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dc.contributorMasdemont Soler, Josep
dc.contributor.authorCelma Cercadillo, Ramon
dc.contributor.otherUniversitat Politècnica de Catalunya. Departament de Matemàtica Aplicada I
dc.description.abstractThis project covers the basics of Financial Portfolio Management theory through different stochastic optimization models. The concepts of uncertainty and stochastic models are introduced and proven to be more reliable than the deterministic models. The input data of the model now are random variables, and two types of stochastic models are analyzed in this project. The first type are the models that transform the random input into deterministic data before the model is run. Among them there are the classic Markowitz mean-variance (which is shown in a practical example for IBEX 35) and Black-Litterman models. The second type are the models that introduce the uncertainty of the input data explicitly in the models, which are prepared to handle with random variables. These models are advanced and complex to solve, but a detailed introduction to them is provided in this thesis: key features, general formulation and a multistage stochastic optimization modelling example with the same case of IBEX 35.
dc.publisherUniversitat Politècnica de Catalunya
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Investigació operativa::Optimització
dc.subject.lcshManagement science
dc.subject.lcshOperations research
dc.subject.otherOperations research
dc.subject.otherMathematical programming
dc.subject.otherStochastic programming
dc.subject.otherFinancial portfolio management
dc.subject.otherMathematical finance
dc.subject.otherQuantitative finance
dc.titleStochastic optimization applied to financial portfolio management
dc.typeBachelor thesis
dc.subject.lemacAdministració--Models matemàtics
dc.subject.lemacInvestigació operativa
dc.subject.amsClassificació AMS::90 Operations research, mathematical programming::90B Operations research and management science
dc.rights.accessOpen Access
dc.audience.mediatorUniversitat Politècnica de Catalunya. Facultat de Matemàtiques i Estadística

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