The main objective of this thesis is to optimize portfolios composed of investment instruments used in customized portfolios from Portu company and to try to create portfolios with the same level of risk that will have a higher yield. The Markowitz model is used to optimize the portfolios. For all ten customized portfolios, the level of risk was calculated as the variance of the yield of the entire portfolio. The composition of each customized portfolio and the covariance matrix between the retu... zobrazit celý abstraktThe main objective of this thesis is to optimize portfolios composed of investment instruments used in customized portfolios from Portu company and to try to create portfolios with the same level of risk that will have a higher yield. The Markowitz model is used to optimize the portfolios. For all ten customized portfolios, the level of risk was calculated as the variance of the yield of the entire portfolio. The composition of each customized portfolio and the covariance matrix between the returns of the investment instruments included in the portfolios were used for this. The level of risk calculated this way were then used as the maximum permissible risk levels for the optimised portfolios. After optimisation, two sets of ten portfolios with identical risk profiles but different yields were created. These two sets of portfolios are compared at the end of the paper. All the modelled portfolios achieved higher daily yields than the customized portfolios without the need to assume a higher level of risk. The composition of the modelled portfolios differs significantly from that of the customized portfolios. The differences between the yields of the two sets of portfolios are more pronounced for the riskier portfolios than for the less risky portfolios. |