Optimalizace akciového portfolia pomocí Black-Littermanova modelu

Abstract

The aim of this thesis is the verification and evaluation of the equity portfolio optimization based on Black-Litterman model. The first chapter describes the investment process, its phases and defines the basic factors that need to be taken into account when making a portfolio. Then follows examples of portfolios based on investor needs. The last subsection describes the basic characteristics of stocks, their classification according to several aspects and evaluates the progression on the Czech stock market last year. Another chapter is devoted to describe selected portfolio optimization models. First there is a classification of financing models according to several criteria. Then it describes the procedure for establishing the optimal portfolio by Markowitz and Black-Litterman model and specifies the advantages and disadvantages of these different approaches. Finally, the Black-Litterman model is applied on a portfolio of fifteen shares. The model is applied on two problems. First, the optimal portfolio composition with no more restrictive conditions is found. The second task is to find the optimum composition of the eight-efficient portfolios for investors with different risk attitudes in the introduction of selected constraints. The resulting set of efficient portfolios is compared with an effective set of stock portfolios compiled by Markowitz model.