Jméno a Příjmení: Rega Hofová Typ studia: Kombinovaná Program: Ekonomika podnikání v obchodě a službách Obor: Ekonomika a management Os. Číslo: o137777 B = od 27.05.2015 z 90 obchodovatelných dnů PF-35 dnů ##### Sheet/List 2 ##### Denní ceny akcií na BCPP 35-denní výnosy akcií Raiffeisenbank a.s. 1.3% 0.013 0.001246575 datum obchodování O2 C.R. - BAATELEC PEGAS NONWOVENS SAA - BAAPEGAS PLG - BAAPLG PHILIP MORRIS ČR - BAATABAK STOCK SPIRITS GROUP - BAASTOCK t O2 C.R. - BAATELEC PEGAS NONWOVENS SAA - BAAPEGAS PLG - BAAPLG PHILIP MORRIS ČR - BAATABAK STOCK SPIRITS GROUP - BAASTOCK Raiffeisenbank a.s. 1 5/27/2015 177.6 772 179 10870 76.2 36 -0.366554 0.055699 0.063687 -0.015179 -0.023622 0.001247 2 5/28/2015 177.6 790 178 10859 75.3 37 -0.290822 0.046709 0.071910 -0.010130 -0.010624 0.001247 3 5/29/2015 177.6 800 179.15 10860 75.3 38 -0.288851 0.035000 0.063355 -0.011050 -0.015272 0.001247 4 6/1/2015 69.2 829.8 179 10888 75.65 39 0.857659 -0.003374 0.064246 -0.014511 -0.017845 0.001247 5 6/2/2015 71 811.9 179 10849 76 40 0.723944 0.019830 0.072067 -0.009586 -0.023026 0.001247 6 6/3/2015 75.95 810 179.1 10749 75.2 41 0.581962 0.028025 0.064210 -0.001116 -0.013298 0.001247 7 6/4/2015 78.8 806 192 10783 74.9 42 0.640863 0.032258 0.000000 -0.003060 -0.010681 0.001247 8 6/5/2015 81.35 804 189.95 10810 73.5 43 0.691457 0.038557 0.003159 0.001110 0.002041 0.001247 9 6/8/2015 83.05 802.6 188.5 10799 74.1 44 0.692956 0.037877 0.018568 -0.007315 -0.010121 0.001247 10 6/9/2015 87.05 815 194 10777 73.9 45 0.611717 0.026994 -0.007732 -0.002505 0.001353 0.001247 11 6/10/2015 88 823 191.9 10790 73.9 46 0.643750 0.008505 0.009380 0.000927 0.006766 0.001247 12 6/11/2015 90.5 820.9 190.1 10842 76 47 0.586740 -0.003533 0.021568 -0.011253 -0.023684 0.001247 13 6/12/2015 90.1 806 191 10805 74.3 48 0.612653 0.006203 0.016230 -0.009718 0.002692 0.001247 14 6/15/2015 94.55 809.4 191.7 10597 74.5 49 0.541512 0.001977 0.010433 0.013023 -0.018792 0.001247 15 6/16/2015 96 808.9 189.7 10644 74 50 0.520833 -0.001854 0.027148 0.014374 0.000000 0.001247 16 6/17/2015 97 819.9 191 10750 74 51 0.496392 0.001464 0.020681 0.002791 0.009459 0.001247 17 6/18/2015 96 817 190.05 10600 73.7 52 0.494792 0.000122 0.024993 0.015472 0.004071 0.001247 18 6/19/2015 94.5 829 189.2 10450 74.75 53 0.524868 -0.005066 0.020085 0.028612 -0.005351 0.001247 19 6/22/2015 97 819 189.1 10800 74.2 54 0.496392 0.013431 0.021946 -0.000926 -0.013477 0.001247 20 6/23/2015 97.6 810 190.4 10799 73.25 55 0.536885 0.028148 0.016282 0.002871 -0.004096 0.001247 21 6/24/2015 98.3 807 189.2 