| Abstract [eng] |
It has been approximately seven decades, after the first try to distinguish investment portfolio diversification and determine the optimal number of stocks. However, scientists agree only on one thing, investment portfolio diversification is vitally important in reducing investment risk and ensuring investment gains. Opinions on optimal stock number in the portfolio varies from less than ten up to hundreds of stocks. By diversifying their assets, investors trying to achieve two goals, decrease the risk of the portfolio and gain maximum returns. The problem with this is, that these two usually does not go together, and one of them has to be sacrificed. That is why it is essential to determine the optimal number of assets in the investment portfolio. By doing so, it is possible to distinguish the boundary, after which investor can expect most of the value with decreased risk. The main object of the paper is the resistance of non-systemic risk of diversified investment portfolios valuing through investment gains and risks measures. The main purpose is to evaluate means of diversification valuing their resistance to non-systemic risk and gains in long term investment horizon. In the first part of the paper, the main focus is literature analysis, in which the research oriented to diversification risks are reviewed. It is stated, that investment risks are influenced by the chosen market, how investment is distributed and how often if at all they are rebalanced. Also, ETF’s are distinguished as a good alternative to diversified portfolio formation. In the second part of the paper, reviews the theories and methods related to investment portfolio diversification. This part analyzes the differances between small and large investment portfolios and the advantages and disadvantages of diversification in foreign markets. It is generally accepted that the number of securities in an investment portfolio is strongly determined by commissions, the chosen region and the investment period. Finally, an analysis of the methods used in the research is carried out, in which CVaR is determined as the main standard to measure investment risk. The latter strength is that CVaR is able to measure investment losses by including worst case scenarios in the result. In the third part of the paper, methodology is formed, distinguishing how stocks will be selected and investment portfolios formed. Moreover, in this part of the paper it is determined how the return and risk of the investment portfolios will be evaluated. In the fourth part of the paper, a study of the returns and risks of the investment portfolios is carried out. From the selected stocks, 400 portfolios are formed. Half of them by random order, and the second half random, but maintaining a proportional distribution between sectors. The results are measured with SPY ETF, which is following S&P 500 index. After the research, some remarks can be made. To begin with, the biggest investment gains can be seen generated by randomly made investment portfolios. On average, sectored maintained investment portfolios were less profitable, but also, up to the 80 stocks, they were less risky than randomly made investment portfolios. However, after reaching this amount, randomly made investment portfolios becomes less risky and compared with SPY ETF, after reaching more than 90 stocks in the portfolio, they reach the same level of risk as ETF. |
