Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43907497" target="_blank" >RIV/62156489:43110/15:43907497 - isvavai.cz</a>
Výsledek na webu
<a href="http://acta.mendelu.cz/media/pdf/actaun_2015063041375.pdf" target="_blank" >http://acta.mendelu.cz/media/pdf/actaun_2015063041375.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201563041375" target="_blank" >10.11118/actaun201563041375</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market
Popis výsledku v původním jazyce
This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio areput together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA) index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor's portfolio.
Název v anglickém jazyce
Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market
Popis výsledku anglicky
This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio areput together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA) index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor's portfolio.
Klasifikace
Druh
J<sub>x</sub> - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
CEP obor
AE - Řízení, správa a administrativa
OECD FORD obor
—
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2015
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
—
Svazek periodika
63
Číslo periodika v rámci svazku
4
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
12
Strana od-do
1375-1386
Kód UT WoS článku
—
EID výsledku v databázi Scopus
—