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Investment Optimization
Bujnovský, Daniel ; Bednář, Josef (referee) ; Popela, Pavel (advisor)
This work is focused on description of two models of mathematical programming - the network model and the Markowitz portfolio model, their connection and application in transportation problems. The goal of the practical section is to approach the description of these problems to the real situations and look for their efficient solutions at the same time. All of that is accompanied by examples on real data from capital market or own model data. The theoretical considerations and thoughts are implemented in programming language Matlab. All results are explained in context to both models. The thesis also includes the introduction to economical and statistical theory which is necessary to understand the problem.
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Optimization in Financial Applications
Večeřa, Tomáš ; Cabalka, Matouš (referee) ; Popela, Pavel (advisor)
The main purpose of this thesis is to create an efficient stock portfolio, specifically to optimize current distribution of stock index S&P 500. The building process consist of well-established mathematical-economical methods, which are then improved by applying mathematical models from statistics and optimization. Firstly, we define essential terms in order to reach deeper understanding of used methods. Afterwards, process of thorough selection of stocks and sectors comes to place. Data are then processed in program GAMS in three different ways, depending on investors preference. Although this approach was applied to current era, its principles are applicable to any given timeline.
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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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Optimization in Financial Applications
Večeřa, Tomáš ; Cabalka, Matouš (referee) ; Popela, Pavel (advisor)
The main purpose of this thesis is to create an efficient stock portfolio, specifically to optimize current distribution of stock index S&P 500. The building process consist of well-established mathematical-economical methods, which are then improved by applying mathematical models from statistics and optimization. Firstly, we define essential terms in order to reach deeper understanding of used methods. Afterwards, process of thorough selection of stocks and sectors comes to place. Data are then processed in program GAMS in three different ways, depending on investors preference. Although this approach was applied to current era, its principles are applicable to any given timeline.
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Investment Optimization
Bujnovský, Daniel ; Bednář, Josef (referee) ; Popela, Pavel (advisor)
This work is focused on description of two models of mathematical programming - the network model and the Markowitz portfolio model, their connection and application in transportation problems. The goal of the practical section is to approach the description of these problems to the real situations and look for their efficient solutions at the same time. All of that is accompanied by examples on real data from capital market or own model data. The theoretical considerations and thoughts are implemented in programming language Matlab. All results are explained in context to both models. The thesis also includes the introduction to economical and statistical theory which is necessary to understand the problem.
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Portfolio diversification
MUSILOVÁ, Jana
This master thesis is focused on portfolio diversification. In the Czech Republic, the majority of the population still deposits their free funds to current accounts, but the yield is not sufficient to cover the devaluation caused by inflation. In addition, investments in securities enable these funds to be better valued (naturally with a higher risk). The aggregate of all investments is called the investment portfolio. Harry Markowitz is the founder of modern portfolio theory. The aim of the thesis is to compile an optimal portfolio from chosen financial assets. The theoretical part of the thesis describes the terms such as the financial market, its nature and function and the basic elements of the investment strategy - profitability, risk and liquidity. On top of that, this part describes problems of portfolio theory with a focus on the Markowitz model of optimization. In total 15 stocks-issuing companies are selected from various industries. These companies are traded both on the Czech and American stock markets. The practical part is focused on creating optimal portfolio of selected financial assets. For different attitudes of the investor to risk and its selected strategy the optimal portfolio according to Markowitz is compiled. The weights of individual securities are determined as well as the yield and risk of the portfolios created and an effective boundary is demarcated.
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Portfolio diversification
ŠÍP, Martin
The goal of this bachelor thesis is to show how the choice of stocks impacts the portfolio diversification in relation to risk and return. The risk was calculated as standard deviation and historical return rate was considered. The theoretical part explains basic terms related with portfolio diversification, Markowitz model, capital stock and most important factors that lead to the optimal portfolio creation such as return, risk and covariance. The practical part explains in detail, how to create an optimal portfolio. Ten companies from different sectors were randomly chosen for this bachelor thesis. These companies' shares are traded on the New York Stock Exchange. The covariance of these shares is lower than one. The next step was to calculate historical return rate and historical risk of portfolios. The highest value of historical return rate was 2.31 % and the lowest value of historical risk achieved 22.77 %. Subsequently, the efficient frontier was determined. The efficient frontier is the set of optimal portfolios that offers the highest expected return for a defined level of risk or the lowest risk for a given level of expected return. The lowest value of portfolio risk was 2.97 % with a return of 1.38 % and the highest value of portfolio risk was 4.03 % with a return of 2.13 %. The investor chooses the portfolio which maximizes his expected benefit.
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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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Building an optimal portfolio in the stock exchange
PELIKÁNOVÁ, Jana
The aim of this bachelor thesis was to build an optimal portfolio from selected stocks, and closer analyze the effect of diversification and its impact on the risk and return of the selected portfolio. The first part aims to define basic concepts and characteristics which are essential for orientation in the portfolio theory. The second part of this thesis aims to create a custom portfolio and to identify the efficient frontier of the custom portfolio.
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