03635ntm a22005417i 4500 000264215 CZ-PrVSE 20220928103559.0 m d cr n|||||||||| 220928s2022 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Bujnošek, Tomáš ISIS:118795 dis Optimalizace akciového portfolia a jeho diverzifikace kryptoměnami eng Stock portfolio optimization with cryptocurrency diversification / Tomáš Bujnošek 2022 ?? stran : digital, PDF soubor Vedoucí práce: Adam Borovička Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2022 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2022 The objective of this master's thesis is to help stock investors, which are often reluctant or even scared to buy any cryptocurrency, by composing sets of portfolios, which would mathematically backed the intention to invest in this phenomenon and consequently help diversify the stock portfolio. In the first chapter, cryptocurrencies are briefly introduced, along with their progression until the present and their pitfalls, as well as means of trading. Then we take a look at stocks and their two main local markets --- Prague Stock Exchange and RM-SYSTÉM. Before the main empirical analysis part of the thesis, we defined statistical elements and models used in the portfolio optimization, which are used later on. Mean-Variance, Mean-CVaR and Mean-Semivariance are explained in detail. The most extensive and imperative chapter of this master's thesis is the empirical analysis, where stocks traded on RM-SYSTÉM were analysed and portfolios were created, purely consisting of stocks as well as including cryptocurrencies. Results are compared across the models and recommended portfolios are listed. Efficient frontiers of all models were very similar, however the compositions of investment portfolios were often distinctly different. From the results, portfolios from Mean-Semivariance model seemed as the best choice. Investors can choose from a range of listed portfolios, if they consider investing in stocks too. As the models suggested, already existing stock portfolios can also be enhanced by cryptocurrencies. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas cryptocurrencies Markowitz model portfolio optimization RM-SYSTÉM semivariance stocks Borovička, Adam ISIS:42042 ths Čížků, Andrea ISIS:2357 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/70592/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/70592 Hlavní práce https://insis.vse.cz/zp/70592/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/70592/posudek/oponent/76246 Oponentura https://insis.vse.cz/zp/70592/priloha/24644 Přiloha k práci https://insis.vse.cz/zp/70592/podrobnosti dc:identifier NEPOSILAT VSKP vse70592 220928 70592