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National Repository of Grey Literature 12 records found  previous11 - 12  jump to record: Search took 0.01 seconds. 
Portfolio selection based on hierarchical structure of its components
 Ševinský, Robert ; Krištoufek, Ladislav (advisor) ; Rusnák, Marek (referee)
This thesis investigate empirical performance of three portfolio selection and covariance matrix models. The goal is to find a strategy that outperform equally weighted portfolio in the long run and survives even in times of finan- cial distress. Two models based on Markowitz approach absolutely failed in this context, however the last approach based on network analysis indeed out- perform the market even after risk adjustment of returns. Moreover this model have sparse transaction matrix throughout time, therefore exhibit excellent properties even in the presence of transaction costs. Results for network based portfolio were obtained from running a back test on 160 member companies of S&P 500 index for 6'000 trading days. JEL Classification G11, G32, C10 Keywords Portfolio selection, Minimum spanning tree, Transaction costs, Covariance matrix Author's e-mail r.sevinsky@gmail.com Supervisor's e-mail kristoufek@ies-prague.org
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Securities portfolio optimization
 Pinkava, Ondřej ; Bartošek, Vladimír (referee) ; Sojka, Zdeněk (advisor)
This dissertation deals with the securities portfolio optimization. After introducing the definitions, I try to explain the particular investment instruments with regard to returns and risks. The following part provides a theory which tells more about different market risks and returns on the final securities portfolio. Concerning these models the effective portfolio has been set up.
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National Repository of Grey Literature : 12 records found   previous11 - 12  jump to record:
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