G11 - Portfolio Choice; Investment DecisionsNávrat zpět

Presented paper is dealing with using selected fundamental indicators by building a stock portfolio. Analysis is focused on using P/E and P/BV indicators by building a stock portfolio from stocks listed on Prague Stock Exchange. The aim of this paper is answer on question, if stocks with lower P/E and/or P/BV bring investor higher return than stocks with higher values of these indicators or not. The usability of indicators was confirmed by our findings. Another conclusion of this paper is finding that stocks with lower P/E and/or P/BV exceeded benchmark represented by index PX-TR. Observed time period was from 2004 till 2014. Selected period was also divided on 5 year slip periods. Results show that stock with lower P/E or P/BV bring higher profit than stock with higher P/E or P/BV. These stocks also exceeded the benchmark.

The importance of risk management is nowadays one of the most important activities of financial institutions. One of the most commonly used methods for measuring and managing market risk is the indicator of Value at Risk (the minimum predicted loss for given significant level and time horizon) and Conditional Value at Risk (the average of expected losses that exceed the value of the Value at Risk). The aim of submitted article is the estimation of Value at Risk and Conditional Value at Risk for given shares of stock's portfolio assuming elliptical distribution of probability. Significant level is determined for 15 %, 10 %, 5%, 1% and 0.5 % for time horizon one day. Firstly, fitting probability of time series will be estimated. It can be assumed that the least appropriate type of distribution for the time series will be the normal distribution. Next, VaR and CVaR will be calculated for all given probability distribution. Due to the fact that it is assumed that empirical time series and portfolio time series will correspond to either Student or Laplace distribution then the most appropriate model for estimating VaR and CVaR will be these two distributions.

This article is focused on the effect and implication of a change in the money supply for the US capital market. This market was chosen according to its part on the global market capitalization. Namely it is the Dow Jones Industrial Average (DJIA), which was chosen according to its long history, global sense and stabile construction. The money supply will be measured by the wider aggregate M2 and aggregate MZM (money with zero maturity). The goal of this paper is to detect, if the money supply influenced the stock indices in the years 1967 - 2011, if the impact of both money aggregates is nearly the same, and how the money supply influenced the bubble creation.

This article deals with the investment activity of insurance companies in the period of economic crisis. The principal aim of this article is to evaluate the impact of economic crises on investment activity of commercial insurance companies. Firstly, we briefly identify the term - investment activity of insurance companies. After that, we evaluate the development of investment activity of commercial insurance companies on Slovak, Czech, Austrian and Polish insurance market in the period of 2008 - 2011. Within the investment activity of commercial insurance companies we focus on the volume of investments and its structure. On the basis of discovered data, we state the possible impacts of economic crisis on the investment activity of commercial insurance companies.

Při řešení úloh optimalizace portfolia se většinou využívají metody matematického programování. Tyto metody však nemohou být použity, pokud zavedeme omezení počtu držených aktiv. K řešení takto definovaného problému je nutno použít jednu z mnoha heuristických metod (genetické algoritmy, neuronové sítě nebo algrotimus rojení částic). V tomto příspěvku je využito binárního algoritmu rojení částic a metody kvadratického programování při hledání efektivní množiny řešení při optimalizaci portfolia. V článku jsou použity dvě množiny vstupních dat. První množinu tvoří akcie zahrnuté do indexu Dow Jones Industrial Average, druhou pak akcie zahrnuté do indexu Standard & Poor's 500. V závěru příspěvku jsou graficky srovnány nalezené efektivní množiny pro různá omezení počtu držených akcií.