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Proposal to Supplement the Investment Portfolio of the Hedge Fund
Řehůřek, Adam ; Bílek, Michael (referee) ; Rejnuš, Oldřich (advisor)
This bachelor thesis deals with the analysis and proposal for the supplementation of the investment portfolio of a qualified investor fund. The aim is to identify strategies for portfolio optimization with respect to risk diversification and maximum expected return. The thesis combines theoretical principles of portfolio management and modern investment theory with a practical analysis of the current portfolio of the selected fund. Based on a comprehensive analysis of risks and potential opportunities in the market, recommendations for portfolio replenishment and optimization are proposed.
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Portfolio Optimization Using Genetic Algorithm
Kuruc, Igor ; Hanušová, Helena (referee) ; Chvátalová, Zuzana (advisor)
This bachelor's thesis focuses on using knowledge of portfolio theory and methods of soft computing. Theoretical backgroung is provided by postmodern portfolio theory and genetic algorithms. The purpose of aplicational section is maximizing risk-return measure. The result is optimized portfolio based on required properties. All calculation are made in Matlab software
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Stochastic Programming Methods for Investment Decisions
Kubelka, Lukáš ; CFA, Tomáš Menčík, (referee) ; Popela, Pavel (advisor)
This thesis deals with methods of stochastic programming and their application in financial investment. Theoretical part is devoted to basic terms of mathematical optimization, stochastic programming and decision making under uncertainty. Furter, there are introduced basic principles of modern portfolio theory, substantial part is devoted to risk measurement techniques in the context of investment, mostly to the methods Value at Risk and Expected shortfall. Practical part aims to creation of optimization models with an emphasis to minimize investment risk. Created models deal with real data and they are solved in optimization software GAMS.
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Suggestion and optimalisation of a private investor portfolio
Lády, Jiří ; Chovanec, Patrik (referee) ; Škapa, Stanislav (advisor)
This diploma work is focused on a suggestion of private investor portfolio and suggestion of questionnaire to determine a risk profile of a provate investor. Apart from basic investments theory, the thesis briefly describes characteristics and parameters of particular asset classes and suggests and optimises a risk portfolio for a private investor. Furthermore, a survey of this risk profile is conducted, so that the investor can use it himself/herself in management of his investments to best full fill his/her expectations.
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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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Small Investor Portfolio Optimalization
Huber, Jan ; Vančurová, Milena (referee) ; Sojka, Zdeněk (advisor)
This Master´s thesis analyses problems with global classification of chosen subjects on capital market of the Czech Republic, determines inner stock value and with other factors gives the sign to the investor about buying stock of company. The aim of this thesis is to help investors with investing free finance resources to the capital market. This thesis takes into account the concrete requirements defined by investor.
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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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The Investment Models in an Environment of Financial Markets
Krňávek, Jan ; Lukeš, Zdeněk (referee) ; Budík, Jan (advisor)
The thesis deals with the optimization of the selected investment portfolio. Solver suggests automated investment model that will use advanced algorithms based on artificial intelligence and principles of technical analysis. Optimization of parameters and verifying the performance of the investment model is realized on historical market data. The result of this thesis is optimized investment model with an emphasis on maximizing profits and stability. The thesis is realized in an environment Python programming language and freely available analytical libraries.
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Selected financial optimization models
Bujnovský, Daniel ; Bednář, Josef (referee) ; Popela, Pavel (advisor)
This work is focused on models of optimal asset and liability management. The practical section illustrates various ways of modelling strategies depending on the problem formulation, chosen set of assets and the type of the used optimization technique. The main examples are portfolio immunization and the Yasuda-Kasai model together with the extended version of Markowitz model. The author provides across the work an overview of different financial risks and various tools for their measurement together with possible formulations of expected returns relevant to the studied models. The individual models are compared and often extended by other constraints in order to improve their practical applicability. From the point of view of the mathematical optimization several ways of input data generation are described for example by using the extended Brownian motion. All practical parts go hand in hand with illustrative pictures and codes. The necessary financial and mathematical theory is included as well.
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Portfolio optimization
LOJDA, Patrik
This diploma thesis is focused on portfolio optimization for a selected client. As a first task, a set of 35 company shares are chosen out of 6 business areas in order to ensure variety. With the help of Markowitz theory, optimal portfolios are created. In the beginning, it is mainly about optimization tasks that focus on only one of the two conflicting goals. Followed by modifications of the optimization function and of course putting those portfolios in a graph. By adding a risk-free asset we create a capital market line that achieves better results than the original Markowitz theory. The thesis also uses a security market line for the evaluation of individual shares, from which the optimal portfolio is compiled. Fama-French three-factor model is also presented. The resulting portfolios are tested on the next year data and with the help of the acquired knowledge an optimal portfolio is created for the selected client.
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