Optimalizace akciového portfolia pomocí dynamického programování

Abstract

The aim of the thesis is to compare and assess the benefits of flexible dynamic optimization strategies with passive strategy "buy and hold", while optimizing equity portfolio for three different scenarios in the three-year investment horizon, where the evaluation criterion is the mean value of the utility function. The main part of this work is devoted to the application of dynamic optimization model. First, we describe a model of the situation based on market conditions. The screenplay anticipated market conditions, explains how the applicate dynamic programming problem, otherwise also known as flexible strategies for optimizing the equity portfolio. In the first part of the application we create original portfolio, which is in next periods rebalanced using "forward" way. The resulting mean value of wealth in the use of flexible strategies, recurrent calculated by (backward) manner. In the next section of this chapter we compares the resulting mean value of wealth achieved by applying a passive strategy.