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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
International diversification and portfolio risk
 KRÁL, Tomáš
The thesis analyses the relationship between international diversification and portfolio risk. The aim of the thesis is to construct and analyse a custom investment portfolio of selected international stocks and evaluate how diversification of these assets from different markets affects the overall portfolio risk. In the theoretical part, the basic terms are defined in order to understand this work. The practical part includes the German portfolio and the international portfolio which each consists of ten chosen stocks of companies that are traded on a stock exchange during the period from January 1, 2019 to January 1, 2024. Each company in the German portfolio was matched by a company in the international portfolio with a similar size of market capitalisation and business in the same sector. Then in the practical part the historical rates of return, historical values of risk, coefficients of variation, covariances and correlations of all stocks and historical rates of return, historical values of risk and effective boundaries of these two portfolios are calculated. Then the efficient boundaries are compared, the efficient boundary of the international portfolio achieved higher monthly historical rates of return at lower historical values of risk than the efficient boundary of the German portfolio. The results of this work are intended to serve as a tool to better understand the impact of international diversification on portfolio risk and may offer recommendations for investors on optimal asset allocation in an international investment environment.
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Correlation Analysis of various Asset Classes
 Urbanová, Sabína ; Brůna, Karel (advisor) ; Pour, Jiří (referee)
Bachelor thesis focuses on correlation analysis of various assets and construction of effective border and optimal portfolio. The thesis consists of four parts. First part describes main theories of portfolio selection and international investing. Second part is characterization of assets chosen for correlation analysis, concretely shares, bonds, gold, silver, crude oil, natural gas and property. In the third part I present correlation coefficients between assets. The last, forth, part is a practical application of correlation coefficients used for portfolio selection.
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