Application of Matlab in Portfolio Optimization

Danye Wang

Diplomová práce

Anotace:

Stock portfolios are estimated to diversify the risk in the financial market. When we invest in portfolios of stocks, we need to find the optimal portfolios with high expected return and low risk. Therefore, it is necessary to know which strategy performs the best and choose correct strategy to invest. The goal of this thesis is to apply different portfolio optimization strategies and to compare their out-of-sample results. In this thesis, we apply different strategies to calculate the weights of stock portfolios, and apply back testing method to obtain the returns and wealth of portfolios, then compare the performance of different strategies by Sharpe ratio and Maximum drawdown.In compliance with the results of all strategies that used, we make the ranking of the performance for these strategies, and choose which is the best strategy to invest.

Abstract:

Stock portfolios are estimated to diversify the risk in the financial market. When we invest in portfolios of stocks, we need to find the optimal portfolios with high expected return and low risk. Therefore, it is necessary to know which strategy performs the best and choose correct strategy to invest. The goal of this thesis is to apply different portfolio optimization strategies and to compare their out-of-sample results. In this thesis, we apply different strategies to calculate the weights of stock portfolios, and apply back testing method to obtain the returns and wealth of portfolios, then compare the performance of different strategies by Sharpe ratio and Maximum drawdown.In compliance with the results of all strategies that used, we make the ranking of the performance for these strategies, and choose which is the best strategy to invest.

Klíčová slova

Portfolio optimization, Matlab, Naive strategy, Markowitz model, Minimum variance strategy, Bayesian strategy, portfolio with risk-free assets, risk attitude, Sharpe ratio, Maximum drawdown

Keywords

Portfolio optimization, Matlab, Naive strategy, Markowitz model, Minimum variance strategy, Bayesian strategy, portfolio with risk-free assets, risk attitude, Sharpe ratio, Maximum drawdown

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 22. 4. 2016

Obhajoba závěrečné práce

• Obhajoba proběhla 24. 5. 2016
• Vedoucí: Aleš Kresta
• Oponent: Petr Seďa

VŠB - Technická univerzita Ostrava

Ekonomická fakulta

Magisterský studijní program / obor:
Hospodářská politika a správa / Finance