Original title: Aplikace Markowitzovy teorie portfolia na kapitálové trhy
Translated title: Applications of the Markowitz portfolio theory to capital markets
Authors: Tyl, Tomáš ; Hurt, Jan (advisor) ; Marušiaková, Miriam (referee)
Document type: Bachelor's theses
Year: 2007
Language: cze
Abstract: Nazev prace: Aplikace Markowitzovy tcorie portfolia na kapitalovc trhy Autor: Tomas Tyl Katedra : Katedra pravdcpodobnosti a matematicke statistiky Vedouci diplomove prace: Doc. RNDr. Jan Hurt, CSc. e-mail vedouciho: Jan.IIurt@mff.cuni.cz Abstrakt: Prace pojednava o Markowitzove teorii portfolia a jeho aplikaci na realnych historickych datech pfi pouziti zakladnfch tri'd aktiv (jednotlive svetove akciove a dluhopisove trhy, hotovost, komodity). Cflem bude porovnat optimalm portfolia sestavena ze vstupnich udaju v historickych obdobich s ruznymi charakteristikami vynosu a rizika. Vysledkem by melo byt potvrzcnf, nebo vyvraceni hypotezy, ze pfi pouziti historickych dat je Markowitzuv model prakticky uzitecny pro bezncho investora. Prace se zameff na testovani Markowitzova modelu pro tfi typy drobnych investoru - konzcrvativniho, vyvazeneho a dynamickeho. Markowitzova teorie bude testovana pro rocnf a petilete vynosy. Klfcova slova:Teorie portfolia, Investovani, Skladba portfolia Title: Applications of the Markowitz portfoliotheory to capital markets Author: Tomas Tyl Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Jan Hurt, CSc. Supervisor's e-mail address: Jan.Hurt@mff.cuni.cz Abstract: This work discusses the Markowitz's stock portfolio theory and its application for...

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/13065

Permalink: http://www.nusl.cz/ntk/nusl-497742


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Academic theses (ETDs) > Bachelor's theses