Erik Pitoňák

Master's thesis

Optimizing Bond Portfolios Using Yield Curve Analysis

Optimizing Bond Portfolios Using Yield Curve Analysis
Abstract:
This diploma thesis examines optimization for a maximum Sharpe Ratio (SR) portfolio of Czech government bonds using principal component analysis (PCA) complemented with Monte Carlo simulation. The study begins by analyzing the term structure of interest rates, reviewing PCA's effectiveness in modeling term structures, and examining portfolio optimization strategies. In the empirical section, PCA is …more
Abstract:
This diploma thesis examines optimization for a maximum Sharpe Ratio (SR) portfolio of Czech government bonds using principal component analysis (PCA) complemented with Monte Carlo simulation. The study begins by analyzing the term structure of interest rates, reviewing PCA's effectiveness in modeling term structures, and examining portfolio optimization strategies. In the empirical section, PCA is …more
 
 
Language used: English
Date on which the thesis was submitted / produced: 15. 6. 2024

Thesis defence

  • Date of defence: 11. 9. 2024
  • Supervisor: Jiří Witzany
  • Reader: Martin Babušík

Citation record

Full text of thesis

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https://vskp.vse.cz/eid/94214