Komparace strategií pro sestavení akciových portfolií s benchmarkem

Abstract

The main goal of the thesis is to compare strategies for compiling equity portfolios and comparing them with the benchmark. To compile the portfolios there are selected the shares included in the Dow Jones Industrial Average index, traded on the US stock market and the index is set as a benchmark. The monthly rates are used for analyze and the analyzed period is from September 2003 to October 2018, hence 15 years, but the investment horizon is only 10 years because backtesting is performed. All calculations and graphical representations are performed in Matlab and MS Excel programs. In the first chapter of the diploma thesis there are defines the goal of the thesis and the process of the solution. The second chapter includes the characteristics of financial markets. Further there are described the introduction to the financial system and the stock market, stock, stock exchange, benchmark. investment process and portfolio management. The third chapter is devoted to the methodology used, which is followed by the practical part of this thesis. It is about characterizing selected portfolio models (Naive portfolio, Markowitz model, Bayesian strategy, CVaR model and other) and portfolio performance measurement. The fourth chapter contains applied theoretical knowledge from the second and third chapters to historical dataset. The application part is also focused on comparison of individual results both with each other and also with the benchmark.