Metódy optimálnej alokácie aktív

Bc. Rastislav Machava

Master's thesis

Optimal asset allocation methods

Abstract:

In this diploma thesis we deal with commodities in terms of diversification benefit. The aim of this thesis is to evaluate diversification benefits of industrial commodities for investors with portfolios consisting of traditional asset classes. First, we focus on theoretical foundation of two methods of portfolio creation (Mean-variance and naive) and also on methodology of assessment criterion. Then, we create literature review. In empirical part of the thesis we analyse those portfolios according to specifing method in-sample and out-of-sample context.

Abstract:

V tejto diplomovej práci sa venujeme komoditám a ich diverzifikačnému prínosu. Cieľom práce je pomocou vhodných hodnotiacich kritérií určiť prínos priemyselných komodít pre investora s portfóliom zloženého z tradičných aktív. V práci najprv teoreticky priblížime dve metódy tvorby portfólia (Mean-variace a naive) a metodológiu hodnotiacich kritérií. Následne vytvoríme prehľad odbornej literatúry. V praktickej časti budeme analyzovať zložené portfóliá v in-sample a out-of-sample kontexte

Keywords

Mean-variance metóda, Naïve metóda, alokácia aktív, spanning test, Mean-variance method, Naïve method, Asset allocation

Language used: Slovak

Date on which the thesis was submitted / produced: 13. 5. 2022

Thesis defence

• Date of defence: 22. 6. 2022
• Supervisor: prof. Ing. Štefan Lyócsa, PhD.
• Reader: Ing. Tomáš Plíhal, Ph.D.

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Finance / Finance