Vliv transakčních nákladů na výnosnost a optimální výběr portfolia

Černý, Ondřej

This bachelor thesis investigates the impact of both fixed and proportional transaction costs on portfolio optimization, especially with regards to budget size. We used the mean-variance model introduced in Modern portfolio theory and adjusted it to consider transaction costs and initial budget size. We downloaded data of 10 stocks from Yahoo Finance from January 1st 2014 to December 31st 2023 as a framework for our simulation. We examined transaction costs related to investing through 3 different brokers and we optimized portfolios with transaction costs with 3 different budget sizes for each broker. The results show that transaction costs have impact on both performance and optimization of a portfolio and can lead to a significant change in expected return and expected volatility. Whereas proportional costs affect everyone equally, fixed costs have greater impact on investors with small budgets. Our findings highlight the importance of choosing the optimal investing platform. JEL Classification: G11, G12, G14, G17, G23, G24, D53 Keywords: Portfolio optimization, Transaction costs, Mod- ern portfolio theory, Sharpe ratio, Small investor Title: How do transaction costs influence performance and optimal portfolio selection

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