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Portfolio Diversification through Investment in Stock Indices
Křižka, Adam ; Ryndová, Jitka (referee) ; Rejnuš, Oldřich (advisor)
The diploma thesis focuses on the design of suitable stock exchange indices for portfolio diversification. The essence and principle of functioning of financial markets and investment funds is presented. According to suitable indicators, stock exchange indices are analyzed and compared with the market. Suitable indices are verified by means of correlation analysis and subsequently recommended to diversify the portfolios of investment funds managed through the investment company.
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Security Portfolio Optimalization
Roušavý, Jan ; Zerzánek, Ivan (referee) ; Sojka, Zdeněk (advisor)
Diploma thesis focuses on the issue of an appropriate selection of securities and the subsequent establishment of a portfolio of these securities. Follow detailed discussion about analysis of portfolio and investor’s preferences. Below is a description of the CAPM model, its assumptions and usage of this model to build a portfolio. Then there is the actual calculation of characteristics of securities traded on the Prague Stock Exchange and on the basis of these calculations is made the proposal of several portfolios and their evaluation.
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Cost of Equity as a Measuring Instrument of Risks during the Corporate Life Cycle
Konečný, Zdeněk ; Bartoš, Vojtěch (referee) ; Duspiva, Pavel (referee) ; Živělová, Iva (referee) ; Zinecker, Marek (advisor)
In this doctoral thesis is suggested the methodics for determination the risk structure depending on the corporate life cycle with considering the sector sensitivity to the economic cycle. The share of the operational and financial risk is calculated using the beta coefficient, in which the selected measuring quantities are included. The phases of the corporate life cycle are identified according to the quadrants of the Boston matrix and the sector sensitivity to the economic cycle is determined using the Spearman´s rank correlation coefficient describing the relation between the gross domestic product and sales of the sector. The methodics is applicable for both managers and investors.
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Stock Portfolio Optimalization on Czech Capital Market
Šebestíková, Sabina ; Štěpánková, Jana (referee) ; Sojka, Zdeněk (advisor)
The master's thesis is focused on Stock portfolio optimalization on Czech capital market. The analysis of each stock, estimation and portfolio optimalization proposal are included. In the practical part the Fundamental analysis is applied. The portfolio optimalization is estemated by portfolio theory which is consist in the relationship between stock price and market trends represents by PX Index and expressing correlation of them by beta coefficient.
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Technical Analysis
Ondrušová, Denisa ; Žídková, Lucie (referee) ; Novotná, Veronika (advisor)
This master‘s thesis is focused on creating an application, which would suggest an optimal portfolio of shares from SPAD Stock Market Praha. The application is based on the CAPM model, which is also described in this paper. There is a calculation of securities characteristics and specific portfolio diversification is suggested. The application also allows a user to simulate investments based on his requirements.
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Aplikácia modelu CAPM na evrópsky akciový trh
Laurová, Terézia
Laurová, T. Application of model CAPM on European stock market. Diploma thesis. Brno: Mendel University, 2015. The fundamental of this thesis is application of CAPM model on European stock market. Diploma thesis consists of two parts. The first one is the theoretical part, which is describing the basics of CAPM model, which serves for better understanding of the model and portfolio management. In the second, practical part, there will be solved the basic characteristics of model. There will be also created portfolios in Microsoft Excel. Finally there will be evaluated the veracity of the specified hypothesis and comparison of incurred portfolios.
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Exchange Traded Funds a likvidita indexových portfolií
Bodeček, Ondřej
The thesis investigates if introduction of Exchange Traded Fund, which replicates given index, has impact on liquidity and risk of underlying component securities. This thesis specifically examines impact of introduction ETF called Lyxor ETF WIG20, which was introduced at Warsaw Stock Exchange. ETF holds stock of WIG 20 Index. The impact on liquidity is investigated by using univariate analysis and by using multivariate panel regression, where dummy variable is used. The impact on risk of component stock is analyzed by beta coefficient.
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Aplikácia modelu CAPM na dlhopisový trh v USA
Zacharová, Beáta
The thesis is focused on the equilibrium single factor capital asset pricing model CAPM and its ability to explain risk-return relationship of corporate bonds in the USA. The CAPM model is applied on historical data of five chosen corporate bonds that represent different economic sectors in the period of last ten years. The examined period begins in October 2008 and finishes in September 2018. The ability of CAPM model to explain returns of chosen bonds with factor beta which represents systemic risk is tested on the investment horizon of three, five and seven years with monthly data frequency. Empirical testing proved that the ability of the model to explain bond returns with the risk factor beta has been weak in the last years, which questions its current relevance in the tested market.
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Portfolio Diversification through Investment in Stock Indices
Křižka, Adam ; Ryndová, Jitka (referee) ; Rejnuš, Oldřich (advisor)
The diploma thesis focuses on the design of suitable stock exchange indices for portfolio diversification. The essence and principle of functioning of financial markets and investment funds is presented. According to suitable indicators, stock exchange indices are analyzed and compared with the market. Suitable indices are verified by means of correlation analysis and subsequently recommended to diversify the portfolios of investment funds managed through the investment company.
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