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National Repository of Grey Literature 3 records found  Search took 0.00 seconds. 
Risk aversion, financial stress and their non-linear impact on exchange rates
 Adam, T. ; Benecká, S. ; Matějů, Jakub
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Macrofinance Modeling from Asset Allocation Perspective
 Kollár, Miroslav ; Jílek, Josef (advisor) ; Holman, Robert (referee) ; Komárek, Luboš (referee)
The dissertation dealt with the interaction between the macro-economy and financial markets. In the first part of the dissertation I laid down a general case for macro-based active asset allocation. In the main part of my dissertation, after a theoretical introduction to term structure models and macrofinance models, I developed a VAR macrofinance model of the term structure of interest rates for the Czech economy based on the dynamic interpretation of the Nelson-Siegel model, and showed the use of such modeling framework in bond-yield prediction and asset allocation.
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Portfolio Theory
 Zmítko, Milan ; Kollár, Miroslav (advisor) ; Bydžovský, Jiří (referee)
The aim of this work is to introduce Modern Portfolio Theory and its alternative Post-Modern Portfolio Theory. This work is subdivided in two parts. The first part describes the theoretical background of the Modern Portfolio Theory and the Post-Modern Portfolio Theory. A brief description of basic mathematical apparatus used in the both methods is overviewed putting an accent on different understanding and description of risk measurements. The second part of this work concerns implementation of the both portfolio theories in a case study which is focused on selection and analysis of behaviour of optimal portfolios built using the methods based on the both portfolio theories. The case study analyzes, taking into account various time series, the differences in composition of the optimal potrfolios and their performances during big turbulences in the capital markets in 2008. In conclusions the work compares the both theories and summarizes their advantages and disadvantages.
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