Aplikace hedgingových strategií při eliminaci tržních rizik

Abstract

The aim of the diploma thesis was the verification and the comparison of the chosen portfolio hedging strategies − passive hedging strategy of minimum variance and active hedging strategy of minimum variance.

Before the aplication the chosen hedging strategies it was needed to process input data. After this the input parameters of assets were determined and then the simulation Monte Carlo was used for generation of random prices of assets. In the final part of the diploma thesis the optimum amount of financial instruments was found and after that the final effects of the chosen hedging strategies were computed and analysed.

The result of this theses is determination that the better effect of hedging is reached with active hedging strategy of minimum variance.