delo diplomskega seminarja
Katarina Šutar (Author), Damjan Škulj (Mentor)

Abstract

Optimizacija portfelja z linearnim programiranjem na podlagi pogojne tvegane vrednosti

Keywords

finančna matematika;optimizacija portfelja;linearno programiranje;stohastična dominanca;pogojna tvegana vrednost;Ginijeva povprečna razlika;

Data

Language: Slovenian
Year of publishing:
Typology: 2.11 - Undergraduate Thesis
Organization: UL FDV - Faculty of Social Sciences
Publisher: [K. Šutar]
UDC: 519.8
COBISS: 18222937 Link will open in a new window
Views: 787
Downloads: 477
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary title: Portfolio optimization with linear programming based on conditional value at risk
Secondary keywords: mathematics;portfolio optimization;linear programming;stochastic dominance;conditional value at risk;Gini mean difference;
Type (COBISS): Final seminar paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages: 31 str.
ID: 10922285
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