03827ntm a22005897a 4500 000245219 CZ-PrVSE 20131129203149.0 m d cr n|||||||||| 131129s2013 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Kuklik, Robert G. ISIS:77552 dis Capital Asset Price Modelling : Concept VAPM eng Capital Asset Prices Modelling - Concept VAPM [elektronický zdroj] / Robert G. Kuklik 2013 ?? s. : digital, PDF soubor Vedoucí práce: Karel Janda Disertační práce (Ph.D.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2013 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2013 The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors -- the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation regarding the concepts of a consumer/investor choice under general conditions of hypothetical certainty. Secondly, this outline is then followed by a description of the "classical" methodologies in the risky environment of uncertainty, with assessment of their corresponding key models, i.e. the CAPM, SIM, MIM, APTM, etc., notwithstanding results of the related testing approaches. Thirdly, this assessment is based on evaluation of the underlying doctrine of Efficient Market Hypothesis in relation to the so called Random Walk Model. Fourthly, in this context the work also offers a brief exposure to a few selected tests of these contraversial concepts. Fifthly, the main points of conteporary approaches such as the Fractal Dimension and the Hurst Exponent in the dynamic framework of information entropy are subsequently described as the theoretical tools leading to development of the abovementioned model VAPM. The major contribution of this thesis is considered its attempt to apply the abovementioned concepts in practice, with the intention to possibly inspire a further analytical research. Způsob přístupu: Internet finance [obor disert. práce] disertace fd132024 czenas dissertations eczenas VAPM Efficiency Testing Hurst Exponent Fractal Dimension Entropy of the System SIM CAPM The Theory of Choice Random Walk Model Efficient Market Hypothesis Models under Certainty/Uncertainty Janda, Karel xx0053102 ths Kodera, Jan jx20050428029 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 https://isis.vse.cz/zp/21425/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/21425 Hlavní práce https://isis.vse.cz/zp/21425/posudek/oponent/34406 Oponentura https://isis.vse.cz/zp/21425/posudek/oponent/34407 Oponentura http://isis.vse.cz/zp/98789/podrobnosti dc:identifier NEPOSILAT VSKP 98789 vse21425 131128