| Abstract [eng] |
The dissertation deals with the scientific problem, in order to assess what are the theoretical assumptions of the investment portfolio formation using the asset allocation strategies, and how to take effective decisions of investment portfolio formation. In the first chapter of the dissertation, the main theoretical aspects of investment portfolio asset allocation, market risk assessment, value investment are examined and summarized. It presents perspectives of different researchers on the asset allocation, risk assessment, the assessment of the stock's attractiveness. In the second chapter of the dissertation, an investment portfolio formation pattern based on asset allocation is framed, empirical phases of the investigation are discussed, applicable methods are selected and justified. The third section of the paper presents results of the empirical research carried out. The dissertation research covers a period of 24 years and two business cycles. Intermarket analysis strategy testing is carried out by investing in different financial markets, as well as testing of value investment and low volatility anomaly strategy synergy. The intermarket analytical study has shown that evaluation of mutual attractiveness of the financial markets helps improving the attractiveness of the investment portfolio. The stock market investigation confirmed the efficiency of use of the market risk assessment indicators, however, rejected the impact of low volatility anomaly on the investment portfolio results. |
