Thesis (Ph. D.)--UCLA, 2006. / Vita. Includes bibliographical references.

Thesis (Ph.D. (Econometrics))-University of Pretoria, 2005. / Abstract in English. Includes bibliographical references. Available on the Internet via the World Wide Web.

The diploma thesis deals with energy commodities investments. The content of thesis is trough analysis of markets to identify key factors affecting supply, demand and prices of energy commodities. By correlation analysis examines the relationships between energy commodities, stocks and the business cycle. Processing time series models create predictions of energy commodities prices. Using the Value at Risk method to quantify the risk, which investor has to accept in the case of investing in energy commodities. In conclusion, based on the results obtained, formulates investment recommendation.

01 Abstract: This thesis is concerned with the robust methods in portfolio theory. Different risk measures used in portfolio management are introduced and the corresponding robust portfolio optimization problems are formulated. The analytical solutions of the robust portfolio optimization problem with the lower partial moments (LPM), value-at-risk (VaR) or conditional value-at-risk (CVaR), as a risk measure, are presented. The application of the worst-case conditional value-at-risk (WCVaR) to robust portfolio management is proposed. This thesis considers WCVaR in the situation where only partial information on the underlying probability distribution is available. The minimization of WCVaR under mixture distribution uncertainty, box uncertainty, and ellipsoidal uncertainty are investigated. Several numerical examples based on real market data are presented to illustrate the proposed approaches and advantage of the robust formulation over the corresponding nominal approach.

This thesis deals with methods of stochastic programming and their application in financial investment. Theoretical part is devoted to basic terms of mathematical optimization, stochastic programming and decision making under uncertainty. Furter, there are introduced basic principles of modern portfolio theory, substantial part is devoted to risk measurement techniques in the context of investment, mostly to the methods Value at Risk and Expected shortfall. Practical part aims to creation of optimization models with an emphasis to minimize investment risk. Created models deal with real data and they are solved in optimization software GAMS.

Title: Portfolios behaviour on efficient and inefficient markets Author: Iveta Kováčová Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Jan Hurt, CSc., KPMS MFF UK Abstract: In this thesis we summarize the results concerning the construction of optimal portfolios. We introduce the geometric representation of the portfolios in the case that the assumptions about an efficient market are violated. We perform a technical analysis of the portfolio on the given data by using the program Mathematica 8.0. and compare an efficient set of the portfolio at different investment strategies.

Thesis (PhD) -- University of Western Sydney, 2001. / "June 2001" Bibliography: leaves 255 - 265.

Bakgrund och problemformulering: Investmentbolag är ett bolag vars affärsidé är att äga andra bolag. De har en betydande roll i samhället genom att bidra med kapital och att hjälpa driva etablerade företag framåt. I tidigare forskningssammanhang har andra liknande typer av bolag varit i fokus vilket orsakar ett gap i forskningen kring investmentbolag och riskhantering. Det här blir särskilt intressant att studera då investmentbolag har blivit en allt mer vanlig investering samtidigt som de beskrivs ha liknande riskspridning som en aktiefond. För att få en bredare förståelse om hur det skiljer sig mellan olika bolag och länder jämförs svenska investmentbolag med brittiska samt amerikanska investmentbolag.   Syfte: Syftet med denna uppsats är att analysera om investmentbolagens portföljer är effektiva.   Metod: Utgångspunkten i studien är den moderna portföljvalsteorin som utgår ifrån Markowitz tankar och menar att en effektiv portfölj inte enbart består av en lång rad med aktier. Det är i stället korrelationen mellan tillgångarna som är viktiga att ha i åtanke och den optimala portföljen är den mest effektiva samt har den högsta sharpekvoten. För att besvara studiens syfte jämförs den optimala portföljen men den faktiska portföljen och de bolag som har det minsta avståndet anses vara effektivast i sin riskhantering och vice versa.    Resultat: Resultaten visar att det finns förbättringar att göra för de allra flesta investmentbolag och det är ytterst få som håller en portfölj som är lika effektiv som den optimala portföljen. Det finns även skillnader mellan hur de olika investmentbolagen hanterar risker i portföljen och vilka typer av bolag som de investerar i, vilket främst är de brittiska investmentbolagen som främst skiljer sig från mängden. / Background and problematization: An investment company is a firm which business idea is to own other companies. It has a significant role in the society by contributing with capital and help already established companies forward. Within a research context other kind of companies with similar business ideas has been in focus which causes a gap in the research area regarding investment companies and risk management. This is especially interesting to study because investment companies have become a more common investment, meanwhile investment companies are described to have a similar risk diversification as an equity fund. To get a broader understanding on how it differs between different companies and countries a comparison is made between Swedish, British and American investment companies.   Purpose: The purpose of this paper is to analyze if investment companies manage an efficient portfolio.    Method: The main theory of this study is the modern portfolio theory which is based on Markowitz´s ideas of an efficient portfolio that does not only contain a long list of assets but instead consider the correlation between assets. According to this theory the optimal portfolio is the most efficient and has the highest sharperatio. To be able to achieve the purpose of this study the optimal portfolio will be compared to the investment companies’ actual portfolio. The companies with the smallest difference between these portfolios will be considered the most efficient regarding risk management and vice-versa.   Conclusion: The results show that there are room for improvements for most investment companies and there are extremely few that holds a portfolio that is as effective as the optimal portfolio. There are also differences between the companies regarding how they manage their portfolio risk and which types of companies they invest in. The British investment companies are those who stands out in this study.

This diploma thesis introduces the measures of network connectedness in the context of asset pricing. It proposes an asset pricing model in which the factor of connectedness is included as one of the risk factors together with the three Fama-French factors. The goal of the analysis is to examine whether the con- nectedness represents a signifcant risk factor that should be considered while determining the risk premium of the portfolio in diferent sectors in the market. Using the realized volatilities and returns of 496 assets of SP 500 index over the period 2005 - 2018, that are divided into 11 sectors, we frstly determine the linkages of connectedness between the assets in the same sector. Applying Fama-MacBeth two-step regression model, we explore the signifcance of the connectedness factor for the determination of the risk premium. We argue that the sector overall connectedness represents a signifcant risk in most of the sec- tors and should be therefore taken into account by the investors in all sectors. Moreover, the total directional connectedness that captures the spillover of shocks to one asset from the other assets in the sector, is a signifcant risk fac- tor that should increase the risk premium of the portfolio, especially in sectors such as the fnancial, health care, consumer...

The aim of my diploma thesis is to evaluate aspects of credit risk, particularly focused on the retail banking in Česká spořitelna a.s., where all the data come from. At first the thesis describes the background of Česká spořitelna a.s., bank products and credit process. Further there are explains the basic procedures for assessement of the state of company and portfolio monitoring. In the section devoted to banking risks there are specified bank risks and regulation of these risks from the perspective of the Basel Capital Accord. The remaining two theoretical parts describe methods that will be used to evaluate the risk of loans i.e. descriptive statistics and hypothesis testing. Introduction of empirical study describes the structure and over time of the loan portfolio evolution of retail banking. The remainder of the study is already focused on the analysis of credit risks from several points of view. In the first place there is examining the impact of legal form of organization and type of product on credit risk. Furthermore, evaluations of the riskiest sectors from subject come and ultimately verify the influence business plans of the branch network. My personal contribution is a notice on aspects which have proven negative effect on loan.