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Lecturer(s)
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Klicnarová Jana, doc. RNDr. Ph.D.
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Course content
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1. Utility Theory. 2. Monetary Utility Function. Estimation of utility function parameters. 3. Introduction into Decision Theory. 4. Decision under risk and uncertainty. 5. Markowitz' model of portfolio optimization. 6. Scenario approach to portfolio optimization. 7. Bayes' formula. 8. Prior and posterior probabilities. Value of experimetation and value of perfect information. 9. Decision trees. 10. Introduction into Game Theory. 11. Antagonistic conflict, graphical solution, solving by LP method. 12. Two-person nonconstant-sum games. 13. Oligopolies. 14 . Simulation.
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Learning activities and teaching methods
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Monologic (reading, lecture, briefing), Dialogic (discussion, interview, brainstorming)
- Class attendance
- 42 hours per semester
- Semestral paper
- 42 hours per semester
- Preparation for credit
- 28 hours per semester
- Preparation for exam
- 28 hours per semester
- Preparation for classes
- 28 hours per semester
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Learning outcomes
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The course provides a first introduction into decision theory. After the basic notions of the subject have been explained, the main attention will be paid to the methods for solving problems with one or more decision criteria and/or resolving conflicting situations in the paradigms of game theory. Some specific items to be discussed: Optimization techniques and rules for decision problems with one decision criterion, e.g., mean-value, maxmin, Laplace, Savage rules, etc. Decision trees. Problems of Portfolio optimization. Basic notions of game theory; strategies, zero-sum games, etc. Pure and mixed strategies, linear programming methods. Nash equilibrium, cooperative and non-cooperative games.
The students will acquire basic understanding of the fundamentals of decision processes and game theory, including the underlying mathematical tools and software.
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Prerequisites
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The course has no prerequisities.
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Assessment methods and criteria
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Combined exam
Requirements for credit: active participation in lessons, duly submission of 2 seminar works and at least 40 percent of points from tests. Two tests during a semester. (There is only one chance to retake the test.) Written and oral exam. It is necessary to have at least 50 percent of points from the exam test to pass the written part. The written part can be forgiven in case of the result from credit tests better than 65 percent of points. To pass the oral part it is necessary to answer at least one of three questions.
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Recommended literature
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Ariely. Predictably Irrational: The Hidden Forces That Shape Our Decisions. Harper-Collins, 2008.
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Hansson. S. O. Decision Theory: A Brief Introduction.
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Hillier, Liebermann. Introduction to Operation Research. New York, 2010. ISBN 978-007-132483-0.
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J. von Neumann and O. Morgenstern. Theory of Games and Economic Behavior. Princeton, NJ. Princeton University Press., 1944.
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K. Binmore. Fun and Games - A Text on Game Theory. D.C. Heath, Lexington, Mass, 1992.
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M. De Groot. Optimal Statistical Decisions. Wiley Classics Library (Originally published 1970.), 2004.
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Peterson, M. An Introduction to Decision Theory. London, Cambridge University Press, 2017. ISBN 978-1-107-15159-8.
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R. Clemen. Making Hard Decisions: An Introduction to Decision Analysis. 2nd edition. Belmont CA: Duxbury Press, 1996.
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S. Karlin. Mathematical Methods and Theory in Games, Programming and Economics, in two vols.. Dover Publications Inc., New York, 1992.
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T. Ferguson. Game Theory, course notes.
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