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Stock Portfolio Selection and Analysis
Filipová, Adriana ; Čech, Tomáš (advisor) ; Krajhanzl, Martin (referee)
The main aim of the thesis is to perform portfolio selection based on principles of Markowitz portfolio theory using ex-post approach, CAPM model, three factor and five factor Fama-French model and to compare their achieved performance with each other and with their expectd values. Intensity of relationship between equity risk premiums and each of the factors - premiums is estimated using linear regression analysis, followed by evaluation of quality of models based on regression results. Eventually, optimal portfolio for each model is selected and empirically tested. The outcome determines which portfolio performance was the best and the most accurate.
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Diversification in Data Envelopment Analysis in finance
Macková, Simona ; Branda, Martin (advisor) ; Hurt, Jan (referee)
Title: Diversification in Data Envelopment Analysis in Finance Author: Simona Macková Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Martin Branda, Ph.D., Department of Probability and Ma- thematical Statistics Abstract: This thesis deals with an extension of data envelopment analysis and its application in finance. This method enables to evaluate the efficiency of cho- sen production units based on several inputs and outputs. Administrative fees or risk measures can be used as inputs and expected incomes of observed assets as outputs in financial application. We show basic traditional models in a form of a primary problem of linear programming and a dual problem as well and later compare with diversification models. It is suitable to deal with diversification which enables to consider dependencies between assets in case of finance and in- vestments. Than we get to nonlinear programming problem hence we introduce appropriate risk and return measures to make the problem solvable. Especially, we focus on the conditional value at risk. Next we introduce the model which deals with diversification. We use this on real data of chosen mutual funds. Keywords: Data envelopment analysis, Efficiency, Diversification, Conditional value at risk
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Bird diversity and diversification: Different processes converging to the same pattern?
Černá, Vladimíra ; Storch, David (advisor) ; Hulva, Pavel (referee)
Latitudinal diversity gradient is one of the oldest known trends in the distribution of life on the Earth. Scientists have been trying to find causes of its formation for more than two hundred years. There are several hypotheses suggested to explain this gradient. Recently, it is one of the main themes of discussion among ecologists and evolutionary biologists. By this Thesis, I will try to contribute to understanding of processes that generate the latitudinal diversity gradient. Particularly, I study if there is a relationship between ambient temperature and diversification rate. Is this relationship different for individual groups of animals? I choose birds as a model group. Specifically, these six families of birds: Accipitridae, Columbidae, Furnariidae, Picidae, Psittacidae and Strigidae. These groups include more than 1500 species. Each of them has the same universal gradient of diversity, with the highest diversity concentrated in the tropics. My objective was to find out, whether the universal gradients of bird's diversity had been shaped by the same historical processes. Or alternatively, whether different evolutionary trajectories had converged to the same gradients. The main outcome of my work is a discovery that some of the selected families diversified faster in warmer climates...
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Czech - Russian Energy Relations
Holan, Michal ; Binhack, Petr (advisor) ; Romancov, Michael (referee)
The main objective of the thesis is to analyze energy relations between the Czech Republic and Russian Federation. Author will use neo-liberal theory of mutual interdependence and the research will be conducted in the spirit of qualitative research of explanatory epistemology. Analyze will be based on relevant literature related to the topic and subsequent analysis of energy relations between the Czech Republic and Russian Federation since the fall of the Soviet Union till the gas crisis in 2009. Theoretical framework of interdependence with regard to the asymmetry in the Czech-Russian energy relations is used in this thesis to explain the threats that can be caused by some Russian Federation′s decisions and that can very seriously damage an energy security of the Czech Republic. Asymmetric interdependence in Czech- Russian energy relations can act as a source of power of the Russian Federation. For full understanding of a theme of this thesis it is necessary to explain the threats and their impacts to the energy security of the Czech Republic and it is also necessary to explain the weaknesses of Russian Federation′s energy security. Author emphasizes a working of energy sector and a role of energy actors.
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Limitation of species richness
Szostoková, Kateřina ; Storch, David (advisor) ; Šímová, Irena (referee)
Currently we can find two main hypotheses of diversity dynamics in time in literature - bounded and unbounded hypothesis. According to bounded hypothesis diversity is limited, while unbounded hypothesis says that there are no obvious limitations of diversity. Evidence for these main hypotheses comes mainly from paleontological research, studies of phylogeny and comparison of local and regional diversity. None of these approaches give us clear and incontrovertible evidence of diversity limits. The aim of this work is to show some evidence that confirm (or not) limitation of diversity in mentioned kinds of biological research. Also, I would like to point out some critics and imperfections of used methods.
