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VÝKONNOST DOWNSIDE RISK MODELŮ POST-MODERNÍ TEORIE PORTFOLIA
Jablonský, Petr ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
The thesis provides a comparison of different portfolio models and tests their performance on the financial markets. Our analysis particularly focuses on comparison of the classical Markowitz modern portfolio theory and the downside risk models of the post-modern portfolio theory. In addition, we consider some alternative portfolio models ending with total eleven models that we test. If the performance of different portfolio models should be evaluated and compared correctly, we must use a measure that is unbiased to any portfolio theory. We suggest solving this issue via a new approach based on the utility theory and utility functions. We introduce the unbiased method for evaluation of the portfolio model performance using the expected utility efficient frontier. We use the asymmetric behavioural utility function to capture the behaviour of the real market investors. The Markowitz model is the leading market practice. We investigate whether there are any circumstances in which some other models might provide better performance than the Markowitz model. Our research is for three reasons unique. First, it provides a comprehensive comparison of broad classes of different portfolio models. Second, we focus on the developed markets in United States and Germany but also on the local emerging markets in Czech Republic and Poland. These local markets have never been tested in such extent before. Third, the empirical testing is based on the broad data set from 2003 to 2012 which enable us to test how different portfolio model perform in different macroeconomic conditions.
Česká swapová křivka, ekonomické fundamenty a finanční trhy
Pohl, Martin ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
We focus on Czech swap market in a broader context of economic and financial development and we provide extensive empirical evidence that swaps have many features of a "risk-free" asset. They are traded with sufficient liquidity and low transaction costs that make them attractive for investors. Swap curve dynamics may be decomposed into level, slope and curvature parameters known from bond markets.Level and slope parameter may be interpreted by Taylor rule like functions in terms of output gap and inflation. Level reflects mainly inflation expectations and its sensitivity to output gap is small. Slope parameter is highly sensitive to business cycle fluctuations and inflation deviation from CNB's target. Domestic monetary policy remains an important determinant of swap curve parameters with gradual market reaction. Czech swap rates are closely connected to Euro swap rates. We found level factors to be cointegrated and also slope and curvature exhibit strong sensitivity to Euro rates. Financial variables don't seem to have large impact on swap rates with the exemption of global equity markets, where we found positive correlation between level and SP500 returns. In contrast, Czech government bonds have many features historically connected to corporate bonds such as positive correlation with risky assets and business cycle fluctuations. Government bonds also showed large volatility and rising risk premia in the 2008/2009 financial crisis. Finally, we estimated forward premium and we found large and rising premium and limited support for expectation theory.

National Repository of Grey Literature : 12 records found   previous11 - 12  jump to record:
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2 Lukáš, Lubomír
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