Application of Matlab in Portfolio Optimization

Shufan Chen

Diplomová práce

Anotace:

There exists a rule in investing activities, which is “don’t put all eggs in one basket”. It’s because of the existence of this rule, the portfolio optimization becomes important. As we all know, portfolio optimization is a process of selecting the best portfolio that meet the investor’s requirement. The main idea of the portfolio optimization is how investors make a choice between the risk and return. In general, the investors want to maximum the return at a low-level risk, but in fact, the rise in return is also followed by the increase of risk. The portfolio optimization was firstly proposed by Markowitz (1952), who proposed that if the investor need to make a decision between two portfolios with the same return, all investors will choose the portfolio with less risky.

Abstract:

There exists a rule in investing activities, which is “don’t put all eggs in one basket”. It’s because of the existence of this rule, the portfolio optimization becomes important. As we all know, portfolio optimization is a process of selecting the best portfolio that meet the investor’s requirement. The main idea of the portfolio optimization is how investors make a choice between the risk and return. In general, the investors want to maximum the return at a low-level risk, but in fact, the rise in return is also followed by the increase of risk. The portfolio optimization was firstly proposed by Markowitz (1952), who proposed that if the investor need to make a decision between two portfolios with the same return, all investors will choose the portfolio with less risky.

Klíčová slova

Portfolio optimization, Risk, Return, Matlab, Naive strategy, Mean-variance model, Random mode, Max Sharpe ratio, Wealth, Sharpe ratio, Maximum Drawdown, Stock price

Keywords

Portfolio optimization, Risk, Return, Matlab, Naive strategy, Mean-variance model, Random mode, Max Sharpe ratio, Wealth, Sharpe ratio, Maximum Drawdown, Stock price

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 27. 4. 2018

Obhajoba závěrečné práce

• Obhajoba proběhla 28. 5. 2018
• Vedoucí: Aleš Kresta
• Oponent: Jiří Valecký

VŠB - Technická univerzita Ostrava

Ekonomická fakulta

Magisterský studijní program / obor:
Hospodářská politika a správa / Finance