Tvorba a řízení portfolia obligací

Abstract

The main goal of this diploma thesis is creating and managing of fixed income investor´s portfolio. The diploma thesis is divided into five chapters. The second chapter is focused on introduction of the bonds. The legal requirements, classification and basic parameters of the bonds are presented. The role of yield curves in the valuation of the bonds is also mentioned. The third chapter describes the theory of the studied problems. It explains the principle and technique of principal component analysis, kernel density estimation and stochastic programming. The selected methods are applied in the fourth chapter. The principal component analysis is proposed. In the next step, the simulation of interest rate and valuation of the bonds are performed. The three-phase optimization models are done. At the end, the basis optimization problem is defined and solved. Subsequently, this problem is expanded to the problem with respect time value of money, the problem including coupon payments and the problem combining time value with coupon payments.