Vrijednost slabe informacije u diskretnim modelima tržišta

master's thesis

• Title (english): The value of weak information in discrete market models
• Author: Andrija Babić
• Mentor: Vanja Wagner (mentor)
• Committee member: Vanja Wagner (predsjednik povjerenstva)
• Committee member: Rudi Mrazović (član povjerenstva)
• Committee member: Goran Radunović (član povjerenstva)
• Committee member: Snježana Lubura Strunjak (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2021-07-21, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

U ovome radu proučavali smo diskretni model financijskog tržišta. Krenuli smo od pretpostavke da investitor želi maksimizirati očekivanu korisnost koju ostvaruje ulaganjem u svoj portfelj. Također smo pretpostavili da investitor zna distribuciju cijene imovine u konačnom trenutku i tu informaciju smo nazvali slaba informacija. Odgovorili smo na glavno pitanje rada, a to je koja je financijska vrijednost slabe informacije. Nije nas zanimala sama novčana vrijednost koju investitor može ostvariti, već smo htjeli uzeti u obzir i sklonost riziku pojedinog investitora. To smo napravili preko funkcija korisnosti te smo dali i načine kako ih maksimizirati. Rezultate smo primijenili na nekoliko različitih funkcija korisnosti.

Abstract (english)

In this thesis, we studied a discrete model of the financial market, assuming that an investor is interested in maximizing his expected utility by investing in his portfolio and that the investor knows the distribution of the price of the property, which is referred to as weak information. We answered the main question of this thesis, what is the financial value of poor information. It was done by looking not only at the monetary value that an investor can achieve, but also taking into account the risk awareness of an individual investor. This was achieved through utility functions and ways to maximize them were given. We applied the results to several different utility functions.

• Keywords: diskretni model financijskog tržišta; slaba informacija; sklonost riziku; funkcija korisnosti
• Keywords (english): discrete model of the financial market; weak information; risk awareness; utility functions
• Language: croatian
• URN:NBN: urn:nbn:hr:217:558549
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access; Embargo expiration date: 2023-09-20
• Created on: 2021-09-20 09:28:20