Work detail

The Efficiency Evaluation of Portfolio ax ante vs.ex post

Author: Mgr. Ivana Šalomonová
Year: 2005 - summer
Leaders: prof. Ing. Miloslav Vošvrda CSc.
Consultants:
Work type: Financial Markets
Masters
Language: Czech
Pages: 75
Awards and prizes:
Link:
Abstract: The goal of my thesis is to evaluate Markowitz’s theory of effective asset portfolio. According to this theory positive returns of investments are attainable with the application of defensive strategy even during negative market trends. In my work I will therefore set up a portfolio composed of selecected titles of Prague Stock Exchange and with the application of statistic methods I will estimate its future value in one-year time. Then, the estimation will be put in contrast with the real rate of return achieved.
The first chapter of my thesis is an introduciton to the topic of investments’ evaluation. It shortly describes the attributes of analyses of individual stocks prior to their selection into the investor’s portfolio. The second chapter considers the selection of general methods of stocks’ evaluation for the assesment of portfolio returns set up ex ante and ex post.
Chapter three descibes an aplication of a specific method of selecting stocks into the portfolio. Next I describe the selected method for the estimation of future portfolio returns, its pressumptions and I am considering the implications of the theory of effective martkets. Chapter four describes the undertaken tests of input data and evaluates the assumptions for CAPM model depoyment and for the possible acceptance of the weak form of the theory of the effective markets.
The fifth chapter sums up the results of the performed calculations of the individual stocks’ and their characteristics. Based on these stocks an effective portfolio is set up and in the end its rate of returns are estimated. These are then put in contrast with the rate of returns that were really realised in this time period. In conclusion I summarize the results achieved and I asses the possible application of this method in the conditions of the czech stock market.
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