Portfólio s maximálnym výnosom
| Název práce v jazyce práce (slovenština): | Portfólio s maximálnym výnosom |
|---|---|
| Název práce v češtině: | Portfolio s maximálním výnosem |
| Název v anglickém jazyce: | Maximum Return Portfolio |
| Klíčová slova: | optimalizácia portfólia, maximálny výnos, p-hodnota, bootstrap metóda, t-test |
| Klíčová slova anglicky: | portfolio optimization, maximum return, p-value, bootstrap method, t-test |
| Akademický rok vypsání: | 2017/2018 |
| Typ práce: | diplomová práce |
| Jazyk práce: | slovenština |
| Ústav: | Katedra pravděpodobnosti a matematické statistiky (32-KPMS) |
| Vedoucí / školitel: | doc. RNDr. Jan Večeř, Ph.D. |
| Řešitel: | skrytý - zadáno a potvrzeno stud. odd. |
| Datum přihlášení: | 17.09.2018 |
| Datum zadání: | 17.09.2018 |
| Datum potvrzení stud. oddělením: | 01.10.2018 |
| Datum a čas obhajoby: | 09.09.2019 08:00 |
| Datum odevzdání elektronické podoby: | 17.07.2019 |
| Datum odevzdání tištěné podoby: | 19.07.2019 |
| Datum proběhlé obhajoby: | 09.09.2019 |
| Oponenti: | RNDr. Martin Šmíd, Ph.D. |
| Zásady pro vypracování |
| The traditional portfolio theory based on Markowitz promotes portfolio diversification in order to reduce the variance of the resulting portfolio. However, according to the Law of Large Numbers, the asset with the highest return should eventually outperform any other portfolio as the average return will converge to the highest possible return. The aim of the work is to examine whether the strategy to invest all money to the stocks with the highest returns does work on real data, namely for the stock selections from NASDAQ 100 and DAX.
The problem this approach faces is a statistical uncertainty about the theoretical parameters, such as the mean return and the volatility. Thus it is not necessarily true that the asset with the highest average return also represents a stock with the highest mean return. One should use population resampling methods to estimate the probability that the given asset comes from the distribution with the highest return. This would lead to some small diversification as there could be more than one candidate asset that can represent the maximum. The performance of this newly created portfolio should be compared with the existing portfolio selections that are based on the mean-variance approach or on the Kelly criterion. |
| Seznam odborné literatury |
| Markowitz, Harry. "Portfolio selection." The journal of finance 7.1 (1952): 77-91.
DeMiguel, Victor, and Francisco J. Nogales. "Portfolio selection with robust estimation." Operations Research 57.3 (2009): 560-577. Goldfarb, Donald, and Garud Iyengar. "Robust portfolio selection problems." Mathematics of operations research 28.1 (2003): 1-38. Thorp, Edward O. "Portfolio choice and the Kelly criterion." World Scientific Book Chapters (2011): 81-90. Browne, Sid, and Ward Whitt. "Portfolio choice and the Bayesian Kelly criterion." Advances in Applied Probability 28.4 (1996): 1145-1176. |
| Předběžná náplň práce v anglickém jazyce |
| Does an approach to pick a small selection of the stocks with the highest historical returns beat the traditional portfolio selections? |