03549ntm a22005777i 4500 000676325 CZ-PrVSE 20200613194230.0 m d cr n|||||||||| 200613s2020 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Vasylchenko, Anna ISIS:143345 dis Risk Management in Internationally Diversified Portfolio and Foreign Exchange Risk Mitigation eng Risk management in internationally diversified portfolio and its foreign exchange risk mitigation / Anna Vasylchenko 2020 ?? stran : digital, PDF soubor Vedoucí práce: Karel Brůna Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2020 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2020 The main focus the submitted thesis “Risk Management in Internationally Diversified Portfolio and Foreign Exchange Risk Mitigation” is to analyze and determine the optimal structure of internationally diversified portfolio based on nine stock market indices during a specific period of time. For the purposes of this work, a US investor who is rational and risk-averse will be considered during the analytical part. The question as to how the investor could develop their portfolio to achieve most favorable mean-variance relationship will be intended to answer. The first section of the thesis presents specific risk factors of wealth diversification over different countries. The second section is dedicated to the motivation and background. The third and fourth sections represent Markowitz and Sharpe frameworks. The fifth part focuses on the solver agent. The sixths part describes selected market characteristics as well as specifics of each individual index. The final seventh section provides the analysis of risk, return, correlation, and Sharpe ratio of each specific index as well as the correlation of exchange rates. Once, these factors were computed, the respective optimal domestic portfolios were obtained. The following section also exhibits the ultimate internationally diversified portfolio. Způsob přístupu: Internet finance and accounting [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas International diversification globalization volatility optimal portfolio portfolio choice exchange rate risk asset allocation rate of return currency exposure stock market index Brůna, Karel, 1973- mzk2009543943 ths Boháčik, Ján ISIS:93498 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/71694/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/71694 Hlavní práce https://insis.vse.cz/zp/71694/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/71694/posudek/oponent/67363 Oponentura https://insis.vse.cz/zp/71694/podrobnosti dc:identifier NEPOSILAT VSKP vse71694 200611 71694