| Abstract [eng] |
This master’s final paper analyzes H. Markowitz (1952), J. Tobin (1958), W. Sharpe (1964), S. Ross (1976), G. Fama ir K. French (1993) theories, emphasizing the portfolio construction criteria and its optimization problems. The paper includes the practical aspects of the the modern portfolio theory application, estimating the portfolio selection and selected securities pricing points. It also analyzes the factors that influence the portfolio value, while searching for the ways to give them the quantitative repersenation.The paper estimates the risk and the return of the mutual funds managed and distributed by SEB VB Investment Management in 2005-2007m. and the fund portfolios are constructed for the conservative, rational and aggressive investors on the basis of the estimate results. The research enables to find the tangency portfolio on the capital allocation line, estimating the investors’ preferences. Furthermore, the paper solves the portfolio optimization task and it also gives the estimate of the maximum portfolio losses, using Monte Carlo simulation. The research results are important to every investor, contructing the portfolio with optimal risk/return trade-off. |
