Optimal Portfolio of Chosen Stocks of the Prague Stock Exchange
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F14%3A00218392" target="_blank" >RIV/62156489:43110/14:00218392 - isvavai.cz</a>
Výsledek na webu
<a href="http://portal.vstecb.cz/publishingportal/littera-scripta" target="_blank" >http://portal.vstecb.cz/publishingportal/littera-scripta</a>
DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Optimal Portfolio of Chosen Stocks of the Prague Stock Exchange
Popis výsledku v původním jazyce
The aim of the article is to assemble an optimal portfolio of chosen stocks of the Prague Stock Exchange. The Markowitz portfolio model is used. At first, Pearson correlation coefficients and covariance are calculated for the stocks ČEZ, KOMERČNÍ BANKA,TELEFÓNICA, UNIPETROL, NWR and PX Index in order to find the dependence measure from 2003-2012. These values are presented in a correlation matrix and covariance matrix. Yield, risk and yield to risk ratios are calculated for stocks and PX Index. The dependence between yield and risk of stocks as well as yield and risk of portfolios are found. Stocks have different weights in a portfolio. A set of possible portfolios and a set of efficient portfolios are assembled for various combinations of five-component stock portfolios. Based on that, an optimal portfolio is assembled. This article brings a method that can be used by investors and other subjects of the financial market while deciding to what stocks to invest in.
Název v anglickém jazyce
Optimal Portfolio of Chosen Stocks of the Prague Stock Exchange
Popis výsledku anglicky
The aim of the article is to assemble an optimal portfolio of chosen stocks of the Prague Stock Exchange. The Markowitz portfolio model is used. At first, Pearson correlation coefficients and covariance are calculated for the stocks ČEZ, KOMERČNÍ BANKA,TELEFÓNICA, UNIPETROL, NWR and PX Index in order to find the dependence measure from 2003-2012. These values are presented in a correlation matrix and covariance matrix. Yield, risk and yield to risk ratios are calculated for stocks and PX Index. The dependence between yield and risk of stocks as well as yield and risk of portfolios are found. Stocks have different weights in a portfolio. A set of possible portfolios and a set of efficient portfolios are assembled for various combinations of five-component stock portfolios. Based on that, an optimal portfolio is assembled. This article brings a method that can be used by investors and other subjects of the financial market while deciding to what stocks to invest in.
Klasifikace
Druh
J<sub>x</sub> - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
CEP obor
AH - Ekonomie
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2014
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Littera Scripta
ISSN
1805-9112
e-ISSN
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Svazek periodika
7
Číslo periodika v rámci svazku
1
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
13
Strana od-do
12-24
Kód UT WoS článku
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EID výsledku v databázi Scopus
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