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Modelling and Management of Project Portfolio
Skalníková, Zuzana ; Trchalík, Roman (referee) ; Květoňová, Šárka (advisor)
This thesis is dedicated to modeling and management of project portfolio. In the first part, project is specified, along with methods for its managing. Next part describes the project portfolio, its managing and aspects that affect it. Thesis continues with analysis and design of software prototype capable of managing project portfolios. Most suitable methods are selected for project analysis. Designed prototype is then implemented and solution is described in the thesis. Last part of the work is user testing, which pointed out the functionality and usability of created prototype.
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Fundamentální analýza amerického automobilového průmyslu pro portfolio management investičního fondu
Ludwig, Marek
Ludwig, M. Fundamental analysis of the US automotive industry for portfolio management of an investment fund. Diploma thesis. Brno: Mendel University, 2023. The thesis focuses on a fundamental analysis of the automotive sector with a special emphasis on five automotive companies operating in the US market: General Motors, Toyota, Ford, Stellantis and Hyundai. The objective is to determine the intrinsic value of these companies and to establish investment recommendations for the management of an equity investment fund portfolio. The paper is divided into three parts. The first part presents the theoretical framework. Specifically, an explanation of the Free Cash Flow to the Firm method, which is used for the valuation itself. The second part focuses on the general industry analysis and the third part is devoted to the valuation of the studied companies and the determination of the investment recommendation. The result of the work is the determination of the intrinsic values of the companies studied, comparison with their market prices and the derivation of the investment recommendations.
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Should Central Banks Try to Make Profit on their FX Reserves?
Tabášek, Jakub ; Havránek, Tomáš (advisor) ; Molnár, Vojtěch (referee)
The first part of the thesis uses vector autoregressions to examine the influence of foreign reserves on macroeconomic variables. The results suggest an econom- ically significant influence on both household consumption and gross capital formation in Brazil, Chile, Argentina, and Indonesia, while in the Philippines and South Korea the influence seems rather weak. However, there is some un- certainty surrounding the results and the relationships may be unstable through time, suggesting that the question is worth revisiting in the future. The second part deals with the management of foreign reserves and in- vestigates whether the long-term management by the Monetary Authority of Singapore, which entails the objective of providing a regular income stream to the government budget, could be an option for other central banks. Given the similarity of objectives, the discussion builds on a comparison with the man- agement practices of large U.S. university endowments and suggests that the comparison seems to yield interesting insights pertaining to asset allocation. However, constraints stemming from the size of central bank portfolios and challenges having to do with expertise and management may have implications for the overall stability of investment returns. Given the specific character of a central...
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Investment Strategy for Club HC Letňany Flyers in the Stock Market
Utěšil, Ivan ; Ruda, Tomáš (advisor) ; Kraft, Jiří (referee)
Title: Investment Strategy for Club HC Letňany Flyers in the US Stock Market Objectives: The main goal of this thesis is to analyze and set the most expedient investment opportunities in the US stock market in order to achieve higher profitability than Czech investment funds that are standardly offered. Methods: Fundamental and technical analysis of macroeconomic and microeconomic environment done through publicly available secondary data reports of The Institute for Supply Management and historical data published by portal Yahoo Finance. Results: By applying the investment straegy described in this thesis was achieved higher returns than commercially offered funds in the Czech Republic, in the lower timeframe and at minimizing market and sectoral risks. Keywords: fundamental analysis, portfolio management, financial markets, economy,
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Portfolio management dluhopisových portfolií v dobách nízkých úrokových sazeb
Grulichová, Olga
The aim of this thesis is to introduce bond portfolio management along with minimization of interest rate risk. The theoretical framework is dedicated to bonds, yield curve, Markowitz portfolio theory and portfolio management which also presents examples of active and passive strategies. The practical part focuses on portfolio bond modelling. The difference between created portfolios is caused by their composition as different combinations of corporate and state bonds are used. To achieve the aim of this thesis a simulation of fictitious market change is implemented, using interest rate decrease and increase while observing its impact on created portfolios. As a conclusion, best portfolio recommended for investors is chosen based on maximizing yield and minimizing interest rate risk.
