03208ntm a22005177i 4500 000548675 CZ-PrVSE 20180915190850.0 m d cr n|||||||||| 180915s2018 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Rýzner, Filip ISIS:113359 dis Alternative Approaches to Portfolio Selection eng Alternative Approaches to Portfolio Selection / Filip Rýzner 2018 ?? stran : digital, PDF soubor Vedoucí práce: Vojtěch Fučík Bakalářská práce (Bc.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2018 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2018 The main objective of this thesis is to present and implement two alternative approaches to portfolio selection alongside the classical mean-variance portfolio selection model developed by H. Markowitz. Furthermore, we aim to perform the portfolio construction using the Python programming language and then compare the performance of constructed portfolios over a 17 months investment period. We implement the standard mean-variance approach, its simplification that uses the Single-Index model together with the Capital Asset Pricing Model and a second alternative approach based on the hierarchical clustering for which we develop two portfolio selection strategies that we then combine with several well-known clustering methods. We found that the best portfolio of the standard mean-variance approach can outperform the original mean-variance framework's best portfolio. Moreover, the first strategy based on hierarchical clustering resulted in volatile portfolios that did not provide adequate returns to compensate for the risk associated with them. The second strategy provided stable results that were comparable with the mean-variance framework, yet the construction of its models was much simpler. Způsob přístupu: Internet finance [obor bakal. práce] bakalářské práce fd132403 czenas bachelor's theses eczenas Modern Portfolio Theory Factor Models Cluster Analysis Portfolio Selection Fučík, Vojtěch ISIS:115904 ths Diviš, Martin ISIS:128981 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/63103/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/63103 Hlavní práce https://insis.vse.cz/zp/63103/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/63103/posudek/oponent/58168 Oponentura https://insis.vse.cz/zp/63103/priloha/17609 Přiloha k práci https://insis.vse.cz/zp/63103/podrobnosti dc:identifier NEPOSILAT VSKP vse63103 180912 63103