10746 74 56 0.656155 0.052045 0.035412 0.009399 -0.018919 0.001247 22 6/25/2015 101.6 807.9 189.2 10777 73.6 57 0.560039 0.151133 0.035677 -0.006959 -0.026495 0.001247 23 6/26/2015 99.5 817.9 188.5 10748 72.85 58 0.585427 0.141215 0.038462 -0.004373 -0.014413 0.001247 24 6/29/2015 98.5 791.4 188.5 10622 72.95 59 0.604061 0.201668 0.039257 0.007343 -0.039068 0.001247 25 6/30/2015 97.5 826 188.5 10520 73.6 60 0.634359 0.153753 0.021220 0.042681 -0.038043 0.001247 26 7/1/2015 100.2 823.4 190.4 10511 74 61 0.621756 0.141365 0.013655 0.042717 -0.039189 0.001247 27 7/2/2015 101.4 824.9 190 10674 75.15 62 0.612426 0.127409 0.017368 0.021173 -0.019295 0.001247 28 7/3/2015 101 813.4 190 10650 75.1 63 0.683168 0.085321 -0.012632 -0.011737 -0.079228 0.001247 29 7/7/2015 101.5 806.1 188.95 10690 75 64 0.891626 0.158665 -0.006880 -0.001871 -0.029333 0.001247 30 7/8/2015 101.4 807.6 188.55 10500 73.9 65 0.987179 0.152551 0.007690 0.028571 -0.017591 0.001247 31 7/9/2015 100.9 806 190 10550 74.3 66 1.140733 0.151861 0.025789 0.028910 -0.048452 0.001247 32 7/10/2015 100.65 804 190.8 10501 73.3 67 1.256334 0.156592 0.004717 0.042282 -0.031378 0.001247 33 7/13/2015 101.65 809.9 189.5 10400 73.85 68 1.292179 0.135819 0.028496 0.063846 0.002031 0.001247 34 7/14/2015 102.3 815 190 10432 73.95 69 1.197458 0.094847 0.037895 0.062021 -0.033130 0.001247 35 7/15/2015 104.05 815 190 10550 73.9 70 1.066314 0.090798 0.027368 0.052133 -0.021651 0.001247 36 7/16/2015 112.5 815 190.4 10705 74.4 71 0.946667 0.098160 0.034139 0.073704 -0.026882 0.001247 37 7/17/2015 125.95 826.9 190.8 10749 74.5 72 0.716554 0.084774 0.031447 0.063634 -0.027517 0.001247 38 7/20/2015 126.3 828 190.5 10740 74.15 73 0.728424 0.074879 0.045669 0.052142 -0.034390 0.001247 39 7/21/2015 128.55 827 190.5 10730 74.3 74 0.696616 0.082225 0.044619 0.055918 -0.057201 0.001247 40 7/22/2015 122.4 828 191.9 10745 74.25 75 0.796569 0.084541 0.041167 0.060028 -0.047811 0.001247 41 7/23/2015 120.15 832.7 190.6 10737 74.2 76 0.854349 0.074817 0.038300 0.060725 -0.049865 0.001247 42 7/24/2015 129.3 832 192 10750 74.1 77 0.728538 0.069832 0.041406 0.059442 -0.045884 0.001247 43 7/27/2015 137.6 835 190.55 10822 73.65 78 0.620640 0.074850 0.049593 0.052301 -0.063136 0.001247 44 7/28/2015 140.6 833 192 10720 73.35 79 0.608819 0.076351 0.065104 0.062313 -0.045671 0.001247 45 7/29/2015 140.3 837 192.5 10750 74 80 0.629366 0.066906 0.064935 0.059256 -0.066892 0.001247 46 7/30/2015 144.65 830 193.7 10800 74.4 81 0.569305 0.084337 0.051110 0.045370 -0.071909 0.001247 47 7/31/2015 143.6 818 194.2 