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Portfolio Optimization Using Metaheuristics
Haviar, Martin ; Doubravský, Karel (referee) ; Budík, Jan (advisor)
This thesis deals with design and implementation of an investment model, which applies methods of Post-modern portfolio theory. Particle swarm optimization (PSO) metaheuristic was used for portfolio optimization and the parameters were analyzed with several experiments. Johnsons SU distribution was used for estimation of future returns as it proved to be the best of analyzed distributions. The result is software application written in Python, which is tested for stability and performance of model in extreme situations.
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Portfolio Optimization Using Metaheuristics
Haviar, Martin ; Doubravský, Karel (referee) ; Budík, Jan (advisor)
This thesis deals with design and implementation of an investment model, which applies methods of Post-modern portfolio theory. Particle swarm optimization (PSO) metaheuristic was used for portfolio optimization and the parameters were analyzed with several experiments. Johnsons SU distribution was used for estimation of future returns as it proved to be the best of analyzed distributions. The result is software application written in Python, which is tested for stability and performance of model in extreme situations.
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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.
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Analysis of performance of russian mutual funds
Hofman, Elena ; Musílek, Petr (advisor) ; Baran, Jaroslav (referee)
This thesis is focused on the analysis of performance of chosen russian mutual funds on the basis of achieved yield and risk. After short introduction to the russian market of mutual funds, the paper deals with a theoretical background underlying the performance indicators. Risk perception and following construction of indicators are discussed in detail from the perspective of modern and post-modern portfolio theory. The indicators are interpreted and appropriateness of their application is assessed. The analytic part is devoted to the application of discussed methods on 10 open-ended equity mutual funds. Based on the result, the funds are compared with each other and with selected market index.
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Portfolio Theory
Zmítko, Milan ; Kollár, Miroslav (advisor) ; Bydžovský, Jiří (referee)
The aim of this work is to introduce Modern Portfolio Theory and its alternative Post-Modern Portfolio Theory. This work is subdivided in two parts. The first part describes the theoretical background of the Modern Portfolio Theory and the Post-Modern Portfolio Theory. A brief description of basic mathematical apparatus used in the both methods is overviewed putting an accent on different understanding and description of risk measurements. The second part of this work concerns implementation of the both portfolio theories in a case study which is focused on selection and analysis of behaviour of optimal portfolios built using the methods based on the both portfolio theories. The case study analyzes, taking into account various time series, the differences in composition of the optimal potrfolios and their performances during big turbulences in the capital markets in 2008. In conclusions the work compares the both theories and summarizes their advantages and disadvantages.
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