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Market analysis of non-financial derivatives
Martu, Eugeniu ; Musílek, Petr (advisor) ; Witzany, Jiří (referee)
In long term well-diversified portfolio of commodities is not only profitable as well as a portfolio of stocks, but they are also slightly less risky. Profitability of the portfolio of commodities is negatively correlated with the return of the portfolio of stocks and bonds. This means that commodities are effective in diversifying equity and bond portfolios. And since this yields negative correlation increases with the length of time. The benefits of diversification are greater the longer they are used. Not only that, since the return of the portfolio of commodities depends positively with inflation, commodities are the most appropriate group of assets to protect against inflation.
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The Return on Investment by Use of Monte Carlo Methods in Lumina Analytica Program
Gerold, Petr ; Bína, Vladislav (advisor) ; Krejčová, Iva (referee)
This thesis focuses on investment, especially on the development of individual investments. It is concerned with stocks, bonds, mutual funds, saving accounts, real estates, commodities. The main objective is to create a model in Lumina Analytica. Interactive model should provides users (according to their filled values) the most likeliest appreciation of the selected portfolio investments. Supportive part of this thesis is an investment questionnaire. It obtains simplifield investment profile to potential investor and also a recommendation to which types of investments should investor invest. The purpose is to connect the subjective inestor view (the relationship of risk, return and liquidity) on investments with the real behavior of the individual investments with the help of analytical tools.
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Investigating Risk-On, Risk-Off patterns in global financial markets
Tročil, Jan ; Klosová, Anna (advisor) ; Vanduffel, Steven (referee)
The aim of this thesis is to analyse the increased correlation within four major asset groups (Government Bonds, Equity Indices, Commodities and Currencies) from the beginning of Great Recession till July 2014. The effect of increased correlation is called Risk-On Risk-Off and is connected to problems, where investors struggle to create risk-oriented portfolios and instead minimalize loss. The methods analysing the correlations are Absolute Average Value Index (AAVI) and Heat-map analysis. The AAVI is transforming correlation matrix into a single number and investigating the intensity of correlations. The Heat-map is studying the relationship between any two assets. The results from this study were that the RORO effect was present during Great Recession with intensity never seen before and that in June 2014 the values are close to pre-recession levels.
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Portfolio investment for individual investors : (portfolio recommendations for three case studies)
Žigraiová, Diana ; Baxa, Jaromír (referee) ; Pečená, Magda (advisor)
The thesis focuses on the portfolio investment area with respect to individual investors. It discusses their investment possibilities and behavioural aspects that may be the cause of deviations in investors' behaviour from rationality and which as well have the impact on forming their investment objectives. On the three investor case studies two qualitatitive methods of asset allocation are studied, eventually dividing the content of their investment portfolios between stocks and bonds. Additionally, the extension to the traditional stock and bond allocation is performed by means of real estate, commodities and art and antiques and its appropriateness is analyzed for each case study investor. At the very end of the thesis a quantitative mean-variance optimization method of asset allocation is mentioned.
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Proposal of Business plan
Novák, Pavel ; Urs Moser, Dipl.Ing., ETH (referee) ; Němeček, Petr (advisor)
ELEKON, ltd. is a stable firm which is active on the well-developed market with industrial clocks. Commercial successes of recent years have moved us to the position of the market leader for most of the products in the Czech and Slovak Republic. Because most of the SBUs does not provide for a chance of raising sales in the future, brings the subject of this business plan a new possibility for diversification of the product portfolio and further growth of the company. While developing the product it is possible to make use of experience gained while developing a similar product – digital clock of a DC series. The same technology of depicting data (LED), utilization of the identical construction of mechanical parts, the same parts of electronic circuits and similar principles of the software function will make it possible for acceleration of the development and lowering costs. The present state of the product development, which has been achieved by a purchase of know-how from a co-operating firm, enables usage of the text depiction in a simple effects mode and simple digital clock mode. The estimated current size of the market with information panels in the Czech Republic reaches at least ten millions of Czech crowns. We assume the market is growing, because of increasing quantity of inquiries as well as the turnovers of competitors. The demand for clocks with alpha-numeric depicting comes from both the Czech market, which is catered for by our firm, and from foreign companies, which belong to the competence of the group MOBATIME. In the last year the first order was provided for a county court of a total volume of 1.150.000,- CZK. This one-off sale generated surprisingly operation profit of approximately 430.000,- CZK. So far an amount of 150.000,- CZK has been invested into the product development. Putting the business plan to practice and including information panels among our products is an opportunity for further growth of the company. This will also become less dependent on its main commodity – the industrial clock.
