Maksimalaus pelno-rizikos santykio uždavinys /

The main subject of the final Bachelor thesis is the investment portfolio optimization problem, which has the objective to maximise profit-risk ratio by using a methods of the linear algebra and Harry Markowitz modern portfolio theory. By the time world is noticeably modernizing and the global economy prospers rapidly, the size of investment flows and financial budgets is constantly increasing, and this leads to an increased importance level of investment in the daily world. Both management and investment of the budget consist of the multitude different factors, therefore the modern portfolio theory was introduced to the world with the primary aim of optimizing the investment portfolio by the United States Economist Harry Markowitz. Another extremely important person in a development of the problem of portfolio optimization problem is the US economist William F. Sharpe, who found a way how to optimize the investment portfolio by maximizing the relationship between portfolio return and risk and this profit-risk coefficient is called Sharpe ratio. The theoretical part of the thesis provides an overview of the mathematical factors that influence the portfolio optimization problem. The statements of modern portfolio theory will also be introduced which along with the methods of the linear algebra will help to formulate the maximization problem of the profit-risk ratio. In the practical part of the thesis I will motivate the statements provided in the theoretical part and using the historical stock exchange data of the three Baltic companies, I will form the investment portfolio by three risky assets and after all I will optimize the investment portfolio by finding the maximum value of profit-risk ratio.

Grantor dc:publisher

Institutional Repository of Vilnius University

Year dc:date

2019

Author dc:creator

• Bareika, Edvinas,

Contributors dc:contributor

• Grigutis, Andrius

Statement dc:rights

• info:eu-repo/semantics/openAccess

Language dc:language

lit

Repository record dc:identifier

https://repository.vu.lt/VU:ELABAETD81704598&prefLang=en_US

OAI identifier oai:identifier

oai:vu.lt:elaba:81704598