Portfolio Optimization with Application in Matlab

Show simple item record
dc.contributor.advisorKresta, Aleš
dc.contributor.authorXu, Yin
dc.contributor.refereeTichý, Tomáš
dc.date.accepted2017-05-24
dc.date.accessioned2017-08-23T09:13:47Z
dc.date.available2017-08-23T09:13:47Z
dc.date.issued2017
dc.description.abstractIn this thesis we verify and compare the out-of-sample performance of following strategies: naive, Markowitz and conditional value at risk. For calculation, we choose 43 stocks that are components of Hang Seng Index from Hong Kong Stock Exchange and apply the data from 2006 to 2016. The calculation is mainly done using Matlab. In the thesis we apply two different approaches. The first is simple strategy, which is to invest in a constant weight to portfolio. Then we apply rolling window strategy, which is to decide weight for investment use the latest data. We make comparison and choose the strategies that are not dominated.en
dc.description.abstractn this thesis we verify and compare the out-of-sample performance of following strategies: naive, Markowitz and conditional value at risk. For calculation, we choose 43 stocks that are components of Hang Seng Index from Hong Kong Stock Exchange and apply the data from 2006 to 2016. The calculation is mainly done using Matlab. In the thesis we apply two different approaches. The first is simple strategy, which is to invest in a constant weight to portfolio. Then we apply rolling window strategy, which is to decide weight for investment use the latest data. We make comparison and choose the strategies that are not dominated.cs
dc.description.department154 - Katedra financí
dc.description.resultdobřecs
dc.format.extent3264459 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.otherOSD002
dc.identifier.senderS2751cs
dc.identifier.thesisXUY0004_EKF_N6202_6202T010_2017
dc.identifier.urihttp://hdl.handle.net/10084/117769
dc.language.isoen
dc.publisherVysoká škola báňská - Technická univerzita Ostravacs
dc.rights.accessopenAccess
dc.subjectMatlaben
dc.subjectPortfolio optimizationen
dc.subjectNaive strategyen
dc.subjectMarkowitz modelen
dc.subjectConditional value at risken
dc.subjectBacktestingen
dc.subjectPerformance measureen
dc.subjectMatlabcs
dc.subjectPortfolio optimizationcs
dc.subjectNaive strategycs
dc.subjectMarkowitz modelcs
dc.subjectConditional value at riskcs
dc.subjectBacktestingcs
dc.subjectPerformance measurecs
dc.thesis.degree-branchFinancecs
dc.thesis.degree-grantorVysoká škola báňská - Technická univerzita Ostrava. Ekonomická fakultacs
dc.thesis.degree-levelMagisterský studijní programcs
dc.thesis.degree-nameIng.
dc.thesis.degree-programHospodářská politika a správacs
dc.titlePortfolio Optimization with Application in Matlaben
dc.title.alternativeOptimalizace portfolia s aplikací v Matlabucs
dc.typeDiplomová prácecs

Files

Original bundle

Now showing 1 - 3 out of 3 results
Thumbnail Image
Name:
XUY0004_EKF_N6202_6202T010_2017.pdf
Size:
3.11 MB
Format:
Adobe Portable Document Format
Download
Thumbnail Image
Name:
XUY0004_EKF_N6202_6202T010_2017_posudek_vedouci_Kresta_Ales.pdf
Size:
754.39 KB
Format:
Adobe Portable Document Format
Description:
Posudek vedoucího – Kresta, Aleš
Download
Thumbnail Image
Name:
XUY0004_EKF_N6202_6202T010_2017_posudek_oponent_Tichy_Tomas.jpg
Size:
110.63 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
Description:
Posudek oponenta – Tichý, Tomáš
Download

Collections

Vysokoškolské kvalifikační práce Ekonomické fakulty / Theses and dissertations of Faculty of Economics (EKF)