Řízení aktiv a pasiv za neurčitosti na bázi cenných papírů s pevným příjmem

Abstract

The aim of this thesis is finding that portfolio, which will agree with all conditions of company Alfa. This company put by 10 000 EUR and have a plan to borrow 40 000 EUR in the bank. The company is going to invest this money in bonds and require that the return cover payments of credit and want to maximalize wealth at the end of the planning horizon. Financial manager will define second-stage model. In second part of this thesis are described fixed income securities and yield curves. In third part is described conception of asset and liability management under uncertainty for fixed income securities. Here are described several models and its structure. In fourth part are applied chosen models, is defined a problem, are described incoming data and are defined restricrive conditions and target function. In this part is desribed solution of the problem and eventuel portfolio is comment, too.