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dc.contributor.advisorLellep, Jaan, juhendaja
dc.contributor.advisorKantšukov, Mark, juhendaja
dc.contributor.authorSetihe, Omar
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ülikool. Matemaatika ja statistika instituutet
dc.date.accessioned2020-09-02T08:18:43Z
dc.date.available2020-09-02T08:18:43Z
dc.date.issued2020
dc.identifier.urihttp://hdl.handle.net/10062/69403
dc.description.abstractThe objective of the thesis is to use optimal control theory in order to optimize portfolios. More precisely, using principles from calculus of variation in order to define the portfolio problem with reasonable constraints to maximize the profit while minimizing the risk or vice versa. Theoretical cases would be solved with simple constrains, and real application part would be made in Tallinn stock market. The latter is still in development with sixteen companies listed, fourteen which are taken in the analysis. The Values at Risk (VaR) method was the most successful in generating profit but really affected by the randomness of the solution and the nature of the market. The most stable method was the Conditional Values at Risk (CVaR) growing the portfolio slowly but surely. The whole market seems to be suffering from the COVID-19 pandemic resulting in an sharp drop in the stocks making the future returns negative.en
dc.language.isoenget
dc.rightsopenAccesset
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectEuler’s equationen
dc.subjectstochastic optimal controlen
dc.subjectMarkowitz portfolioen
dc.subjectValue at Risk (VaR) modelen
dc.subjectConditional Value at Risk (CVaR) modelen
dc.subjectAuto Regressive Integrated Moving Average (ARIMA) modelen
dc.subjectEuleri võrrandet
dc.subjectstohhastiline optimaalne kontrollet
dc.subjectARIMA mudelet
dc.subjecttinglik VaR mudelet
dc.subjectVaR mudelet
dc.subjectMarkowitzi portfoolioet
dc.subject.otherdynamic programminget
dc.subject.otherdünaamiline programmeerimineet
dc.titleOptimal control theory and portfolio optimizationen
dc.typeinfo:eu-repo/semantics/masterThesiset


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