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Bc. Matúš Horváth

Bachelor's thesis

Dluhopisové portfolio

Bond portfolio
Abstract:
In this bachelor thesis, we study the issues of bonds and the construction of bond portfolio. In the theoretical part, we describe the structure of bonds, their characteristics and the definition of yield, duration and convexity. We present the Markowitz model and portfolio construction algorithm according to this model, and in the same way portfolios bullet, barbell, G-barbell and ladder, which are …more
Abstract:
V tejto bakalárskej práci sa venujeme problematike dlhopisov a zostavovaniu dlhopisového portfólia. V teoretickej časti popisujeme štruktúru dlhopisov a ich vlastnosti so zadefinovaním pojmov výnos, durácia a konvexita. Uvádzame Markowitzov model a algoritmus zostavenia portfólia podľa tohto modelu a zostavenie portfólií bullet, barbell, G-barbell, ktoré sú založené na pevnej durácii, s ich popisom …more
 

Keywords

Dlhopis Portfólio Markowitzov model Výnos Durácia Konvexita Bullet Barbell G-barbell Ladder Bond Markowitz model Yield Duration Convexity
 
Language used: Slovak
Date on which the thesis was submitted / produced: 29. 5. 2017
Identifier: https://is.muni.cz/th/ejdhf/

Thesis defence

  • Date of defence: 21. 6. 2017
  • Supervisor: Mgr. Silvie Zlatošová, Ph.D.
  • Reader: Mgr. Jana Faltýnková

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Přírodovědecká fakulta
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Masaryk University

Faculty of Science

Bachelor programme / field:
Mathematics / Financial and Insurance Mathematics

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