Abstract: The aim of the article is to assemble an optimal portfolio of chosen stocks of the Prague Stock Exchange. The Markowitz portfolio model is used. At first, Pearson correlation coefficients and covariance are calculated for the stocks ČEZ, KOMERČNÍ BANKA, TELEFÓNICA, UNIPETROL, NWR and PX Index in order to find the dependence measure from 2003-2012. These values are presented in a correlation matrix and covariance matrix. Yield, risk and yield to risk ratios are calculated for stocks and PX Index. The dependence between yield and risk of stocks as well as yield and risk of portfolios are found. Stocks have different weights in a portfolio. A set of possible portfolios and a set of efficient portfolios are assembled for various combinations of five-component stock portfolios. Based on that, an optimal portfolio is assembled. This article brings a method that can be used by investors and other subjects of the financial market while deciding to what stocks to invest in.
Authors: Radim Gottwald
Keywords: management stock portfolio, market portfolio, Stock Exchange index, Stock Exchange