Thesis (doctoral)--Universität zu Köln, 1971. / Includes bibliographical references (p. ix-xix).

Thesis (Ph. D.)--University of Texas at Austin, 1999 / Vita Includes bibliographical references (p. 202-206)

Thesis (Ph. D.)--University of Texas at Austin, 1999. / Vita. Includes bibliographical references (leaves 202-206). Available also in a digital version from Dissertation Abstracts.

Vertybinių popierių rinka Lietuvoje yra labai jauna ir besivystanti. Investavimas, kaip verslo forma, daug kam atrodo nepatikimas, todėl nėra populiarus. Tuo tarpu vakarų šalyse, kur vertybinių popierių rinka gyvuoja šimtmečius, investavimas į vertybinius popierius laikomas vienu iš geriausių būdų išsaugoti savo kapitalą nuo infliacijos bei jį padidinti. Investicinis portfelis tai ir yra tas instrumentas, kurio pagalba investuotojas užsitikrina didesnes pajamas, esant mažesniam rizkos laipsniui. Baigiamajame magistro darbe „Vertybinių popierių portfelio analizė ir įvertinimas“ nagrinėjama vertybinių popierių portfelio formavimo ir valdymo proceso svarba ir ypatumai, vertybinių popierių rinkos vaidmuo finansų sistemoje, pagrindinės portfelinio investavimo prielaidos bei investuotojų tikslai ir tipai. Taip pat išanalizuota vertybinių popierių portfelio rizikos rūšys bei investuotojo rizikos toleravimo vertinimai. Trumpai apžvelgti pagrindiniai vertybinių popierių portfelio optimizavimo modeliai. Išanalizavus ir įvertinus pagrindines investicinio portfelio teorijas, pasiūlyta jo formavimo bei valdymo schema. Darbą sudaro: įvadas; trys nagrinėjami skyriai (vertybinių popierių vaidmuo finansų sistemoje bei investavimo prielaidos; vertybinių popierių portfelio planavimo ypatumai; investicinio portfelio analizė ir įvertinimas Baltijos šalių vertybinių popierių rinkoje); išvados ir pasiūlymai; literatūros sąrašas ir priedai. / The market of securities in Lithuania is very young and in the process of development. Investment as a business form seems to be unreliable therefore it is not popular. Meanwhile in Western countries where the market of securities has existed for hundreds of years, investment in securities is considered to be one of the best ways to guard capital against inflation and to increase it. The investment portfolio is just the instrument with the help of which the investor will guarantee for himself a large income under lower risk. The final master thesis „Analysis and Evaluation of Securities Portfolio“ deals with the importance and peculiarities of securities portfolio formation and management process, the role of the securities market in the financial system, the basic preconditions of portfolio investment and the aims and types of investors. There is also the analysis of the types of risk of a securities portfolio and evaluation of investor‘s risk tolerance in the work. The basic models of optimization of securities portfolio are briefly described. Having analyzed and evaluated the main theories of investment portfolio, the scheme of it‘s formation and managment was suggested. The thesis comprises: introduction; three analytical chapters (the role of securities in the financial system and investment preconditions; peculiarities of securities portfolio planning; analysis and evaluation of investment portfolio in the Baltic States market of securities); conclusions and... [to full text]

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.

The thesis deals with modern portfolio theory. The theoretical part of the thesis describes the historical development of portfolio optimization and presents the basic theoretical background of the Markowitz model, the Tobin model and the Capital asset pricing model. In the practical part of the thesis, the models are applied to real data from two Czech securities markets, PSE and RM-S. An optimal portfolios composition is proposed by the three models mentioned above and then the outputs of the models are compared to the real datas from the next period. Finally, the benefits and drawbacks of the used models are evaluated.