Portfolio modelling using the goals based investment approach

Ing. Theophilus Sakyiamah Atuah

Diplomová práce

Anotace:

This thesis constructed a portfolio using the goals based investment approach. The study used 10 historical assets prices spanning from April 12th, 2010, to March 12th, 2022. The study employed the goal-based investment approach to allocate resource across four mental accounts (subportfolio). In applying the goal-based framework, a case study was presented which was indicative of the numerous challenges (investment goals) faced by the investor. The portfolio optimization was carried out in the goal-based setting space and the Mean-variance space using the Monte Carlo engine

Abstract:

This thesis constructed a portfolio using the goals based investment approach. The study used 10 historical assets prices spanning from April 12th, 2010, to March 12th, 2022. The study employed the goal-based investment approach to allocate resource across four mental accounts (subportfolio). In applying the goal-based framework, a case study was presented which was indicative of the numerous challenges (investment goals) faced by the investor. The portfolio optimization was carried out in the goal-based setting space and the Mean-variance space using the Monte Carlo engine

Keywords

Goal based investing, portfolio theory, mental account, utility theory, portfolio optimization

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 13. 5. 2022

Obhajoba závěrečné práce

• Obhajoba proběhla 22. 6. 2022
• Vedoucí: Ing. Luděk Benada, Ph.D.
• Oponent: Ing. Lukáš Marek

Masarykova univerzita

Ekonomicko-správní fakulta

Magisterský studijní program / obor:
Finance / Finance