National Repository of Grey Literature 152 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Portfolio Optimization in the German Stock Market
Bastin, Jan ; Musílek, Petr (advisor) ; Witzany, Jiří (referee) ; Budinský, Petr (referee)
The thesis focuses on the equity portfolio management with quantitative methods. We present 3 types of optimization objectives: One tries to find minimum variance portfolios, tangency portfolios and portfolios with maximized expected returns in the German stock market. It is possible to compare those investment opportunities with a market-cap weighted benchmark and an equal weighted portfolio. Expected returns of stocks are estimated with fundamental factor models. Risks of portfolios are estimated with 5 types of covariance matrices: the matrix calculated with historical returns, estimations with the single index model, Fama-French three factors model, fundamental factor model and the shrinkage method. Our results are doubled because of the demonstration of the impact of turnover constraint on portfolio performance measures (transaction costs are included in our calculations). One can see that optimized portfolios had attractive risk-return measures in the period 2005 - 2015. Benchmark and equal weighted portfolios were dominated and we consider them to be inefficient investments in our test.
Investing in technology companies
Panáček, Martin ; Musílek, Petr (advisor) ; Fleischmann, Luboš (referee)
The diploma thesis is focused on the issue of investing in information technology companies solely on the American capital market. It is divided into two parts. The first part deals with the private market. It compares the situation with the financial bubble in 2000 and with recent developments. It describes the current situation from a legal and financial point of view. It works with the term "Unicorn" for companies with valuations exceeding $ 1 billion. The second part focuses on the stock market and describes the change in the market capitalization of technology companies in relation to fundaments that are created in the private market. The diploma thesis is suitable for investors who want to invest in this type of companies, but they do not have access to the private market and therefore their only investment option is with the entry of the technology company into the stock market. The author's contribution lies in describing the current situation in the technology companies market.
Long term testing of fundamental and technical indicators on american stock market
Švajcr, Milan ; Musílek, Petr (advisor) ; Janda, Karel (referee)
This master thesis in its opening chapter inform about some basic charakteristics of New York Stock Exchange. Then indicators and tools of fundamental and technical analysis of stocks are explained in folowing chapters. In practical part of the thesis is taking place a evaluation of fundamental and technical analysis based on historical data from american stock market. For this prupose the data of constituents companies of Dow Jones Industrial Average index are used covering market history as far as possible.
Analysis and development of US and UK investment banking
Jurčišin, Rastislav ; Musílek, Petr (advisor) ; Kábrt, Tomáš (referee)
The aim of the bachelor thesis "Analysis and development of US and UK investment banking" is primarily to provide a unified view of the issue of investment banking in the global notion and then to compare its developments in England and the USA. The thesis will gradually follow the historic development of investment banking and what regulation and legislative changes has gone through until the present. The main focus of this bachelor thesis will be on the situation in the USA and England before the fall of Lehman Brothers and during the financial crisis in 2008 along with the situation that followed. At the end of this work, there is comparation of four selected banks, two from the USA and two from England, describing their different behaviors during the crisis or the bank itself, looking at different aspects, such as the country of origin.
Analysis of performance of the Chinese stock market
Beitl, Marek ; Musílek, Petr (advisor) ; Janda, Karel (referee)
The thesis deals with analysis of performance of the Chinese stock market. The first chapter presents basic general characteristics of the stock market and equity investment. The second chapter focuses on the specifics of Chinese stock market. The third, last, chapter analyzes performance of the Chinese stock market.
Stock Market Manipulation
Průša, Ivo ; Dědič, Jan (advisor) ; Musílek, Petr (referee) ; Kotásek, Josef (referee)
The disertation thesis deals with the market abuse through the market manipulation. Its focuses, in particular, to the merits of the regulation itself and specific regimentation. Manipulation is one of two pillars which creates the subject of the area of law dealing with market abuse. The thesis is divided into five basic parts, which are further divided into seventeen chapters. We proceed from the general definition of basic concepts, categories, and economic context to clarify a particular concept of manipulation and its operation in practice to particular subject matters of manipulation. The conclusion is then added to the list of negative description and liability arising from manipulation. The first five chapters, which are contained in Part A deals with general introductory remarks (Chapter 1), including notes dealing with the concept and methodology of the thesis, its objectives and determination of verified hypotheses (Chapters 3, 4 and 5). Chapter 2 of this part is partially devoted to the issue of terminology used in the thesis. We note here the fact the existing regulation limiting ratio of the concepts and conclude that this thesis will use principally general terms, i.e the market (instead of the concept of capital or regulated market) and instrument (instead of the term financial...
