Thesis (M. Sc.)--University of Hong Kong, 2003. / Title proper from title frame. Also available in printed format.

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Diss.--Technical University of Delft, 2009. / Includes bibliographical references.

Human interaction with gold can be traced far back in history, and throughout history, the metal has been both worshipped and fought for. People almost intuitively place a high value on this yellow metal and gold has always had a special place in the human heart. Nonetheless, the question many irresolute investors seek the answer to today is whether gold deserves a special place in their investment portfolios. The main purpose of this quantitative study was to determine whether gold is an appropriate diversifier for Swedish investors, and to find the optimal weight of gold in a Swedish equity portfolio. Corresponding properties of other precious metals silver and platinum were also investigated for comparative purposes. One of the reasons for augmented interest in investing in gold is the perceived risk in the economy. The theoretical framework for the study was Modern Portfolio Theory (MPT). The insight of MPT is that efficient diversification handles the risk better than individual assets. Risk management is especially crucial in an era of heightened economic, financial and political uncertainty as today. At the same time, rising correlation among traditional diversifiers make diversification more difficult. Gold, influenced by its history as a currency, has often taken the role as an inflation hedge and a portfolio stabilizer during turbulent financial markets. Inflation hedge assets like gold should be negatively correlated with the market and should give the best diversification benefits in a portfolio. This indicates that gold may be an appropriate diversifier in an equity portfolio. The study took the perspective of Swedish investors, and a Swedish equity index was therefore used as proxy for a well-diversified portfolio. Registry data for past prices of assets over a period of 47 years were obtained via a study published on the official website of the Swedish central bank and Thomson Reuters Datastream. Excess returns were then calculated and processed to obtain descriptive and inferential statistics. The optimal weights of gold and the other precious metals in an investment portfolio were calculated under the optimization framework of maximization of the Sharpe ratio where reward to volatility is highest. The calculations were performed for eight different holding periods. Results show near 0, or weak positive correlations between Swedish domestic equity and gold during the examined periods. On stand-alone basis, gold is superior to other precious metals in most of the studied periods, but all three precious metals have potential to function as diversifiers in an investment portfolio that is only devoted to Swedish domestic equities. Therefore, weightings of 9% gold, 12% silver and 9% platinum are preferred to improve the performance of the Swedish equity portfolio. However, the Sharpe ratio does not take into account the ethics of investing and possible environmental and social consequences. Therefore, the suggested allocation of gold in this study may not be a sustainable investment at long term.

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Работа состоит из трех глав, введения, заключения, списка использованных источников и приложения. В ходе первой главы были рассмотрены теоретические аспекты формирования и оценки эффективности инвестиционного портфеля. Во второй главе была представлена характеристика Российского фондового рынка, составлен инвестиционный портфель неквалифицированного инвестора с использованием консервативной стратегии и был проведён его анализ. В третьей главе исследования автором были предложены рекомендации по формированию, реструктуризации и повышению эффективности уже сформированного портфеля ценных бумаг. В заключении сделаны выводы по трем главам. / The work consists of three chapters, introduction, conclusion, list of references and applications. During the first chapter, the theoretical aspects of the formation and evaluation of the effectiveness of the investment portfolio were considered. In the second chapter, the characteristics of the Russian stock market were presented, an investment portfolio of an unqualified investor was compiled using a conservative strategy, and its analysis was carried out. In the third chapter of the study, the author proposed recommendations for the formation, restructuring and improving the efficiency of an already formed portfolio of securities. In conclusion, conclusions are drawn for three chapters.

One of risk measurements – Value-at-Risk (VaR) was analyzed in this work. Complete definition of VaR is presented and three classical calculation methods of it are examined: parametric, historical simulations, and Monte-Carlo generations. The main advantages and disadvantages of the application of VaR are reviewed. Correlation effect for two assets risk diversification is examined and Markowitz method for calculation of efficient frontier is presented. Analyzed methods were implemented in the program, which calculates the first moments of portfolio’s returns, correlations between different assets and for a given return adjust weights in a manner to minimize dispersion of portfolio’s returns. For every efficient portfolio VaR can be calculated at any confidence level. Created program was used to analyze three investment portfolios: one of generated data with normal distribution, one of LITIN-10 index stocks and one of OMX Vilnius index stocks. Efficient frontier for these portfolios and VaR for whole efficient frontier were calculated. We noticed difference between minimal VaR and minimal standard deviation portfolios, consequently three investment strategies were implemented. The best results for analyzed portfolios there achieved with minimized VaR strategy.

Magistro darbe susisteminus ir apibendrinus fundamentaliosios analizės ir vertybinių popierių portfelio formavimo metodologinius aspektus, atlikta NASDAQ OMX Vilnius vertybinių popierių rinkoje kotiruojamų vertybinių popierių atranka taikant fundamentaliąją analizę, kurios rezultatų pagrindu suformuoti optimalūs vertybinių popierių portfeliai. Šio magistro darbo pirmoje dalyje apţvelgiami fundamentaliosios analizės ir vertybinių popierių portfelio formavimo modelių metodologiniai aspektai. Antroje darbo dalyje atliktas pasaulio ir Lietuvos makroekonominės bei ekonominės situacijos atitinkamuose sektoriuose vertinimas taikant fundamentaliosios analizės principus. Atrinkti penki patraukliausi sektoriai teikiant pirmumą sektoriaus pelningumui ir po vieną įmonę iš sektoriaus tolimesnei finansinės veiklos analizei. Trečioje darbo dalyje fundamentaliosios analizės rezultatų pagrindu suformuotas optimalus investicinis vertybinių popierių portfelis taikant H. Markowitz ir W. Sharpe portfelio formavimo modelius. / In this master‘s work systematized and summarized fundamental analysis and portfolio formation methodological aspects, performed of NASDAQ OMX Vilnius securities in the market of quoted securities screening procedure using fundamental analysis, the basis of results of which formed the optimal securities portfolio.In the first part of this master work provides an overview of fundamental analysis and methodological aspects of securities portfolio formation models.In the second part there was accomplished the assesment of the World and Lithuania‘s macro-economic and economic situation in the corresponding segments using fundamental analysis principles.There was selected the five most attractive sectors, prioritising sector profitability, and one company from each sector for further financial practice analysis. In the third part, on the basis of fundamental analysis results, there was formed the optimal investment stock portfolio by H. Markowitz and W. Sharpe portfolio construction models.

The thesis includes the introduction of ways how to increase the value of personal finance. The major ways are the bank products, instruments of financial and capital market and real estates. The problem is descripted from the small investor's point of view.