Optimalizace portfolia dle prospektové teorie a teorie očekávaného užitku

Abstract

The topic of my diploma’s thesis is portfolio optimization according to the Prospect Theory and the Expected Utility Theory. The object of thesis is building an efficient set of shares according to the Markowitz’s model, optimal portfolios of shares according to the Prospect Theory depending on the change of parameters and optimal portfolios with predetermined values of expected returns and risks for investor with established attitude of risk. Thesis contains comparisons according to their compositions, expected returns and risks. Financial market, financial instruments, the Expected Utility Theory and the Prospect Theory are also described in the thesis. Optimizations of portfolios are realized in the application part of the thesis. From the results it can be concluded, that portfolios according to the Prospect Theory are composed only of the riskiest stock, the least risky stock or their combination. Optimal portfolios are not composed of larger number of shares like efficient portfolios according to the Markowitz´s model therefore the risk of these optimal portfolios is less diverzificated.