Home > Search Results: keywords:"Sharp ratio"
Search:
Search Tips :: Advanced Search
Search collections:
Sort by: Display results: Output format:
National Repository of Grey Literature 3 records found  Search took 0.00 seconds. 
Use of mathematical methods in creating an investment portfolio
 Holub, Miroslav ; Novotná, Veronika (referee) ; Janková, Zuzana (advisor)
The bachelor thesis is focused on the use of mathematical methods in creating an investment portfolio, which is designed for small investor. The theoretical part of the thesis describes the necessary knowledge to understand Markowitz model, selected indicators of financial analysis and the Value at Risk method. The practical part contains a selection of investment instruments traded on the US market according to established criteria, the creation of a real portfolio of these investment instruments and the final evaluation of results.
Detailed record
Use of mathematical methods in creating an investment portfolio
 Holub, Miroslav ; Novotná, Veronika (referee) ; Janková, Zuzana (advisor)
The bachelor thesis is focused on the use of mathematical methods in creating an investment portfolio, which is designed for small investor. The theoretical part of the thesis describes the necessary knowledge to understand Markowitz model, selected indicators of financial analysis and the Value at Risk method. The practical part contains a selection of investment instruments traded on the US market according to established criteria, the creation of a real portfolio of these investment instruments and the final evaluation of results.
Detailed record
Mathematical methods of investment portfolios construction
 Kůs, David ; Witzany, Jiří (advisor) ; Zichová, Jitka (referee)
This thesis describes statistical approaches of investment portfolio constructions. The theoretic part presents modern portfolio theory and specific statistical methods used to estimate expected revenue and risk of portfolio. These procedures are specifically selection method, modelling volatility using multivariate GARCH model, primarily DCC GARCH procedure and Bayes approach with Jeffrey's and conjugated density. The practical part of the thesis covers application of above mentioned statistical methods of investment portfolio constructions. The maximization of Sharp's ratio was chosen as optimization task. Researched portfolios are created from Austria Traded Index issues of shares where suitable time series of historical daily closed prices. Results attained within assembled portfolios in two year investment interval are later compared.
Detailed record

Interested in being notified about new results for this query?
Subscribe to the RSS feed.
Digital Repository :: Search :: Submit :: Personalize :: Help
Powered by Invenio v1.1.2
Maintained by admin.invenio@techlib.cz
This site is also available in the following languages:
Česky  English