Výkonnost mezinárodní a odvětvové diverzifikace portfolia v podmínkách integrace akciových trhů

Abstract

The thesis is focused on the topic increasing correlation yields on global equity markets. The aim is to assess the performance of the international and intersectoral portfolio diversification under conditions of stock markets integration using the Markowitz model and methods of Value at Risk. The first part focuses on the theory of financial markets, especially stock markets and the growing attractiveness of the financial markets of emerging countries. In the second section outlines the concepts of risk, return and liquidity. It also describes the portfolio theory and stochastic optimization models with a focus on constructing the effective set according to Markowitz model and creating an optimal portfolio using the Value at Risk. The second part is also evaluated the development of correlation coefficients yields of selected indexes of Morgan Stanley Capital International. In the last part are constructed on the basis of a set of effective Markowitz model and optimal portfolio assembled by VaR groups of three indexes - indexes of developed countries, developing countries and sectoral indexes. The calculated results are then evaluated whether it is more efficient for the investor decreasing risk to build their portfolio of equities various European countries and various economic sectors.