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Bc. Patrik Vasilenko

Master's thesis

Volatilita jako determinant pro investiční portfolio

Volatility as a determinant for an investment portfolio
Abstract:
The thesis Volatility as a determinant of investment portfolio is focused on portfolio optimization based on volatility prediction. The thesis will present the existing knowledge in the study of volatility of financial markets and will introduce econometric models used to model volatility. Subsequently, a portfolio optimization procedure based on volatility prediction will be proposed.
Abstract:
Diplomová práca Volatilita ako determinant investičného portfólia je zameraná na optimalizáciu portfólia na základe predikcie volatility. V práci bude predstavené doterajšiepoznanie v oblasti štúdia volatility finančných trhov a budú predstavené ekonometrické modely využívané k modelovaniu volatility. Následne bude navrhnutý postup optimalizácie portfólia na základe predikcie volatility.
 

Keywords

Volatilita investície optimalizácia portfólia Volatility investments portfolio optimization GARCH model
 
Language used: Slovak
Date on which the thesis was submitted / produced: 6. 1. 2025
Identifier: https://is.muni.cz/th/dlsa5/

Thesis defence

  • Date of defence: 29. 1. 2025
  • Supervisor: Ing. Luděk Benada, Ph.D.
  • Reader: doc. Ing. Tomáš Plíhal, Ph.D.

Citation record

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