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Portfolio Optimization in the German Stock Market
Bastin, Jan ; Musílek, Petr (advisor) ; Witzany, Jiří (referee) ; Budinský, Petr (referee)
The thesis focuses on the equity portfolio management with quantitative methods. We present 3 types of optimization objectives: One tries to find minimum variance portfolios, tangency portfolios and portfolios with maximized expected returns in the German stock market. It is possible to compare those investment opportunities with a market-cap weighted benchmark and an equal weighted portfolio. Expected returns of stocks are estimated with fundamental factor models. Risks of portfolios are estimated with 5 types of covariance matrices: the matrix calculated with historical returns, estimations with the single index model, Fama-French three factors model, fundamental factor model and the shrinkage method. Our results are doubled because of the demonstration of the impact of turnover constraint on portfolio performance measures (transaction costs are included in our calculations). One can see that optimized portfolios had attractive risk-return measures in the period 2005 - 2015. Benchmark and equal weighted portfolios were dominated and we consider them to be inefficient investments in our test.
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Trhy s elektrickou energií a modelování v řízení rizik
Paholok, Igor ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Budinský, Petr (referee)
The main target of this thesis is to summarize and explain the specifics of power markets and test application of models, which might be used especially in risk management area. Thesis starts with definition of market subjects, typology of traded contracts and description of market development with focus on Czech Republic. Thesis continues with development of theoretical concepts of short term/spot electricity markets and potential link between spot and forward electricity markets. After deriving of those microeconomic fundamental models we continue with stochastic models (Jump Diffusion Mean Reverting process and Extreme Value Theory) in order to depict patterns of spot and forward power contracts price volatility. Last chapter deals with credit risk specifics of power trading and develops model (using concept known as Credit Value Adjustment) to compare economic efficiency of OTC and exchange power trading. Developed and described models are tested on selected power markets, again with focus on Czech power market data set.
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The analysis of selected behavioral biases in the context of the stock market
Havlíček, David ; Musílek, Petr (advisor) ; Daňhel, Jaroslav (referee) ; Budinský, Petr (referee)
The thesis focuses on the partial synthesis of investment strategies based on the theory of efficient markets and behavioral finance. Model of investment behavior consists of three parts - the Markowitz model of portfolio approach , De Bondt - Thaler model of re-building portfolio by capital gains in past and a model of short-term behavioral biases. Parameters of behavioral biases are determined arbitrarily and calibrated using correlation analysis for stock index DJIA and the particular stock title. The assembled model of short-term behavioral biases can explain only about 1 percent of changes in market prices of assets and regression analysis doesn't confirmed their statistical significance. Better results were found in a particular stock title than the stock index. The model of investment behavior has shown that without taking into account transaction costs Markowitz model was the most successful, but taking into account the costs De Bondt - Thaler model was more successful. The model of behavioral biases couldn't even overcome market benchmark, but in terms of risk the model was the least risky. The overall model of investment behavior also suggested the possibility of prediction of financial crisis, which could also be a space for further research in this area. The synthesis would also be appropriate to explore also by other methods such as simulation or real survey.
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