Optimalizace portfolia s aplikací v Pythonu

Portfolio optimization is the process of selecting the best portfolio from all the portfolios to be considered. The goal of this thesis is to compare the performance of different models of portfolios. We have selected 30 stocks from the Yahoo website based on the DAX 30 index as our research sample for this thesis. Based on the sample size requirement, we have selected weekly adjusted closing prices from 2011 to 2020. We applied Python as a computational tool to analyze the Naive Strategy, Markowitz mean-variance model, and the Black-Litterman model. The thesis can be divided into five chapters. The first chapter is an introduction. The second chapter introduces the basics of Python. The third chapter introduces the portfolio optimization models that we use in the thesis. The fourth chapter is the application section. We use Python to apply all the models mentioned in the previous chapter to perform portfolio optimization calculations. The fifth chapter is the conclusion.Optimalizace portfolia je proces výběru nejlepšího portfolia ze všech uvažovaných portfolií. Cílem této práce je porovnat výkonnost různých modelů portfolií. Jako datový vzorek pro tuto práci jsme vybrali 30 akcií z internetových stránek Yahoo Finance na základě indexu DAX 30. Na základě požadavku na velikost vzorku jsme vybrali týdenní upravené závěrečné ceny z let 2011 až 2020. Jako výpočetní nástroj jsme použili Python k analýze Naivní strategie, Markowitzova mean-variance modelu a Black-Littermanova modelu. Práci lze rozdělit do pěti kapitol. První kapitola je úvodem. Druhá kapitola seznamuje se základy jazyka Python. Ve třetí kapitole jsou představeny modely optimalizace portfolia, které v práci využíváme. Čtvrtá kapitola je aplikační částí. Pomocí jazyka Python aplikujeme všechny modely uvedené v předchozí kapitole k provádění optimalizačních výpočtů portfolia a následnému hodnocení výkonnosti. Pátá kapitola je závěr.154 - Katedra financídobř

Portfolio optimisation with quantitative and qualitative views

Includes bibliographical references.Portfolio construction with quantitative and qualitative forecasts is described through the exposition of two asset allocation models. The two models arc the Black-Litterman Asset Allocation moodel and the Qualitative Forecasts : Model developed by Herold Ulf. The models are developed theoretically and made intuitively accessible with real market data examples. Methodology is developed using the two models to transport alpha across benchmarks

Essays on credit risk, risk adjusted performance and economic capital in financial institutions

This dissertation consists of three autonomous essays, discussing the following topics: 1. the pricing of defaultable bonds, loans and plain vanilla credit derivatives, 2. the use of risk-adjusted performance measurement, for optimal portfolio management in the banking, asset management and insurance industries 3. return on economic capital as a measure of value created by the holding of bank assets and the operation of bank business units

Mathematical Analysis in Investment Theory: Applications to the Nigerian Stock Market

This thesis intends to optimise a portfolio of assets from the Nigerian Stock Exchange (NSE) using mathematical analysis in the investment theory to model the Nigerian financial market data better. In this work, we analysed the 82 stocks which were consistently traded in the NSE throughout 4years from August 2009 to August 2013. We attempt to maximise the expected return and minimise the variance of the portfolio by using Markowitz's portfolio selection model and a three-objective linear programming model allocating different percentages of weight to different assets to obtain an optimal/feasible portfolio of the financial sector of the NSM. The mean and the standard deviation served as constraints in the three-objective model used, and we constructed portfolios with the aims of maximising the returns and the Sharpe ratio and minimising the Standard Deviation (Variance) respectively. In another development, we use Random Matrix Theory (RMT) to analyse the Eigen-structure of the empirical correlations, apply the Marchenko-Pastur distribution of eigenvalues of a purely random matrix to investigate the presence of investment-pertinent information contained in the empirical correlation matrix of the selected stocks. We use a hypothesised standard normal distribution of eigenvector components from RMT to assess deviations of the empirical eigenvectors to this distribution for different eigenvalues. We also use the Inverse Participation Ratio to measure the deviation of eigenvectors of the empirical correlation matrix from RMT results. These preliminary results on the dynamics of asset price correlations in the NSE are essential for improving risk-return trade-offs associated with Markowitz's portfolio optimisation in the stock exchange, which we achieve by cleaning up the correlation matrix. Since the variance-covariance method underestimates risk, we employ Monte-Carlo simulations to estimate Value-at-Risk (VaR) and copula for a portfolio of 9 stocks of NSE. The result compared with historical simulation and variance-covariance data. Finally, with the outcome of our simulation and analysis, we were able to select the assets that form the optimal portfolio and the weights allocation to each stock. We were able to provide advice to the investors and market practitioners on how best to invest in the sector of NSE. We propose to measure the extent of closeness or otherwise in selected sectors of the NSE and the Johannesburg Stock Exchange (JSE) in our future work

