The Stock Portfolio Selection in Shanghai Stock Exchange

Boya Luo

Diplomová práce

Anotace:

Investment is the most important financial management behavior in people's life, and stock investment is the most common kind of investment.The purpose of this thesis is about the choice of stock portfolio in Shanghai Stock Exchange. We will use the Markowitz model and a series of other simple models to accomplish our goal, effectively avoid risks, obtain the greatest expected return, and obtain the best investment portfolio. Different models can obtain different efficient frontiers and asset allocations for different portfolios.After some calculation and comparing, we can find a suitable model, and using this model investor can find the optimal portfolio under their risk preference.

Abstract:

Investment is the most important financial management behavior in people's life, and stock investment is the most common kind of investment.The purpose of this thesis is about the choice of stock portfolio in Shanghai Stock Exchange. We will use the Markowitz model and a series of other simple models to accomplish our goal, effectively avoid risks, obtain the greatest expected return, and obtain the best investment portfolio. Different models can obtain different efficient frontiers and asset allocations for different portfolios.After some calculation and comparing, we can find a suitable model, and using this model investor can find the optimal portfolio under their risk preference.

Klíčová slova

stock, portfolio, Markowitz, Black's, Tobin, CAPM, Value at Risk

Keywords

stock, portfolio, Markowitz, Black's, Tobin, CAPM, Value at Risk

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 23. 4. 2021

Obhajoba závěrečné práce

• Obhajoba proběhla 25. 5. 2021
• Vedoucí: Tomáš Tichý
• Oponent: Aleš Kresta

VŠB – Technická univerzita Ostrava

Ekonomická fakulta

Magisterský studijní program:
Finance