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Modelling and Management of Project Portfolio
Skalníková, Zuzana ; Trchalík, Roman (referee) ; Květoňová, Šárka (advisor)
This thesis is dedicated to modeling and management of project portfolio. In the first part, project is specified, along with methods for its managing. Next part describes the project portfolio, its managing and aspects that affect it. Thesis continues with analysis and design of software prototype capable of managing project portfolios. Most suitable methods are selected for project analysis. Designed prototype is then implemented and solution is described in the thesis. Last part of the work is user testing, which pointed out the functionality and usability of created prototype.
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Optimal portfolio selection under Expected Shortfall optimisation with Random Matrix Theory denoising
Šíla, Jan ; Šopov, Boril (advisor) ; Baruník, Jozef (referee)
This thesis challenges several concepts in finance. Firstly, it is the Markowitz's solution to the portfolio problem. It introduces a new method which de- noises the covariance matrix - the cornerstone of the portfolio management. Random Matrix Theory originates in particle physics and was recently intro- duced to finance as the intersection between economics and natural sciences has widened over the past couple of years. Often discussed Efficient Market Hypothesis is opposed by adopting the assumption, that financial returns are driven by Paretian distributions, in- stead of Gaussian ones, as conjured by Mandelbrot some 50 years ago. The portfolio selection is set in a framework, where Expected Shortfall replaces the standard deviation as the risk measure. Therefore, direct optimi- sation of the portfolio is implemented to be compared with the performance of the classical solution and its denoised counterpart. The results are evalu- ated in a controlled environment of Monte Carlo simulation as well as using empirical data from S&P 500 constituents. 1
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Portfolio Management with Multiple Benchmarks
Navrátil, Robert ; Večeř, Jan (advisor) ; Pešta, Michal (referee)
Portfolio Management with Multiple Benchmarks Bc. Robert Navrátil Abstract: In this thesis, we study a maximal volatility portfolio that treats all assets in a symmetric way and related option contract. To preserve symmetry we need numeraire that treats all assets symmetrically. We choose market index with equal weights. In case of two assets we focus on a variation of a passport option on the portfolio. The optimal strategy for the investor is the mentioned maximal volatility portfolio. We extend the known optimal strategy for the option to a richer class of convex payoff functions. We also show a modification of the optimal strategy for maximizing the probability of ending above or at a desired level. We later extend the symmetric market model to case of three assets, which can be even further extended to an arbitrary number of assets. The three asset model requires more parameters than are observable from the data, however we show indistinguishably of the model on the choice of parameters under very natural conditions. Both numerical simulations and an application on real data is provided. 1
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Investment Strategy for Club HC Letňany Flyers in the Stock Market
Utěšil, Ivan ; Ruda, Tomáš (advisor) ; Kraft, Jiří (referee)
Title: Investment Strategy for Club HC Letňany Flyers in the US Stock Market Objectives: The main goal of this thesis is to analyze and set the most expedient investment opportunities in the US stock market in order to achieve higher profitability than Czech investment funds that are standardly offered. Methods: Fundamental and technical analysis of macroeconomic and microeconomic environment done through publicly available secondary data reports of The Institute for Supply Management and historical data published by portal Yahoo Finance. Results: By applying the investment straegy described in this thesis was achieved higher returns than commercially offered funds in the Czech Republic, in the lower timeframe and at minimizing market and sectoral risks. Keywords: fundamental analysis, portfolio management, financial markets, economy,
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Business intelligence in the generic pharmaceutical industry for portfolio selection and registration strategy
Rösslerová, Petra ; Pečená, Marika (advisor) ; Papík, Richard (referee)
The aim of the diploma thesis is to describe and analyse information sources, which are useful for the molecules portfolio selection suitable for the future development of a generic drug. These information sources should be examined on the case study of the portfolio selection in a given therapeutic area. The topic of the diploma thesis is presented in the context of basic principles and functions of the generic farmaceutical industry and its information needs. The introductory chapter characterizes the farmaceutical industry in general and warn on a competitive environment, which the farmaceutical companies can succeed in thanks to the advanced methods of the business intelligence. The second chapter focuses on the differences betwen the generic and original pharmaceutical industry, a drug lifecycle is also introduced there. The next chapter specifies the methods of the business intelligence in the generic pharmaceutical industry on the ground of its information needs. The fourth chapter plays a key role. First of all, it introduces general characteristics of information sources used in the strategic portfolio management. Secondly, the detailed description and analysis of eight main information sources used by the generic companies within business intelligence follows. In the last chapter these...
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