Management of Foreign Reserves: An Approach Based on Vine-Copula, Regime-Switching Dependence and Bayesian Opinion Pooling

This research is constructed to address the issue of structure management for colossal foreign exchange reserves holders, such as China and other emerging economies. Contrary to the discussion of optimal quantity on the reserve level, structure management considers the ideal applications of the national wealth, specifically the compositions in the reserves' financial investments. Two perspectives are considered for the safety and liquidity tranche of the foreign reserves, and another one for the return tranche. The thwo perspectives are further developed into three chapters of this thesis and they form a comprehensive set of analyses for the structure management. First, the optimal currency composition for huge foreign reserves in the safety and liquidity tranche is investigated. The asymmetry fat-tails and complex dependence structure in distributions of currency returns are examined for their vital role in the portfolio risk appraisal. In a D-vine copula approach, it is shown that under the disappointment aversion effect, the central bank in our model can achieve sizeable gains in economic value by switching from the mean-variance to copula modelling. It is also found that this approach will lead to an optimal currency composition that allows China to have more space for international currency diversification, while maintaining the leading position of the US dollar in the currency shares of China’s reserves. Next, the strategic asset allocation for China’s foreign reserves in the same safety tranche is studied using a risk-based approach. Four aspects of the risk management are investigated: investment universe, dependence structure, allocation strategies under risk minimization and trade-off between risks and returns. A regime-switching copula model is developed to investigate the dynamic dependence between assets. The optimal allocation is derived following two strategies: risk minimization and trade-off between risk and returns in utility maximization with disappointment avoidance. If the central bank focuses solely on risk minimization, the asymmetries in the asset return dependence encourage the flight to safety. However, if higher risks are allowed in exchange for higher returns, even if the exchange is very conservative, the asymmetries would discourage the flight to safety. Therefore, we suggest that China should mitigate its flight to safety after 2008 and increase holdings of short-term bank deposits, long-term treasury bonds and euro bonds. Finally, the strategic asset allocation problem for China's Sovereign Wealth Fund, the China Investment Corporation, is examined. This is considered to be the return tranche of China's foreign reserves. Bearing the responsibility to pursue higher returns for China's huge volume of foreign exchange reserves, the China Investment Corporation is endowed with a capable funding position. However, its emphasis on safety is still considered more serious than that of other institutional investors. A new method combining the merits of the shrinkage estimation, vine-copula structure, and Black-Litterman model, is proposed and tested to satisfy the revealed investment objectives. Empirical analysis suggests that there is more emphasis on emerging market economies rather than advanced economies when diversifying in fixed-income securities; whereas that emphasis is reversed on the equities side. In addition, using the commodity ETFs to represent the significance of gold in the portfolio, it is discovered that gold is a formidable competitor to the investment in equities

Accounting for financial instruments in corporate treasuries

The purpose of this thesis is to demonstrate the need for enhanced accounting methodology for financial instruments which are traded in the global financial markets. The thesis proposes an accounting framework within which the value-at-risk of financial instruments can be disclosed in the financial statements of enterprises. The thesis considers accounting developments in recent years and analyses the latest proposals suggested by international accounting bodies. It furthermore contemplates the requirements of the Bank for International Settlements in terms of capital adequacy and value-at-risk requirements. In order to provide a meaningful analysis of the subject matter of financial instruments, the various market risks pertaining to the accounting of financial instruments are discussed and considered in terms of their application to the underlying bu. siness of the enterprise. - Extensive analysis is done of valuation techniques and the mathematical concepts of value-atrisk. In this regard the pioneering works of professor Philippe Jorion of the University of California is used to illustrate the application of value-at-risk. The objective of this comprehensive analysis of value-at-risk is to suggest a meaningful method to account for risk exposures in financial instruments and ensure greater transparency in terms of disclosure. In this regard the thesis follows the guidelines proposed by the International Accounting Standards Committee in terms of recognition (definitions}, measurement (valuation}, presentation (classification} and disclosure (terms, conditions and accounting policies} of financial instruments. Consideration is also given to global accounting harmonisation and a number of accounting concerns which are presently unresolved. In this regard certain hedge issues as well as the differences between accrual accounting and fair value accounting are considered. Disclosure requirements are analysed in detail, especially in respect of value-at-risk accounting. Finally, the thesis illustrates the significant growth of products and instruments in the financial markets and the severe financial impact it has in terms of global capital and global financial losses.Financial AccountingDCom (Applied Accountancy

