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Ing. Dorin Baranetchi

Master's thesis

Application of portfolio theory on selected markets

Application of portfolio theory on selected markets
Abstract:
The aim of the thesis is to construct portfolios for the DJIA and DAX, by adopting optimization models of minimum variance portfolio, target portfolio and tangency portfolio. The thesis consists of four chapters: 1. Literature characterization 2. Fundamental concepts of Modern Portfolio Theory 3. Portfolio optimization 4. Empirical analysis. The first chapter offer an introduction into Modern Portfolio …more
Abstract:
The aim of the thesis is to construct portfolios for the DJIA and DAX, by adopting optimization models of minimum variance portfolio, target portfolio and tangency portfolio. The thesis consists of four chapters: 1. Literature characterization 2. Fundamental concepts of Modern Portfolio Theory 3. Portfolio optimization 4. Empirical analysis. The first chapter offer an introduction into Modern Portfolio …more
 

Keywords

Modern Portfolio Theory Markowitz Minimum variance portfolio Target portfolio Tangent portfolio DJIA DAX
 
Language used: English
Date on which the thesis was submitted / produced: 1. 7. 2021
Identifier: https://is.muni.cz/th/dp7hq/

Thesis defence

  • Date of defence: 2. 2. 2022
  • Supervisor: Ing. Luděk Benada, Ph.D.
  • Reader: Ing. Tomáš Plíhal, Ph.D.

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakulta
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Masaryk University

Faculty of Economics and Administration

Master programme / field:
Finance / Finance

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