Tvorba portfolia na základě heuristických metod

Bc. Julie Matoušková

Master's thesis

Portfolio construction based on heuristic methods

Abstract:

Tato diplomová práce vytváří portfolia na základě zvolené heuristiky, kterou je market switching regime. V teoretické části jsou popsány použité metody tvorby portfolia - Gaussian Mixture model, Hidden Mar- kov model, VIX a K-Means, teorie tvorby portfolia, market regime switch- ing theory a metody vyhodnocení portfolia. Praktická část práce vytváří minimum variance portfolia na základě použitých metod a srovnává je se stanoveným benchmarkem - Markowitzovým mean variance portfoliem, primárně na základě anualizovaného Sharpe ratia.

Abstract:

This master thesis constructs portfolios based on the chosen heuristic, which is the market switching regime. The theoretical part describes the used methods of portfolio construction - Gaussian Mixture model, Hid- den Markov model, VIX and K-Means, portfolio construction theory, mar- ket regime switching theory and portfolio evaluation methods. The prac- tical part of the thesis constructs minimum variance portfolios based on the used methods and compares them with the set benchmark - Marko- witz mean variance portfolio, primarily based on the annualized Sharpe Ratio.

Keywords

Market regime switching, Hidden Markov model, Gaussian Mixture model, VIX, K-Means, Machine learning, tvorba portfolia, Portfolio construction

Language used: English

Date on which the thesis was submitted / produced: 10. 5. 2024

Thesis defence

• Date of defence: 18. 6. 2024
• Supervisor: Ing. Michala Moravcová, Ph.D.
• Reader: B.Sc. Andrea Rigamonti, M.Sc.

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Finance / Financial Markets, Institutions and Technologies