Application of portfolio theory on selected markets

Ing. Yousab Fawzy Mikhaeil Abdelmalak

Diplomová práce

Abstract:

This thesis target is to build efficient portfolios for the DOW 30 and DAX 30 indices. The first part of the thesis illustrated how to calculate different efficient portfolios such as the minimum variance portfolio, target portfolio, and the tangent portfolio all accompanied with a numerical example of five stocks to simplify the process for the reader. Later application of the modern portfolio theory on both indices DOW 30 and DAX 30 is presented. Results showed the minimum variance portfolio and a well-chosen target portfolio performs better than the tangent portfolio and the market as well.

Keywords

Keywords Markowitz, Modern Portfolio Theory, Minimum variance portfolio, Target portfolio, Tangent portfolio, DOW 30, DAX 30.

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 12. 5. 2017

Obhajoba závěrečné práce

• Obhajoba proběhla 19. 6. 2017
• Vedoucí: Ing. Luděk Benada, Ph.D.
• Oponent: Ing. Dagmar Linnertová, Ph.D.

Masarykova univerzita

Ekonomicko-správní fakulta

Magisterský studijní program / obor:
Finance a účetnictví / Finance (angl.)