New product entry success : an examination of variable, dimensional and model evolution

This thesis examines the evolution of antecedents, dimensions and initial screening models which discriminate between new product success and failure. It advances on previous empirical new product success/failure comparative studies by developing a discrete simulation procedure in which participating new product managers supply judgements retrospectively on new product strategies and orientations for two distinct time periods in the new product program: (1) the initial screening stage and (2) a period approximately 1 year after market entry. Unique linear regression functions are derived for each event and offer different, but complimentary, temporally appropriate sets of determining factors. Model predictive accuracy ascends over time and conditional process moderators alter success factors at both time periods. Whilst the work validates and synthesises much from the new product development literature, is exposes probable measurement timing error when single retrospective models assess success dimension rank at the initial screen. Six of seven hypotheses are accepted and demonstrate that: 1. Many antecedents of success and measures of objective attainment are perceived by NPD (new product development) managers to differ significantly over time. 2. Reactive strategy, NPD multigenerational history and a superior product are the most important dimensions of success through one year post launch. 3. Current linear screening models constructed using retrospective methods produce average prescriptive dimensions which exhibit measurement timing error when used at the initial screen. 4. Success dimensions evolve from somewhat deterministic to more stochastic over time with model forecasting accuracy rising as launch approaches based on better data availability. 5. Product market PiLC (the life expectancy of an introduction before modification is necessary calculated in years and months) and its order of entry and level of innovation alter aggregate success model accuracy and dimension rank. 6. Proper initial dimensional alignment and intra-process realignment based on changing environments is critical to a successful project through one year post launch. The work cautions practitioners not to wait for better models to be developed but immediately: (1) benchmark reasons for their current product market success, failure and kill historical "batting average"; (2) enhance and/or replace contributing/offending processes and systems based on these history lessons; (3) choose or reject aggregate or conditional success/failure models based on team forecasting ability; (4) concentrate on the selected model's time specific dimensions of success and (5) provide/reserve adequate resources to adapt strategically over time to both internal and external antecedent changes in the NPD environment. Finally, it recommends new research into temporal, conditional and strategic tradeoffs in internal and external antecedents/dimensions of success. Best results should come from using both linear and curvilinear methods to validate more complex yet statistically elegant NPD simulations

The 45th Australasian Universities Building Education Association Conference: Global Challenges in a Disrupted World: Smart, Sustainable and Resilient Approaches in the Built Environment, Conference Proceedings, 23 - 25 November 2022, Western Sydney University, Kingswood Campus, Sydney, Australia

This is the proceedings of the 45th Australasian Universities Building Education Association (AUBEA) conference which will be hosted by Western Sydney University in November 2022. The conference is organised by the School of Engineering, Design, and Built Environment in collaboration with the Centre for Smart Modern Construction, Western Sydney University. This year’s conference theme is “Global Challenges in a Disrupted World: Smart, Sustainable and Resilient Approaches in the Built Environment”, and expects to publish over a hundred double-blind peer review papers under the proceedings

Measuring knowledge sharing processes through social network analysis within construction organisations

The construction industry is a knowledge intensive and information dependent industry. Organisations risk losing valuable knowledge, when the employees leave them. Therefore, construction organisations need to nurture opportunities to disseminate knowledge through strengthening knowledge-sharing networks. This study aimed at evaluating the formal and informal knowledge sharing methods in social networks within Australian construction organisations and identifying how knowledge sharing could be improved. Data were collected from two estimating teams in two case studies. The collected data through semi-structured interviews were analysed using UCINET, a Social Network Analysis (SNA) tool, and SNA measures. The findings revealed that one case study consisted of influencers, while the other demonstrated an optimal knowledge sharing structure in both formal and informal knowledge sharing methods. Social networks could vary based on the organisation as well as the individuals’ behaviour. Identifying networks with specific issues and taking steps to strengthen networks will enable to achieve optimum knowledge sharing processes. This research offers knowledge sharing good practices for construction organisations to optimise their knowledge sharing processes