| Abstract: |
Prices of assets (stocks, commodities etc.) are dependent on many economic factors. These factors may be explicitly known but most of them are hidden. This dependency causes that price of an asset influences prices of another assets which makes it quite complicated to select optimal portfolio. Portfolio management is usually based on various mathematic models in conjunction with Value-at-Risk model. The aim of this thesis is to provide an alternative approach for optimal portfolio selection with mutual assets’ prices correlation consideration using cluster analysis. |
