Design and assessment of performance of an optimal dividend portfolio

Viktor Kostin

Bachelor's thesis

Abstract:

This thesis is intended to show the possibility of creating an investment portfolio consisting of stocks, bonds and cash and assessing its overall performance by using Modern Portfolio Theory, as proposed by Nobel prize winner Harry Markowitz in 1952. The concept of Mean Variance optimization which is used in this research shows an optimal asset allocation within a portfolio. Financial instrument due diligence is conducted by using fundamental analysis. Risk minimization is one of the most important concepts, which has to be taken into account while considering any investment options. Value at risk model helps quantify risk and identify possible financial losses within the portfolio for a certain period of time. Sharpe ratio would be helpful to evaluate the overall portfolio performance, whether it is a good portfolio with a constant growth or it is a poor one with a huge risk taken and a respectively small expected return. Moreover, prediction of price movement is not the least important thing when it comes to portfolio performance assessment and Monte Carlo simulation is the exact tool that helps to understand how asset prices might behave themselves in the future. This thesis is written for scientific purposes only and should not be considered as a financial advice.

Keywords

Modern Portfolio Theory, Asset allocation, Portfolio optimization

Language used: English

Date on which the thesis was submitted / produced: 13. 3. 2022

Thesis defence

• Supervisor: Ing. Pavel Srbek, Ph.D.

Czech University of Life Sciences Prague

Faculty of Economics and Management

Bachelor programme:
Economics and Management