Tvorba a optimalizace akciového portfolia

The thesis deals with investing in the stock market and the creation of investment portfolios. The theoretical part of the thesis explains to the investor the quantitative approach to portfolio management, the basic measures of profitability and risk, and a more detailed orientation in selected optimization models, which are then applied in the practical part. After the basic theoretical apparatus, the thesis focuses on the stated objective of comparing the models across different stocks in the portfolio. Optimization is performed by using the models discussed in the theoretical part. Three different samples of stocks (Dividend, Blue-chips, and Safe and Performance) are chosen for the analysis to which the different optimization methods (Markowitz model, Mean-CVaR model, and Hierarchical Risk Parity) are successively applied. Before the optimization, the samples are subjected to preparation and analysis of the relationships between the individual titles. All stocks featured in the models come from the S&P 500 stock index, from January 2013 to December 2022. The study is unique primarily in its application of the Hierarchical Risk Parity method, which dates back to 2016 and is very rarely found in Czech sources. A major contribution is also found in the application of the selected methods to three different stock samples. Based on the results obtained, the investor can observe that not only the appropriate optimization method but also the sample of stocks from which the portfolio is composed is essential for the correct portfolio construction. Finally, the paper is complemented by a simulation of the returns of regular long-term investing.