10720 74.2 82 0.550836 0.084963 0.056128 0.059049 -0.063342 0.001247 48 8/3/2015 145.3 811 194.1 10700 74.5 83 0.527873 0.093095 0.056672 0.064206 -0.051678 0.001247 49 8/4/2015 145.75 811 193.7 10735 73.1 84 0.517667 0.072750 0.058338 0.061947 -0.028728 0.001247 50 8/5/2015 146 807.4 194.85 10797 74 85 0.480822 0.072579 0.046446 0.055849 -0.051351 0.001247 51 8/6/2015 145.15 821.1 194.95 10780 74.7 86 0.481915 0.051029 0.043344 0.052690 -0.062249 0.001247 52 8/7/2015 143.5 817.1 194.8 10764 74 87 0.501742 0.052503 0.047228 0.058900 -0.040541 0.001247 53 8/10/2015 144.1 824.8 193 10749 74.35 88 0.477446 0.046193 0.065285 0.060378 -0.057162 0.001247 54 8/11/2015 145.15 830 193.25 10790 73.2 89 0.467447 0.035542 0.055627 0.064875 -0.046448 0.001247 55 8/12/2015 150 832.8 193.5 10830 72.95 90 0.420000 0.042147 0.050129 0.066482 -0.052776 0.001247 56 8/13/2015 162.8 849 195.9 10847 72.6 57 8/14/2015 158.5 930 195.95 10702 71.65 58 8/17/2015 157.75 933.4 195.75 10701 71.8 59 8/18/2015 158 951 195.9 10700 70.1 60 8/19/2015 159.35 953 192.5 10969 70.8 61 8/20/2015 162.5 939.8 193 10960 71.1 62 8/21/2015 163.5 930 193.3 10900 73.7 63 8/24/2015 170 882.8 187.6 10525 69.15 64 8/25/2015 192 934 187.65 10670 72.8 65 8/26/2015 201.5 930.8 190 10800 72.6 66 8/27/2015 216 928.4 194.9 10855 70.7 průměr 0.625817 0.068809 0.034589 0.028149 -0.029256 0.001247 67 8/28/2015 227.1 929.9 191.7 10945 71 rozptyl 0.092008 0.002635 0.000475 0.000889 0.000496 0.000000 68 8/31/2015 233 919.9 194.9 11064 74 69 9/1/2015 224.8 892.3 197.2 11079 71.5 70 9/2/2015 215 889 195.2 11100 72.3 71 9/3/2015 219 895 196.9 11494 72.4 O2 C.R. - BAATELEC PEGAS NONWOVENS SAA - BAAPEGAS PLG - BAAPLG PHILIP MORRIS ČR - BAATABAK STOCK SPIRITS GROUP - BAASTOCK Raiffeisenbank a.s. 72 9/4/2015 216.2 897 196.8 11433 72.45 O2 C.R. - BAATELEC 0.092008 0.006037 -0.002616 0.003030 -0.000377 0.000000 73 9/7/2015 218.3 890 199.2 11300 71.6 PEGAS NONWOVENS SAA - BAAPEGAS 0.006037 0.002635 -0.000121 0.000448 -0.000416 0.000000 74 9/8/2015 218.1 895 199 11330 70.05 PLG - BAAPLG -0.002616 -0.000121 0.000475 0.000200 -0.000175 0.000000 75 9/9/2015 219.9 898 199.8 11390 70.7 PHILIP MORRIS ČR - BAATABAK 0.003030 0.000448 0.000200 0.000889 -0.000379 0.000000 76 9/10/2015 222.80 895.00 197.90 11389.00 70.50 STOCK SPIRITS GROUP - BAASTOCK -0.000377 -0.000416 -0.000175 -0.000379 0.000496 0.000000 77 9/11/2015 223.50 890.10 199.95 11389.00 70.70 Raiffeisenbank a.s. 