Diverzifikace portfolia

Mrkva, Vojtěch

This thesis aims to identify the number of equities for portfolio diversification for the Czech market sample, namely the stocks listed on three selected markets of the Prague Stock Exchange, and compare it to the results derived from the American market from 2020 to 2024. Different risk measures are employed to provide a wider picture of portfolio diversification, specifically to contrast a small market with a limited number of listed stocks to the large equity market in the U.S. The study investigates the time series standard deviation, downside risk measures and terminal wealth standard deviation. The study finds that for all measures, the recommended portfolio size for the sample from the Czech market is equal to or smaller than that for the American market. The only exception appears in the analysis of returns, where the number of equities advised was greater for the Czech data. Overall, the outcomes indicate that stocks from the Prague Stock Exchange sample diversified the risk better than the companies with the largest market capitalisation listed in America, further providing higher average returns for portfolio sizes of at least two stocks. JEL Classification G11 Keywords Portfolio diversification, Time series standard deviation, Downside risk, Terminal wealth stan- dard deviation Title...

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