Tvorba portfolia v dynamickém prostředí kapitálového trhu

The aim and motivation of the thesis is to create a series of portfolios composed of traditional investment instruments with a very high degree of liquidity, supplemented by the possibility of putting money into a savings account. Using quantitative methods in this thesis, it will be decided which financial instruments are appropriate, in terms of return to risk ratio, to consider for one's own portfolio. Before the actual optimization, a pre-selection of suitable financial instruments occurs using the selected investment characteristics. The ELECTRE I method, fundamental analysis models and decision trees are used for this pre-selection. The methodology of the thesis includes, among other things, an element of uncertainty, which is reflected by generating scenarios of daily changes in the market price of investment instruments. The reader is offered a series of portfolios with an efficient combination of rate of return and risk. The determination of the optimal portfolio is therefore based on the subjective perception of risk in the context of expected return. At the very end, a series of portfolios is back-tested over the following three-year period. The actively composed portfolios are compared with a passive investment strategy.