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Influence ot the Income from Oil Industry on the Economies of United Arab Emirates and Algeria in the years 2000 - 2015
Weiss, Tomáš ; Pikhart, Zdeněk (advisor) ; Pekárek, Štěpán (referee)
The thesis is concerned with the influence of the income from oil industry on the economies of Algeria and the United Arab Emirates in the years 2000-2015. The topic is analysed from the point of view of the resource curse theory. This theory is defined as a negative relationship between excess of a non-renewable resource and economic performance. Alongside with the negative economic growth, the experts defined other factors linked to the resource curse. The method used in the thesis is an analysis of these indicators on the example of Algeria and the UAE, and subsequently the dangers of resource curse are identified. The thesis evaluates, based on the comparison of the performance of selected factors, the economical and institutional development of the chosen countries. In the conclusion the diversification efforts of the UAE in the economic field and relatively safe economic development of Algeria are commented. More or less positive tendencies may be observed also in the development of most of the institutional indicators of both countries.
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A Draft of the Investment Portfolio for a Physical Person in the Financial Market in the Czech Republic
Jůzová, Kristýna ; Pfeiferová, Daniela (advisor) ; Romana, Romana (referee)
This thesis deals with the possibilities of investing in the financial market in the Czech Republic for free different types of investors who are different attitude to risk. The first part is generally characterized by the term investment, portfolio theory, types of investment strategies and variol investment instruments, whether in individual investment, as well as in collective investment schemes in which we invest, thereby realizing their funds.
Own part is then focused on the modeling of achal investment portfolio for conservative, balanced and aggressive investor. For each of them is first characterized by its current portfolio, which have been shown in some parts as unsatisfactory and there for esubsequently proposed a new, more that meets investor requirements. They are considered basic requirements for return, risk and liquidity, as well as time horizon, which represents investor. Also, investor perceptions and visions for the future. In conclusion thee valuation of the diference between the current and new lyproposed investment portfolio for each client.
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Investment decision-making in collective investment
Toman, Lukáš ; Veselá, Kamila (advisor) ; Markéta, Markéta (referee)
The thesis is focused on using instruments of collective investment (mutual funds) for recommendations of more effective financial portfolios of ten real investors. For accomplishing goals of the thesis, firstly it is essential to define basic theoretical knowledge in terms of collective investment or more precissely mutual funds (chapter 2, Theory of collective investment). Subsequently it is necessary to set how will portfolio recommendations be formulated. It is also important to determine key investors characteristics, which are going to effect recommendations (chapter 3, Formulating portfolios). For real contribution it is vital to choose particular mutual funds, which are suitable for recommended portfolios (chapter 4, Selection of mutual funds). Pivotal part of the thesis is the chapter 5, Investment cases, which contains ten real financial portfolios. For each investor is recommended an optimal investment portfolio, which takes into account all known relevant information about the investor. For each case a comparison of current and recommended portfolio is created. The thesis is summarized by the chapter 6, Summary of investment cases, in which a discussion of aggregated results is broken into three areas: the most important investors characteristics, asset allocation of the portfolios and statistical differences between the current and the recommended portfolios.
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Housing Finance through a Combination of Mortgage and Investment
Richter, Jan ; Uchytil, Petr (referee) ; Ptáček, Roman (advisor)
This thesis deals with the financing of private housing in the Czech Republic and in it compared mortgages to specific examples. It explains how it is possible for a timely investment to save on interest and thus also to repay the loan sooner. Equally important is the explanation of how the applicant is to be ensured that in case of risk did not come on the property. The aim is to show prospective borrowers, how can ideally do to all of the above was successful.
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Analysis of Economic Indicators Using Statistical Methods
Fürst, Lukáš ; Šroler, Jakub (referee) ; Novotná, Veronika (advisor)
This thesis inquires into history of selected investment tools and provides technical analysis of them. As the source of information, real official results of given tools are used. The goal is to analyze the data of past years in order to compare the tools using magic triangle. The thesis consists of several parts. It starts with theoretical part that describes the reasons for this questioning, as well as the methods that are used in the rest of the thesis. Then there is the practical part, where real results are processed and compared and some conclusions are made of them. The final part of the thesis is a script in Visual Basic that acts as a utility for investors. Based on his preferences and expectations, it can propose the fittest investment.
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