Application of portfolio theory on selected markets

Ing. Dorin Baranetchi

Diplomová práce

Anotace:

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 Theory, followed by fundamental concepts with examples. Next are described the models of designing portfolios and consequently the main analysis of the thesis based on the real data.

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 Theory, followed by fundamental concepts with examples. Next are described the models of designing portfolios and consequently the main analysis of the thesis based on the real data.

Keywords

Modern Portfolio Theory, Markowitz, Minimum variance portfolio, Target portfolio, Tangent portfolio, DJIA, DAX

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 1. 7. 2021

Obhajoba závěrečné práce

• Obhajoba proběhla 2. 2. 2022
• Vedoucí: Ing. Luděk Benada, Ph.D.
• Oponent: Ing. Tomáš Plíhal, Ph.D.

Masarykova univerzita

Ekonomicko-správní fakulta

Magisterský studijní program / obor:
Finance / Finance