liomatical Statistics Supervisor: Mgr. Petr Dostal. Ph.D. Supervisor's e-mail address: dostalukarlin.mfl'.cimi.c/, Abstract: We consider an investor who invests in a stock and a money market. Her aim is to maximize the asymptotic behaviour of the portfolio market price as the time lion/out goes l.o infinity. We apply Howard's algorithm to the dis- crete approximation of the Markov process representing our position in the market and show that the results in this and the continuous case correspond to each other. Keywords:...

Nazev prace: Asyniptoticke fixeni prol folia Autor: Dana Stanikova Katedra: Katedra pravdepodobnost i a matemalicke slatistiky Yedouci bakalafske prace: Mgr. Petr Dostal. Ph.D. c-inail vedouciho: do.sl.aKikarlin.iiifJ'.ciini.c/ Abstrakt: Mejme investora. ktery investuje na akcioveni a pcuezuiin trhu. .Icho rile-in jc inaxiniali/ovat asymptolickou hodnotn trxni cony porl.folia v nekonccnrin casovein horixontn. \ pfipadc" diskrotni aproxiinacc Markovova procosu pfcdstavn- jiciho nasi pozici na trim pouzijcnu1 Howardnv algoritinus a nkazomc, xe vyslcdky tohol.o a .s])ojit.('1ho modc-lu si nav/ajcm odpovi'dajf. Klicova slova: Markovovy procc.sy, Ilovvardnv algoritmus, Brownuv j)ohyl> Tit.In: Asymptotic' Control of Portfolio Author: Dana Stanikova Department: Department of Probability and Mal.liomatical Statistics Supervisor: Mgr. Petr Dostal. Ph.D. Supervisor's e-mail address: dostalukarlin.mfl'.cimi.c/, Abstract: We consider an investor who invests in a stock and a money market. Her aim is to maximize the asymptotic behaviour of the portfolio market price as the time lion/out goes l.o infinity. We apply Howard's algorithm to the dis- crete approximation of the Markov process representing our position in the market and show that the results in this and the continuous case correspond to each other. Keywords:...