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Investment Strategy for Club HC Letňany Flyers in the Stock Market
Utěšil, Ivan ; Ruda, Tomáš (advisor) ; Kraft, Jiří (referee)
Title: Investment Strategy for Club HC Letňany Flyers in the US Stock Market Objectives: The main goal of this thesis is to analyze and set the most expedient investment opportunities in the US stock market in order to achieve higher profitability than Czech investment funds that are standardly offered. Methods: Fundamental and technical analysis of macroeconomic and microeconomic environment done through publicly available secondary data reports of The Institute for Supply Management and historical data published by portal Yahoo Finance. Results: By applying the investment straegy described in this thesis was achieved higher returns than commercially offered funds in the Czech Republic, in the lower timeframe and at minimizing market and sectoral risks. Keywords: fundamental analysis, portfolio management, financial markets, economy,
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Portfolio management dluhopisových portfolií v dobách nízkých úrokových sazeb
Grulichová, Olga
The aim of this thesis is to introduce bond portfolio management along with minimization of interest rate risk. The theoretical framework is dedicated to bonds, yield curve, Markowitz portfolio theory and portfolio management which also presents examples of active and passive strategies. The practical part focuses on portfolio bond modelling. The difference between created portfolios is caused by their composition as different combinations of corporate and state bonds are used. To achieve the aim of this thesis a simulation of fictitious market change is implemented, using interest rate decrease and increase while observing its impact on created portfolios. As a conclusion, best portfolio recommended for investors is chosen based on maximizing yield and minimizing interest rate risk.
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Modelling and Management of Project Portfolio
Skalníková, Zuzana ; Trchalík, Roman (referee) ; Květoňová, Šárka (advisor)
This thesis is dedicated to modeling and management of project portfolio. In the first part, project is specified, along with methods for its managing. Next part describes the project portfolio, its managing and aspects that affect it. Thesis continues with analysis and design of software prototype capable of managing project portfolios. Most suitable methods are selected for project analysis. Designed prototype is then implemented and solution is described in the thesis. Last part of the work is user testing, which pointed out the functionality and usability of created prototype.
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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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Portfolio Management with Multiple Benchmarks
Navrátil, Robert ; Večeř, Jan (advisor) ; Pešta, Michal (referee)
Portfolio Management with Multiple Benchmarks Bc. Robert Navrátil Abstract: In this thesis, we study a maximal volatility portfolio that treats all assets in a symmetric way and related option contract. To preserve symmetry we need numeraire that treats all assets symmetrically. We choose market index with equal weights. In case of two assets we focus on a variation of a passport option on the portfolio. The optimal strategy for the investor is the mentioned maximal volatility portfolio. We extend the known optimal strategy for the option to a richer class of convex payoff functions. We also show a modification of the optimal strategy for maximizing the probability of ending above or at a desired level. We later extend the symmetric market model to case of three assets, which can be even further extended to an arbitrary number of assets. The three asset model requires more parameters than are observable from the data, however we show indistinguishably of the model on the choice of parameters under very natural conditions. Both numerical simulations and an application on real data is provided. 1
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Investment Strategy for Club HC Letňany Flyers in the Stock Market
Utěšil, Ivan ; Ruda, Tomáš (advisor) ; Kraft, Jiří (referee)
Title: Investment Strategy for Club HC Letňany Flyers in the US Stock Market Objectives: The main goal of this thesis is to analyze and set the most expedient investment opportunities in the US stock market in order to achieve higher profitability than Czech investment funds that are standardly offered. Methods: Fundamental and technical analysis of macroeconomic and microeconomic environment done through publicly available secondary data reports of The Institute for Supply Management and historical data published by portal Yahoo Finance. Results: By applying the investment straegy described in this thesis was achieved higher returns than commercially offered funds in the Czech Republic, in the lower timeframe and at minimizing market and sectoral risks. Keywords: fundamental analysis, portfolio management, financial markets, economy,
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Business intelligence in the generic pharmaceutical industry for portfolio selection and registration strategy
Rösslerová, Petra ; Pečená, Marika (advisor) ; Papík, Richard (referee)
The aim of the diploma thesis is to describe and analyse information sources, which are useful for the molecules portfolio selection suitable for the future development of a generic drug. These information sources should be examined on the case study of the portfolio selection in a given therapeutic area. The topic of the diploma thesis is presented in the context of basic principles and functions of the generic farmaceutical industry and its information needs. The introductory chapter characterizes the farmaceutical industry in general and warn on a competitive environment, which the farmaceutical companies can succeed in thanks to the advanced methods of the business intelligence. The second chapter focuses on the differences betwen the generic and original pharmaceutical industry, a drug lifecycle is also introduced there. The next chapter specifies the methods of the business intelligence in the generic pharmaceutical industry on the ground of its information needs. The fourth chapter plays a key role. First of all, it introduces general characteristics of information sources used in the strategic portfolio management. Secondly, the detailed description and analysis of eight main information sources used by the generic companies within business intelligence follows. In the last chapter these...
