Hodnocení efektivnosti investování do akciových indexů na burzách střední Evropy

Abstract

The thesis is done to evaluate effectiveness of investing in the stock exchanges in Central Europe indices for three types of investors with different attitudes to risk. This work focuses on the evolution of the stock indices in the years 2001 - 2011. Using the Markowitz model, efficient portfolios for risk-averse, normal and aggressive investor were evaluated. For individual portfolios, the risk was assessed using the Value at Risk and Expected Shortfall methods. The first part is devoted to the history of individual exchanges in Central Europe. The second part focuses on the description of stock market indices, their methodology for compiling and types of indexes. The third part defines the theoretical knowledge on the creation of effective portfolios and their application.