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The Investment Models in an Environment of Financial Markets
Repka, Martin ; MSc, Martin Volko (referee) ; Budík, Jan (advisor)
This thesis focuses on automated trading systems for financial markets trading. It describes theoretical background of financial markets, different technical analysis approaches and theoretical knowledge about automated trading systems. The output of the present paper is a diversified portfolio comprising four different investment models aimed to trading futures contracts of cocoa and gold. The portfolio tested on market data from the first quarter 2013 achieved 46.74% increase on the initial equity. The systems have been designed in Adaptrade Builder software using genetic algorithms and subsequently tested in the MetaTrader trading platform. They have been finally optimized using sensitivity analysis.
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Making an investment portfolio of unit trusts by using the fuzzy multiple criteria decision making methods
Borovička, Adam ; Fiala, Petr (advisor) ; Zornerová, Helena (referee) ; Pekár, Juraj (referee)
The thesis deals with investment decision making. It starts from the decision making situation about the making of an investment portfolio of the open unit trusts. The whole decision making process is described, namely the methodical approaches used in terms of the portfolio making procedure. Thus, the main part of this paper focuses on a detailed description of an algorithm of the fuzzy weight estimation method, fuzzy multiple criteria evaluation method and fuzzy multiple objective programming method. The methods are proposed on the basis of current concepts; they conclude the new ideas as well. The fuzzy weight estimation method is able to calculate the weights of criteria according to their linguistically expressed importance. The fuzzy multiple criteria evaluation method accepts uncertain input data in the form of the fuzzy numbers. The alternatives are evaluated by the concept of the preference relations. This method provides a division of the alternatives into the effective and ineffective. The fuzzy multiple objective programming method also works with the uncertain elements as fuzzy numbers. To solve the particular mathematical models, the Bellman's optimality approach is applied. The method is proposed in the interactive form. The decision maker can change a current solution by his/her additional (vague) preferences. The proposed concepts form the two-phase decision making procedure that is applied in the practical situation of the portfolio making in the field of the capital market with open unit trusts offered by the Česká spořitelna investment company. Two types of investors are defined, the investment situations are described, and the results are analyzed in detail. The decision making theory, the fuzzy sets theory and the capital market of collective investment, or with unit trusts, are introduced in a necessary scope. The instigation of my dissertation is to solve the real decision making situation. The investment decision making process is described and the methodical approaches are proposed in order to make the portfolio of unit trusts.
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Portfolio optimization of starting investor
Plaček, Vilém ; Borovička, Adam (advisor) ; Zouhar, Jan (referee)
The goal of this bachelor thesis is to help an investor with assembling portfolio investment. Data are acquired using expert approach. Firstly I introduce issues of portfolio characteristics, investment instruments and portfolio theory. Portfolio theory is based on work of H. Markowitz. Introducing operation research is very important for assembling optimal portfolio and it uses mathematical models for achieving optimal solution. Firstly it is necessary to compile mathematical model based on investor's requirements that are using portfolio and investment characteristics in order to meet the requirements. The optimal portfolio is being looked at in three different ways using three different mathematical models. Each one of them follows diverse goals. In the end all models and their results are compared and their advantages and disadvantages are described.
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The Analysis of Selected Stock Market Investment Strategies
KÁCHOVÁ, Veronika
This diploma thesis was aimed at analysing the investment strategies on the American stock market. The main aim was to evaluate the market efficiency, to analyse various strategies and to select the most appropriate one according to the assessed form of the market efficiency. Firstly, the weak-form efficiency was validated by correlation and runs tests. Subsequently, the methods of technical and fundamental analysis were applied. The final part is focused on creating the investment portfolio, which is also considered the most suitable strategy.
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Analysis of stocks on the chosen branch of the Stock Exchange using the methods of technical and fundamental analysis
URBANOVÁ, Kateřina
The purpose of this thesis was to analyze selected sectors of the stock exchange through methods of technical and fundamental analysis and to find the most appropriate investment strategy based on the results. At first were subjected to corell and runs tests. These tests should have proven or disproven the existence of weak form of efficiency. In the fundamental analysis was chosen the method of comparation of alpha coefficient and average monthly revenues. The technical analysis tested of moving averages and monitoring the signals using oscillators. The last step was a comparison of investment methods and strategies, found investment strategy and made a investment porfolio.
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The Assessment of the stock market effectiveness and choosing the appropriate investment strategy
MEDKOVÁ, Petra
This thesis is dedicated to the stock markets issue. Its main aim was to assess the effectiveness of the stock market and choose an appropriate investment strategy. To this purpose, the 5 industries of U.S. stock market were chosen, which served as a data base for all applied methods. The thesis presents the results of correlation and runs tests verifying the weak form of market efficiency, the results of fundamental analysis and of active strategies simulation as well. The final part is focused on creating of investment portfolio, which was chosen as the most appropriate investment strategy of the refenrence data set.
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Analysis of securities of selected branch on the Stock Exchange using the methods of technical and fundamental analysis
VOCHOZKOVÁ, Helena
The aim of this work was to analyze selected branch from the stock market through technical and fundamental analysis. The target is to formulate the most appropriate investment strategy for each sector. The starting point for selecting appropriate investment strategy is inefficient market hypothesis. Selection of the investment strategy, depend on the current economic situation. Based on given results, it is not recommended to use any of the strategies. However, it can propose a suitable investment portfolio. The selected investment portfolio is certainly dependent on many factors. Among these factors belongs the current economic situation and investor´s attitude to risk. Choosing an investment strategy is also influenced by the investor's own attitude to the theory of efficient markets. Investors will opt for active or passive investment strategy on the basis of their opinion.
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Sestavení investičního portfolia drobného individuálního investora
Pustaj, Marek ; Zámečník, Petr (advisor) ; Smrčka, Luboš (referee)
The goal of the thesis is to point out the necessity of the financial and investment planning, to describe and explain the basic rules and principles of the financial and investment planning and then create an investment portfolio of an individual investor. The thesis is divided into four main chapters, I start with a shorter chapter about inflation. Next chapter is dedicated to the entire process of financial planning. From the analysis, through a financial plan to the implementation and revision of the plan. Managing our finances we should follow mentioned rules and principles. The most relevant part of the financial plan is investment plan. So next chapter is dedicated to the investment planning. I make clear the basics of investment theory here. The last chapter is practical, it is the example of creating an investment portfolio of an individual investor.
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The yield, risk and liquidity of investment options
KRÁLOVÁ, Andrea
The topic of my diploma thesis is {\clqq}The yield, risk and liquidity of investment options{\crqq}. In the introductory part of this thesis, I define the concept of investment. Furthermore, I deal with the financial market theory and with the characteristics of the subsegments which work within this market. I also define securities, their types and specifics. The next part of the thesis is aimed at the investment strategy which should help an investor to proceed reasonably while investing. Herein, I focused on the rules of the magic triangle and on the definition of the yield, risk and liquidity. I mention the theory of the investment portfolio as well. This is followed by the description of the selected investment options divided into subchapters about individual and collective investments; this being the selection of only the most important investment instruments one can use both in the money market and in the stock market. In the rest of the thesis, I deal with the creating of an individual{\crq}s investment portfolio and with the comparison of the yield, risk and liquidity of the selected options.
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