Bc. Adam Bako

Master's thesis

Optimalizace large-scale portfolia

Large-scale portfolio optimization
Abstract:
Cílem této diplomové práce je porovnání metod optimalizace portfolia. Jedná se Naivní strategii, Inverse volatility portfolio, Black-Litterman model a Hierarchical risk parity model. Pro dosažení výsledků je použit shrinkage model kovarianční matice a výzkum je proveden na large-scale portfoliu skládajícího se z ETF. První část práce je věnována teoretickým poznatkům a rešerši literatury. Dále jsou …more
Abstract:
This thesis aims to compare portfolio optimization methods. These are Naive strategy, Inverse volatility portfolio, Black-Litterman model, and Hierarchical risk parity model. The shrinkage model of the covariance matrix was employed to achieve the results, and the research was conducted on a large-scale portfolio of ETFs. The first part of the paper is devoted to theoretical background and literature …more
 

Keywords

optimalizace portfolia large-scale portfolio Black-Litterman ETF Hierarchical risk parity portfolio optimization
 
Language used: English
Date on which the thesis was submitted / produced: 12. 5. 2023
Identifier: https://is.muni.cz/th/w86nh/

Thesis defence

  • Date of defence: 21. 6. 2023
  • Supervisor: doc. Ing. Tomáš Plíhal, Ph.D.
  • Reader: Ph.D. Axel Alejandro Araneda Barahona

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakulta
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