Models of EU financial market supervision
Šťastný, Evžen ; Tichý, Luboš (advisor) ; Kohajda, Michael (referee) ; Musílek, Petr (referee)
Models of EU financial market supervision Author: JUDr. Evžen Šťastný, LL.M. This paper seeks the optimal way of supervision of a single EU financial market. The reason for my research is that, based on the development of financial markets in recent years, the interconnection of markets, modern investment instruments and the strengthening of multinational financial groups allow for quick and easy transfer of capital and risk between countries and financial sectors. This forces us to reconsider the appropriateness of the currently used supervisory model. The paper analyzes models of home state supervisor in connection with supervision on a consolidated basis and supervision of financial conglomerates, the model of a lead supervisor and a single supervisor model with the unified structure and dual structure with the Union and national supervisory authorities. As the evaluation criteria were chosen costs for financial institutions, supervisory effectiveness, consumer confidence and political acceptability. The analysis concludes that the most appropriate model of supervision of a single financial market of the European Union is the model of a single supervisory authority with the unified structure. The work is divided into eight chapters to present reasons why the issue should be examined, analyzed...
The future of automated investment advisory in the Czech Republic
Sychra, Pavel ; Musílek, Petr (advisor) ; Brodani, Jana (referee)
The diploma thesis is focused on digitalization of investment advisory. Thesis deals with implementation of automated advisory in Czech conditions. The first part consists of definition of investment advisory from the point of investment theory. There are also introduced current conditions of investment activity, investment knowledge and advisory in the terms of Czech market. The second part is dedicated to analysis of robo-advisory abroad. The last part of this thesis contains identification of main risks, options and possible benefits of implementation of automated investment advisory in the Czech Republic.
Hedge Funds and Their Impact on Financial Markets
Jeřábek, Tomáš ; Musílek, Petr (advisor) ; Daňhel, Jaroslav (referee) ; Čihák, Petr (referee)
The aim of this PhD thesis is to analyze the history and current situation of hedge funds and assess their potential to destabilize financial markets. The findings of the analysis are used to validate the assumptions underlying the major regulatory changes of hedge funds in the key global economic centres after the financial crisis in 2008 and 2009. Since their inception early last century hedge funds have gone through a period of great expansion in the sixties, followed by a decline due to large losses sustained in the early seventies. The nineties meant a real breakthrough for hedge funds as a result of which they became prominent players in the alternative investment space. As of today, there is over ten thousand hedge funds that globally manage close to 3 trillion US dollars. Compared to mutual funds and other financial institutions the volume of assets under management is still relatively small, the rate of growth over the past fifteen years has however been very significant. What is emphasized with respect to the impact of hedge funds on financial markets is the contribution to increasing the liquidity and efficiency and their role on the financial derivatives market where hedge funds are actively involved in the transfer of risk. They are at the same time subject of criticism for their purported destabilizing effect on financial markets and contribution to fluctuations in the prices of investment instruments. Although the share of hedge funds in triggering major financial crises has not been conclusively established, these investment entities were one of the targets of the wide-ranging regulatory changes following the financial crisis of 2008 and 2009. The dissertation first discusses the history and current situation of hedge funds and defines the term hedge fund. The following section describes the basic characteristics and principles of their functioning and reviews the regulation in the major domiciles. The final chapter is focused on the empirical analysis of the impact of hedge funds on financial markets. The inputs for this analysis include a global hedge fund index and representative market indices and data from the CFTC on positions in the 10 year US government treasury note futures. In the first step the descriptive statistics for the transformed time series are presented. The second part of the analysis focuses on lagged correlations between returns and volatility of the global hedge fund index and representative market indices. Granger causality tests are applied in the following section to determine the relationships between the returns and volatility of hedge fund and representative market indices. In the final step of the analysis Granger causality tests are used to analyze the link between the changes in positions in the 10-year US treasury note futures held by hedge funds and the change in settlement prices of these futures with the aim to assess whether hedge funds have the capacity to move the market. In conclusion, the results of this analysis are discussed in light of the recent regulatory changes and the potential for the future growth of hedge funds is assessed.
Comparison of Tokyo, Shanghai and Hong Kong stock exchanges
Dýma, Dominik ; Veselá, Jitka (advisor) ; Musílek, Petr (referee)
The bachelor thesis presents a comparison of Tokyo, Shanghai and Hong Kong stock exchanges. It is divided into three chapters. The first chapter contains a comparison of historical development of stock exchanges, cooperation and networking. The second chapter is divided into two parts. The first part focuses on the investment instruments that are being traded. The second part deals with the manner of trading, i.e. trading systems of individual stock exchanges. The final chapter is devoted to analysis of exchange data, including selected equity indices, market capitalization and number of listed companies. The main objective of this work is to define the same and different characteristics of each stock exchange markets and their comparison.

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