Tvorba optimálního portfolia finančních aktiv

Abstract

The thesis is devoted to the creation of optimal financial assets portfolio. The main objective of the thesis is to construct an optimal portfolio of assets for investor whose aim is to create a portfolio with the elimination of potentially large losses. The optimal portfolio is constructed based on the minimization of VaR and ES. Introduction contains a description of the work. The second chapter describes the portfolio theory, including the definition of main portfolio models. The third chapter is focused on the description of used methodology, ie the Value at Risk and Expected Shortfall. The fourth chapter is a practical part, which are made up of three basic portfolio, equity, bond and mixed. There are also desribed selected financial assets, calculated their basic parameters and subsequently are created the optimal portfolio based on minimizing VaR and ES for each type of asset. The conclusion is focused on summarizing the obtained results.