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Optimal portfolio selection under Expected Shortfall optimisation with Random Matrix Theory denoising
Šíla, Jan ; Šopov, Boril (advisor) ; Baruník, Jozef (referee)
This thesis challenges several concepts in finance. Firstly, it is the Markowitz's solution to the portfolio problem. It introduces a new method which de- noises the covariance matrix - the cornerstone of the portfolio management. Random Matrix Theory originates in particle physics and was recently intro- duced to finance as the intersection between economics and natural sciences has widened over the past couple of years. Often discussed Efficient Market Hypothesis is opposed by adopting the assumption, that financial returns are driven by Paretian distributions, in- stead of Gaussian ones, as conjured by Mandelbrot some 50 years ago. The portfolio selection is set in a framework, where Expected Shortfall replaces the standard deviation as the risk measure. Therefore, direct optimi- sation of the portfolio is implemented to be compared with the performance of the classical solution and its denoised counterpart. The results are evalu- ated in a controlled environment of Monte Carlo simulation as well as using empirical data from S&P 500 constituents. 1
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Sensitivity analysis for the Markowitz model of portfolio
Sommer, Tadeáš ; Borovička, Adam (advisor) ; Pieter, Michal (referee)
The thesis mainly deals with sensitivity analysis of risk and return of portfolio in dependence on outer parameters during generating a stock portfolio. The theoretical section consist of description of risk in context of shares, the definition of characteristics of shares and portfolio, and the assumptions for modern theory of portfolio. Also the specifications of mathematical model, the model of quadratic programming and modified model are parts of this section. The modified model adds condition for maximal weight of shares. The practical section begins with statistical description of data, while the data consist of shares which are included in FTSEurofirst 100 index. Sensitivity analysis is made for two approches where we allow or disallow the short-selling. Consecutive part propose final portfolios for three types of investors.
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Stock Portfolio Selection and Analysis
Filipová, Adriana ; Čech, Tomáš (advisor) ; Krajhanzl, Martin (referee)
The main aim of the thesis is to perform portfolio selection based on principles of Markowitz portfolio theory using ex-post approach, CAPM model, three factor and five factor Fama-French model and to compare their achieved performance with each other and with their expectd values. Intensity of relationship between equity risk premiums and each of the factors - premiums is estimated using linear regression analysis, followed by evaluation of quality of models based on regression results. Eventually, optimal portfolio for each model is selected and empirically tested. The outcome determines which portfolio performance was the best and the most accurate.
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Specifics in investment structure of private pension funds in the Czech Republic
Vančura, Filip ; Streblov, Pavel (advisor) ; Červinka, Michal (referee)
The objective of the thesis is to investigate the efficiency of pension funds' investment strategy in the Czech Republic and the adequacy of the current level of real estate investments in their portfolios. We employ Markowitz portfolio theory and construct the optimal market investment portfolio. The optimal portfolio is then compared with the portfolio of Czech pension funds and the loss arising from asset class misallocation is estimated. Besides, the comparison of portfolio structures of all current pension funds in the Czech Republic is done with the intention to detect whether they follow significantly different investment strategies or not. The analysis is done on quarterly data over the period 2000 - 2011. In the last chapter of the thesis, other sources of market inefficiency of the Czech pension funds are discussed.
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Mathematical methods of investment portfolios construction
Kůs, David ; Witzany, Jiří (advisor) ; Zichová, Jitka (referee)
This thesis describes statistical approaches of investment portfolio constructions. The theoretic part presents modern portfolio theory and specific statistical methods used to estimate expected revenue and risk of portfolio. These procedures are specifically selection method, modelling volatility using multivariate GARCH model, primarily DCC GARCH procedure and Bayes approach with Jeffrey's and conjugated density. The practical part of the thesis covers application of above mentioned statistical methods of investment portfolio constructions. The maximization of Sharp's ratio was chosen as optimization task. Researched portfolios are created from Austria Traded Index issues of shares where suitable time series of historical daily closed prices. Results attained within assembled portfolios in two year investment interval are later compared.
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Stock Portfolio Optimalization on Czech Capital Market
Šebestíková, Sabina ; Štěpánková, Jana (referee) ; Sojka, Zdeněk (advisor)
The master's thesis is focused on Stock portfolio optimalization on Czech capital market. The analysis of each stock, estimation and portfolio optimalization proposal are included. In the practical part the Fundamental analysis is applied. The portfolio optimalization is estemated by portfolio theory which is consist in the relationship between stock price and market trends represents by PX Index and expressing correlation of them by beta coefficient.
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Correlation Analysis of various Asset Classes
Urbanová, Sabína ; Brůna, Karel (advisor) ; Pour, Jiří (referee)
Bachelor thesis focuses on correlation analysis of various assets and construction of effective border and optimal portfolio. The thesis consists of four parts. First part describes main theories of portfolio selection and international investing. Second part is characterization of assets chosen for correlation analysis, concretely shares, bonds, gold, silver, crude oil, natural gas and property. In the third part I present correlation coefficients between assets. The last, forth, part is a practical application of correlation coefficients used for portfolio selection.
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Zhodnocení výkonnosti vybraných finančních nástrojů a akciových indexů
Valášek, Lukáš
Performance evaluation of selected financial tools and stock market indexes. Bachelor thesis. Brno: Mendel University, 2016. The bachelor thesis focuses on mutual comparison of equity mutual funds and exchange traded fund which copy a stock index. The literature review is dedicated to assumptions which are subject to the existence of efficient market behavior, collective investment and assessment criteria. The main aim of this thesis, based on the historical data analysis, is to verify the possibility of outperforming a benchmark by active fund management. Results will be compared with conception Efficient market theory. Criteria will be returns, volatility and transaction costs.
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Security Portfolio Optimalization
Dopita, Radim ; Heralecký, Tomáš (referee) ; Sojka, Zdeněk (advisor)
This thesis is focused on security portfolio optimalization using the value of stock screener. The theoretical section discusses the basic theory of markets, modern portfolio theory, diversification and the types of risks associated with financial activities, the basic steps to become an investor. The practical part is designed to build optimized stocks portfolio using the value of screening, its feigned purchase on New York Stock Exchange (NYSE), followed by monitoring the evolution rate of the portfolio thus created.
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Optimal Stock Portfolio Selection as an Investment Conundrum
Bradová, Klára ; Kutáč, Ivo (referee) ; Chvátalová, Zuzana (advisor)
The portfolio theory is microeconomic discipline which deals with the exploration of capital markets and assets that are traded on them. This diploma thesis is focused on optimal stock portfolio selection. The main aim is to find a final portfolio fulfilling the requirements. The first part provides the theory needed for the subsequent establishment of a practical case of the optimal portfolio. The second part is devoted to the actual calculations leading to finding the portfolio with the desired rate of return.
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