Optimalizace měnového portfolia se zahrnutím transakčních nákladů

Abstract

In the chapter Popis metodiky tvorby modelu is analyzed the problem of creating the optimal portfolio of assets, then is described the procedure for calculating the basic parameters and the procedure for creating the optimal portfolio according to the basic models. Finally, is described the possibility of simulation of random development of financial instruments, including the simulation of a portfolio of these instruments. In the chapter Popis a analýza vývoje vybraných měn is characterized exchange market, its size and structure, including their development in selected years, throughout the world and also in the Czech Republic. There are mentioned factors affecting the movement of the exchange rate and there is also showed the development of major currencies from 1999 to 2009. In the chapter Optimalizace měnového portfolia se zahrnutím transakčních nákladů are created optimal currency portfolios for investors with different relationship to the risk. Portfolios are constructed according to the requirements listed at the beginning of this chapter for 6 investors with different relationship to risk, there is also taking into consideration the possibility that investors would change their relationship to the risk after the first 3 months. First is made prediction of model parameters, then are created the default optimal portfolios, i.e. are found their composition and income. Then is the compilation of new portfolios done and are detected overall portfolio returns over the period. In the last sub-chapter of this chapter is made a final summary of the results. After calculating the total portfolio yield is found that an investor may (with include transaction costs in the calculation) reach income 10.7%, in order to invest in the least risk portfolio can be achieved revenue -1.1%, i.e. losses. Investor situated exactly in the middle of the two aforementioned positions on relationship to the risk may reach a yield of 4.9%.