How do the efficient portfolios at various investment horizons differ?
|Author:||Bc. Pavel Růžek|
|Year:||2015 - summer|
|Leaders:|| prof. PhDr. Ladislav Krištoufek Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||The Efficient Market Theory that assumes the homogeneity of investors’ expectations
has several shortcomings and has failed to predict development of fi-
nancial markets many times, recently. Previous research, therefore, has focused
more intensively on incorporation of some aspects from Behavioural Finance
to their models. This thesis implements another form of heterogeneity coming
from different investment horizon preferences, and investigates the impacts on
the selection of the efficient portfolios compared to the original Markowitz’s
framework. We employed the mean-variance model adjusted for the purpose
of the work, and, additionally, suggested extensions that assure robustness of
the model and the highest possible objectivity of the empirical results independently
on the choice of data sets. The findings from our research strongly
confirmed proposed hypotheses that the efficient portfolios do differ at the various
investment horizons and that the efficient portfolios for long investment
horizons are less risky.