Využití faktorového modelu při sestavení optimálního portfolia

Abstract

The best way how to evaluate financial resources is to invest. There is a full possibility range of ways how to invest and in what to invest and all depends on investor´s preferences. One of the possibility is stock investment. Stocks are one of the most risk investment however from its long-term point of view it could reach a high yield. At decision making it is important to consider many factors which can affect the returns of risky assets. Besides the market factor the stock return can be influenced by another factors which can have a microeconomic or macroeconomic nature. The aim of the thesis is to compile optimal portfolio of stocks on an assumption that three-factor return-generating process is employed. Among these factors we will include yield of government bond, inflation and growth rate of industrial production. The optimal portfolio will be compile to the 1st of November 2001 and for the optimal portfolio selection will be used stocks which are quoted on New York Stock Exchange. Sequentially there will be two portfolio revisions done, always in five-year period so we will be able to reach the optimum proportions to invest in each stock. The thesis is divided into three essential chapters. In the first chapter, we will describe basic characteristics of financial assets. The issue of efficient frontier of portfolios and optimal portfolio will be theoretically explained. Second chapter will be dedicated to single-index models and multi-index models. The third chapter is a practical part where we will apply optimal portfolio creation.