Optimalizace portfolia s využitím moderních teorií

Abstract

The purpose of the diploma thesis is to build an optimal portfolio of financial assets according to different models and then their comparison. The hypothesis is established that the Markowitz model with minimize risk will be more effective than random portfolios. The thesis is divided into five chapters, the first chapter is the introduction and the last chapter is the final summary of the results. In the second chapter we will describe the characteristics of portfolio theories. At the beginning of the chapter is a description of the financial asset from which we will form the portfolio. Then the basic monitored variables for financial assets are described. Then the characteristics of individual portfolio models are presented. The third chapter is devoted to the way of valuation of portfolio models using the rate of performance and risk. Then the method of determining and verifying hypotheses is described. The fourth chapter applies portfolio models to individual stocks and then evaluates performance and risk. Then these models are verified if they work efficiently by using hypotheses.