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Deconstruction of interdependence between the pro-export segment of Russian energy and raw material insufficiency of European market - Case study on the relationship of Russia's energy policy to their own role in the natural gas market
Růžička, Jan ; Střítecký, Vít (advisor) ; Kučerová, Irah (referee)
The author of the diploma thesis focuses on the securitization of a portfolio of energy importing strategic raw commodity of natural gas from Russia and CIS countries to the European consumer market (in the context of the Common Market of the European Union). Because this import is by part of European market agents perceived as a potential geopolitical instrument of the Russian Federation, they securitize interdependent trade and economic relationship and shape it to the form of political and economic threat. But the question is how much this form of securitization is an appropriate form of reaction. Under such thesis, the author focuses primarily on the analysis of approaches to securitization of the individual actors (EU, Russia, transit actors - states and corporations as well as key companies operating across whole network), and analyze their validity and logic. The second section of the thesis is the prediction of possible scenarios for European energy security in terms of its raw material inadequacy in the segment of natural gas. The prediction is done through a model of future development of natural gas segment including the possible development of the Russian energy sector as such.
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Freight rail transport in the USA
Bódi, Andrej ; Zelený, Lubomír (advisor) ; Brozman, Dušan (referee)
In this bachelor thesis, I am going to characterize the evolution of rail transport in the USA since the very beginning in the 19th century until nowadays. In particular, I want to write about current trends in freight rail transport, infrastructure, situation on the American market, safety and also about the relationship with environment. In the second party, I am going to analyze two major companies on the market -- Union Pacific and Norfolk Southern. To be more precise, I would like to review their history, portfolio of the commodities they transport, locomotive and car rosters and economic situation. In the final conclusion, I sum up the current situation in the USA, concerning the most significant and typical characteristics of the rail freight transport and the differences between the USA and the Europe.
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The analysis of trading with Futures contracts
Trúchly, Marek ; Musílek, Petr (advisor) ; Žilák, Pavel (referee)
The final thesis will focus on explanation of basic knowledge regarding futures contracts trading and possible ways of trading them as the basis for the analytical part. Analytical part is based on real-time trading of stock, currency, index and commodity futures during several days and intraday trading. In several time periods we will focus on the results of portfolio made by these futures traded on american stock markets. In the end we will compare the results of trading with the opportunity cost of the investor and evaluate his behavior on the futures market.
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European Real Estate Investment Trusts: Analyzing Correlation with a DCC-GARCH Model
Jílek, Jiří ; Jandík, Tomáš (advisor) ; Vácha, Lukáš (referee)
Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the necessary background that led to the emergence of first REIT structures and also provide an overview of the European REITs market. In the second part, we apply the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to examine correlations between the above mentioned asset classes. The general understanding of real estate is that it provides diversification benefits to a diversified portfolio. However, our results suggest that returns of European REITs and stocks show a relatively high correlation and more importantly, the correlation increases in time. These findings have significant implications for investors and portfolio managers who seek protection for their portfolios in time of market downturns. Our results...
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Podpora rozhodování v oblasti investic do nemovitostí
Eftimiadis, Thomas
This master thesis deals with an investment topic that is focused on real estates. In order to compare these investments with their possible alternatives in terms of returns and risks there are also mentioned investment options in selected stocks, bonds and commodities. The comparison of return and risk results in a creation of comprehensive portfolios compiled for the specific investor profile, depending on his risk tolerance. Based on analysis outcomes and economic development forecasts the recommendations how to invest in a current market situation of the Czech Republic as well as major world economies are given in the thesis.
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