How do the efficient portfolios at various investment horizons differ?
| Author: | Bc. Pavel Růžek |
|---|---|
| Year: | 2015 - summer |
| Leaders: | prof. PhDr. Ladislav Krištoufek Ph.D. |
| Consultants: | |
| Work type: | Bachelors |
| Language: | English |
| Pages: | 55 |
| Awards and prizes: | |
| Link: | https://is.cuni.cz/webapps/zzp/detail/150560/ |
| 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. |
