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Technical Analysis
Ondrušová, Denisa ; Žídková, Lucie (referee) ; Novotná, Veronika (advisor)
This master‘s thesis is focused on creating an application, which would suggest an optimal portfolio of shares from SPAD Stock Market Praha. The application is based on the CAPM model, which is also described in this paper. There is a calculation of securities characteristics and specific portfolio diversification is suggested. The application also allows a user to simulate investments based on his requirements.
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Security Portfolio Optimalization
Roušavý, Jan ; Zerzánek, Ivan (referee) ; Sojka, Zdeněk (advisor)
Diploma thesis focuses on the issue of an appropriate selection of securities and the subsequent establishment of a portfolio of these securities. Follow detailed discussion about analysis of portfolio and investor’s preferences. Below is a description of the CAPM model, its assumptions and usage of this model to build a portfolio. Then there is the actual calculation of characteristics of securities traded on the Prague Stock Exchange and on the basis of these calculations is made the proposal of several portfolios and their evaluation.
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A Selection of Optimal Portfolio by Multiple-Criteria Decision Making
Jančíková, Denisa ; Borovička, Adam (advisor) ; Zouharová, Martina (referee)
This bachelor thesis deals portfolio optimization mainly by multiple-criteria decision making. First part is using linear programming to generate five different investment portfolios that are focusing on one criterion. Then I selected the best portfolio using TOPSIS method in regard to all criterions. Before that it is important to introduce linear programming. It is followed with summary of multi-criteria evaluation of alternatives, method of determining weight of individual criterions and introduction to portfolio theory. It is fundamental to mention all the relevant characteristics of Prague Stock Exchange. All companies that are included in this work are shortly introduced. The final output contains overall summary of results and recommendations for investor.
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Stock portfolio optimization using multi-criteria methods
Mihál, Jakub ; Borovička, Adam (advisor) ; Čížek, Ondřej (referee)
This bachelor thesis aims to fulfill expectations of fictional investor, in other words choice of optimal stock portfolio based on preset requirements. First part of the bachelor thesis is dedicated to theoretical approach explaining stock markets, decision theory and linear programming. Process of the optimal portfolio selection is based on process consisting of 3 main steps. First steps selects stocks that are effective - worth investing - from investor's point of view. Selection is carried out via multi-criteria decion analysis method ELECTRE I. Second step verifies reliabitily of the output from step one. Third step designes mathematical model and resultant optimization in mathematical comilator LINGO. In conclusion I will focus myself on thorough interpretation and analysis of the results and choice of optimal portfolio.
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Mean-Variance and Mean-CVaR Models in Portfolio Optimization
Spousta, Tomáš ; Borovička, Adam (advisor) ; Odintsov, Kirill (referee)
The thesis mainly deals with a comparison of two methods that could be used in portfolio optimization (efficient portfolio frontier searching). The first chapter consists of brief introduction to portfolio theory, it also reveals motivation for usage of more sophisticated risk statistics. Following chapter contains definition of both models that have been used in the analysis. First of them is famous Markowitz's model that has become a legend during 60 years of its existence. The most significant advantage is its simplicity, on the other hand it cannot deal with non-normality of asset returns. Normality assumption can be omitted using Maen-CVaR model -- the second model used in the analysis. Final part of this thesis is an application of both models on four different real datasets. Obtained results are analysed with attention on the constitution of efficient portfolio sets and their VaR.
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Multi-criteria portfolio analysis in conjunction with parametric programming
Hofmanová, Andrea ; Sekničková, Jana (advisor) ; Kuncová, Martina (referee)
The presented diploma thesis deals with the issue of multi-criteria decision making in practice. The main aim is to demonstrate the possibilities of involvement the parametric programming in multi-criteria linear programming (MCLP). The first, theoretically oriented chapter, describes the necessary theoretical knowledge. In this chapter is presented the role of financial planning together with essential relationships, by which is determined the rest of the work. This chapter also discusses the issue of multi-criteria linear programming including a description of selected a priori methods. The selected a priori methods are lexicographic method, utility function method, minimization of the distance from the ideal solution and minimal component method. The second chapter is devoted to the practical application of multi-criteria optimization portfolio with a parametric budget. For all the analyzed methods are firstly discussed models without integer conditions, and consequently their modification with these conditions. For the purpose of this work was used solver in MS Excel spreadsheet along with the created macro.
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Some aspects of calculating solvency of insurance companies according to the principles of Solvency II
Hradecký, Ondřej ; Janeček, Martin (advisor) ; Černý, Michal (referee)
The diploma thesis focuses on the topic of the future regulatory regime of the insurance and reinsurance market of the European Union called Solvency II. Currently the most discussed issue without a final structure is an extensive set of legislative and technical changes not only in the area of solvency treatment. Primarily, the work focuses on the standard formula calculation of capital requirements that reflect the solvency position of companies on the market. The first part deals with the theoretical description of the calculating methods of the required capital levels under current and future rules on the basis of available official documents. Further the general overview of the Solvency II is presented, a more detailed description of the valuation techniques of balance sheet items for the purposes of Solvency II, dealing with company's own funds and possible ways to optimize the asset portfolio are also included. Some theoretical descriptions of computational procedures applied on a fictitious life insurance company are presented in the second, more practical part of the diploma thesis.
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Investment decisions on the PSE
Kolaříková, Klára ; Borovička, Adam (advisor) ; Kuncová, Martina (referee)
This thesis deals with the investment decision on the Prague Stock Exchange (PSE) in the SPAD system (System to support the market shares and bonds). Introduction belongs to financial markets and important institution, which is a part of the financial market - stock exchange. We describe an environment of the Prague Stock Exchange (PSE), where are realize the investment decisions. An extensive section is devoted to the theory of decision making, specifically discrete models of multiple criteria decision making and continuous models of decision making, which includes linear programming and the special role of the target programming. In the practical part of thesis, all these methods are used for calculating the optimum composition of the portfolio for the investor. The target of the thesis is to determine the final composition of the portfolio investment recommendations, in order that an investor from the investment decision had the greatest benefit.
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Portfolio optimization
Arzumanov, Eduard ; Šindelářová, Irena (advisor) ; Chýna, Vladislav (referee)
Nowadays, when the financial sector influences directly or indirectly nearly every part of person's life, when inflation is taken as a normal phenomenon, when we are witnessing bankrupts of different companies, banks and other financial institutions almost on a daily basis due to the incorrect managing of the financial assets or due to the incorrect estimation of overall economic development, more and more often one should consider how to manage his funds to prevent their depreciation or even how to use them to increase its value. For these reason investment into securities has become one of the most common ways of increasing the value of one's financial funds. Particularly -- one way of investment is becoming more and more popular nowadays - financial portfolio investment. That is why this thesis not only will introduce the basic principles and rules of portfolio investment, diversification and the concept of risk (in theoretical part), but will also demonstrate how is the diversification of a portfolio done in practice. The example of portfolio optimization is done using multi-criteria decision analysis applied to a model, designed in MS EXCEL with help of VBA environment.
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