| Abstract [eng] |
The main purpose of this master thesis is to determine companies and using their historical data form equally weighted, maximum Sharpe, minimal risk and maximum return investment portfolios. Evaluate all portfolios returns, expected loss and factors that could affect results. The work consists of three main parts: the analysis of literature, the research and its results, conclusion and recommendations. After the literature analysis author determined main investment portfolio diversification and formation aspects. Correlation analysis indicated that the interrelation between 17 largest companies from Nasdaq Baltic stock market does not exceed medium level. Autocorrelation, Ljung-BOX Q test, autoregression and quantile regression results demonstrated that for 9 out of 17 companies could be applicable weak form of market efficiency. Based on the results of technical analysis, 4 companies were selected to form equally weighted, maximum Sharpe, minimal risk and maximum return portfolios. In the case of every portfolio was calculated historical Value at Risk coefficients. Also, in the case of every company stock return using regression analysis was determined if calendar anomalies like week, month or quarter of year effects could appear. To conduct the research closing prices of shares of companies listed on the Nasdaq Baltic stock market was used. Data period included prices from 2021-12-30 to 2025-12 30. Calculations and analysis were made using Microsoft Excel, Jamovi, Gretl software and MarketScreener platform. Research revealed that for period from 2021-12-30 to 2025-12-30 investment portfolios mostly generated positive returns which changed depending on asset wights in portfolio. Analysis of period until 2026-04-30 showed that portfolios lost in value. Further research has shown that for changes in the shares prices of Baltic state companies are common calendar anomalies. In conclusions and recommendations are summarized main concepts of literature analysis and research results. The author believes that research results could be useful in formation and management of investment portfolio from Baltic states companies shares. |
