Analýza a optimalizace investičního portfólia

This bachelor’s thesis focuses on the analysis of investment portfolio optimization methods in the context of individual phases of the economic cycle. The main objective is to evaluate the performance and stability of optimal portfolios constructed based on Sharpe ratio maximization in comparison with a targeted risk strategy. The analytical part uses historical data from the beginning of 2008 and a diversified set of assets representing key capital market classes, specifically global stock indices, commodities, real estate, and various segments of the bond market. The introduction to the thesis presents basic statistical indicators typical for the field of investing, which serve as an important basis for subsequent modelling. The random portfolio method with a large number of permutations was used to identify the optimal allocation, ensuring accurate determination of the weights of individual assets. The thesis specifically distinguishes between periods of economic expansion and recession, tracks structural changes in the optimal portfolio composition, and identifies risky assets in each phase of the cycle. The final part focuses on a mutual comparison of selected types of optimizations. Stress testing was used to quantify the difference between optimal and erroneous portfolio adaptation during the transition between cycles, highlighting the importance of active management and the risks associated with static holding of poorly selected assets. The robustness of individual types of optimizations was then verified over a 5-year time horizon using Monte Carlo simulations that model likely scenarios of future behaviour. This work presents a comprehensive analysis of investment strategies and can serve as a guide for beginner investors in creating an optimal portfolio or restructuring assets in a changing market environment.