Optimiranje dioničkog portfelja primjenom teorije portfelja uz izračun tržišnog rizika

scientific master's theses

• Author: Tomislav Lopar; ISNI: 0000 0004 2236 2889
• Mentor: Damir Kalpić (mentor)
• Committee member: Slavko Krajcar (predsjednik povjerenstva)
• Committee member: Damir Kalpić (član povjerenstva)
• Committee member: Katarina Ćurko (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; (Department of Applied Computing); Zagreb
• Defense date and country: 2008-01-18, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing; Data Processing
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics; Applied Mathematics and Mathematical Modeling
• Universal decimal classification (UDC): 004 - Computer science and technology. Computing. Data processing ; 336 - Finance. Banking. Money

Abstract

Na početku magistarskog rada dan je kraći uvod u dionice i tržišne dioničke indekse. Prikazana su tri najpoznatija tržišna dionička indeksa u SAD-u. Zatim su opisane najznačajnije teorije tržišta kapitala s time da je naglasak stavljen na opis moderne teorije portfelja. Prikazan je izračun efikasnog portfelja i efikasne granice. Na primjeru portfelja sastavljenog od dionica, koje ujedno čine i sastav tržišnog dioničkog indeksa Dow Jones industrijski prosjek, izvršen je izračun efikasne granice. Efikasna granica izračunata je najsloženijom od četiri moguće tehnike - tehnikom u kojoj kratka prodaja nije dopuštena niti je moguće bezrizično uzajmljivanje i pozajmljivanje. Tom tehnikom efikasna granica računa se minimiziranjem rizika za bilo koju razinu očekivanog povrata. Sam postupak optimizacije funkcije cilja tj. traženja njenog minimuma proveden je pomoću softverskog paketa Solver dostupnog u sklopu Microsoft Excela. Kako je jedan od ciljeva ovog magistarskog rada pokazati kako je moguće kreirati portfelj koji je s aspekta prinosa i s aspekta rizika bolji od tržišnog dioničkog indeksa, sa efikasne granice odabran je jedan portfelj s takvim svojstvom koji je proglašen optimalnim portfeljem. Nad razdobljem od iduće dvije godine izvršeno je testiranje optimalnog portfelja te su prezentirani dokazi da je taj optimalni portfelj bolji od tržišnog dioničkog indeksa Dow Jones industrijski prosjek s aspekta povrata i s aspekta rizika. Kao dokaz korišten je izračun Sharpeovog indeksa. U drugom dijelu magistarskog rada definiran je rizik u financijskom poslovanju. Navedene su i objašnjene vrste financijskih rizika te je objašnjeno zašto je važno njima upravljati. Definirana je metoda rizičnosti vrijednosti te su objašnjene tri metode njena izračuna. Zatim je prikazan izračun rizičnosti vrijednosti dobivenog optimalnog dioničkog portfelja metodom povijesne simulacije. Provedeno je testiranje modela te su prezentirani dokazi da izračun rizičnosti vrijednosti metodom povijesne simulacije predstavlja adekvatan model pri mjerenju tržišnog rizika optimalnog dioničkog portfelja.

Abstract (english)

In the first part of the master's thesis a short introduction to stocks and stock market indexes is presented. The most well-known stock market indexes in the USA are described. After that, the most significant capital market theories are described and the stress is put on the modern portfolio theory. Calculation of efficient portfolio and efficient frontier is shown. On the example of the portfolio which is comprised of stocks which are also members of the stock market index Dow Jones industrial average, calculation of the efficient frontier is presented. In the method used to calculate the efficient frontier, neither short sales nor riskless lending and borrowing are allowed. Using that method efficient frontier is calculated by minimising risk i.e. standard deviation for any given level of expected return. The process of optimisation is derived using software tool Solver which is available as a part of Microsoft Excel. Since one of the tasks in this master's thesis is to prove that it is possible to create a portfolio which is better than the stock market index from the aspect of expected return and the aspect of risk, one efficent portfolio that lies on the graph of the efficient frontier is chosen as an optimal portfolio. Using the period of the next two years a test of the optimal portfolio is made to prove that optimal portfolio is better than the stock market index. As a proof, a Sharp's index is used. Since the value of the Sharp's index for the optimal portfolio is greater than the value of the Sharp's index for the stock market index Dow Jones industrial average, it is proven that it is possible to create a portfolio which is better than the stock market index from the aspect of expected return and the aspect of risk. In the second part of the master's thesis the risk from financial aspect is defined. The break-down of financial risks is given and all of the types of financial risks are explained. It is also explained why it is important to manage financial risks. Then the definition of Value-at-Risk is given and the methodology of Value-at-Risk is explained. The calculation of VaR of the optimal portfolio is shown using the method of historical simulation. The testing of the model is made and it is proven that the calculation of Value-at-Risk using the method of historical simulation represents an adequate model for the calculation of market risk of the stock portfolio.

• Keywords: dionice; tržišni dionički indeksi; teorije tržišta kapitala; moderna teorija portfelja; efikasna granica; optimalan portfelj; financijski rizik; tržišni rizik; rizičnost vrijednosti; metoda povijesne simulacije
• Keywords (english): stocks/shares; stock market indexes; capital market theories; modern portfolio theory; efficient frontier; optimal portfolio; financial risks; market risk; Value-at-Risk; historical simulation method
• Language: croatian
• URN:NBN: urn:nbn:hr:168:729309
• Study programme: Title: Postgraduate master programe in computing; Study programme type: university; Study level: postgraduate; Academic / professional title: magistar inženjer računarstva (magistar inženjer računarstva)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2020-04-28 08:31:50