Sestavení optimálního portfolia finančních aktiv

Abstract

The thesis is devoted to the creation of the optimal financial assets portfolio. The goal is to construct the optimum portfolio of shares, and then to perform (at the beginning of the month for three months) portfolio restructuring in order to ensure the optimal portfolio composition, including the inclusion of transaction costs related to the restructuring. The first chapter is characterized by financial assets and deals with different stochastic processes. The second chapter describes the investment process, including the models of creation of optimal financial assets portfolio. The last chapter consists of the practical part, which includes the process of construction the optimal shares portfolio, which consists of the prediction parameters of shares based on simulation of random evolution, creating the optimal portfolio of shares and the subsequent implementation of the restructuring of the portfolio.The largest share of the portfolio includes shares of CEZ and Commercial Bank. The shares of Erste Group Bank and Unipetrol is recommended to apply throughout the short sale. The share of transaction costs in the portfolio is stable only in December increased due to the implementation of major structural changes in the portfolio.