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Managing risks in international securities portfolios
Folprecht, Marek ; Brada, Jaroslav (advisor) ; Kováč, Michal (referee)
The bachelor´s thesis examines the gains from hedging the currency exposure from the perspectives of American and Canadian investors. It is shown that exchange rate risk is a largely nondiversifiable factor which might negatively affect the performance of equity portfolios. Therefore, it is necassary to effectively control the exchange rate risk. It is found that the effect of currency risk on total portfolio risk varies among different currency pairs depending predominantly on the correlation between equity and currency returns. For this reason, it is essential to choose a different approach for each currency pair. The hedging strategy, which is refered to as optimal currency hedging, aims at minimizing the volatility of currency hedged portfolio returns. The optimal hedge ratios for individual currencies are also estimated. Over the period from 2004 to 2015, hedging the currency exposure considerably reduced the volatility of returns in the case of American investor. From the perspective of Canadian investor, hedging the currency risk reduced the volatility of returns only to a limited degree. The reason is that Canadian dollar behaves in a pro-cyclical fashion, strenghtening when the world economy surges and weakening when the economy turns down. Therefore, foreign currency exposure tend to reduce the volatility of portfolio returns from the perspective of Canadian investor.
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Practical use of modern project and portfolio management tools in the chosen company
Mazanec, Štěpán ; Nedzelský, Roman (advisor) ; Novotný, Ota (referee)
This bachelor thesis is dealing with software project management, portfolio management, selection and further aplication of modern tools for project management support and for portfolio management in chosen establishment. Problem was solved thanks to demand analysis of chosen establishment, based on survey and personal experience, that led to identification of requirements for the selection of appropriate tools to support effective achievement of strategic goals. Appropriate tools are assumed to be management tools of project management, for which was chosen the software Active Collab, portfolio management, which is supported by Microsoft Project Online, customer support for which was chosen the software Zendesk and automated testing, that is supported by the tool Selenium. Hypothesis defined in the outset of the practical part were verified and confirmed within tools testing in the environment of an existing establishement. Benefits of this thesis consist in the ability of its practical usage in the area of project management and project portfolio management in small IT business that handles development of custom software.
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project management as a Service and its usability in project environment of large companies
Illetško, Petr ; Chlapek, Dušan (advisor) ; Kučera, Jan (referee)
The current trend in project management is the ability to use the talent of project manager without the need to hold the position long term in the organization. In analogy to model anything as a service the concept of project management as a service was created. Since this concept is relatively new the definition is not yet formally introduced in specialized methodologies standards and norms. Mentions of Project Management as a Service are mainly in analytical articles, interviews and trends of expert web portals and magazines. The objective of this work is to introduce the topic of project management including related terms and identify possible definition of Project Management as a Service. Another objective is to define project management services, which can be converted into a model Project Management as a Service. Constructed theoretical definitions and designed services are presented to respondents engaged in project management in multiproject environment of large companies in the practical part of work. The semi-structured interviews with the aim of validation of the accuracy and suitability of these theories are conducted subsequently.
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