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 78 9/14/2015 223.00 897.50 200.00 11388.00 69.00 79 9/15/2015 226.20 896.60 204.50 11388.00 70.00 80 9/16/2015 228.60 893.00 205.00 11387.00 69.05 81 9/17/2015 227.00 900.00 203.60 11290.00 69.05 82 9/18/2015 222.70 887.50 205.10 11353.00 69.50 83 9/21/2015 222.00 886.50 205.10 11387.00 70.65 84 9/22/2015 221.20 870.00 205.00 11400.00 71.00 85 9/23/2015 216.20 866.00 203.90 11400.00 70.20 86 9/24/2015 215.10 863.00 203.40 11348.00 70.05 87 9/25/2015 215.50 860.00 204.00 11398.00 71.00 88 9/29/2015 212.90 862.90 205.60 11398.00 70.10 89 9/30/2015 213.00 859.50 204.00 11490.00 69.80 90 10/1/2015 213.00 867.90 203.20 11550.00 69.10 ##### Sheet/List 3 ##### Markowitzův model Průměrné výnosy Ri O2 C.R. - BAATELEC PEGAS NONWOVENS SAA - BAAPEGAS PLG - BAAPLG PHILIP MORRIS ČR - BAATABAK STOCK SPIRITS GROUP - BAASTOCK Raiffeisenbank a.s. 0.625817 0.068809 0.034589 0.028149 -0.029256 0.001247 Kovarianční matice Sij O2 C.R. - BAATELEC PEGAS NONWOVENS SAA - BAAPEGAS PLG - BAAPLG PHILIP MORRIS ČR - BAATABAK STOCK SPIRITS GROUP - BAASTOCK Raiffeisenbank a.s. O2 C.R. - BAATELEC 0.092008 0.006037 -0.002616 0.003030 -0.000377 0.000000 PEGAS NONWOVENS SAA - BAAPEGAS 0.006037 0.002635 -0.000121 0.000448 -0.000416 0.000000 PLG - BAAPLG -0.002616 -0.000121 0.000475 0.000200 -0.000175 0.000000 PHILIP MORRIS ČR - BAATABAK 0.003030 0.000448 0.000200 0.000889 -0.000379 0.000000 STOCK SPIRITS GROUP - BAASTOCK -0.000377 -0.000416 -0.000175 -0.000379 0.000496 0.000000 Raiffeisenbank a.s. 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 Zi (skladba portfolia): 0.04364 0.04019 0.56331 0.00000 0.00000 0.35286 SUMA ZI: 1 Zi*kovarianční matice: 0.00278 0.00030 0.00015 0.00026 -0.00013 0.00000 Zadaný minimální výnos: 0.05 Vypočtený výnos: 0.0500 Minimální riziko: 0.0147 Bezrizikové aktivum: Raiffeisenbank a.s. "Komentář: Při zadaném 5 % výnosu bude skutečné riziko 1,47 %, naše portfolio dosahuje výnosu 5 % , 4,36% naší investice realizujeme ve prospěch akcie O2, 4,02% vložíme do akcií PEGAS, 56,33 % vložíme do akcií PLG a 35,29 % uložíme na účet Raiffeisenbank a.s." O2 C.R. - BAATELEC 4.36% PEGAS NONWOVENS SAA - BAAPEGAS 4.02% PLG - BAAPLG 56.33% PHILIP MORRIS ČR - BAATABAK 0.00% STOCK SPIRITS GROUP - BAASTOCK 0.00% Raiffeisenbank a.s. 35.29% Minimální riziko: 1.47% ##### Sheet/List 4 ##### Sharpeho model Průměrné výnosy Ri O2 C.R. - BAATELEC PEGAS NONWOVENS SAA - BAAPEGAS PLG - BAAPLG PHILIP MORRIS ČR - BAATABAK STOCK SPIRITS GROUP - BAASTOCK Raiffeisenbank a.s. 0.625817 0.068809 0.034589 0.028149 -0.029256 0.001247 Kovarianční matice Sij O2 C.R. - BAATELEC PEGAS NONWOVENS SAA - BAAPEGAS PLG - BAAPLG PHILIP MORRIS ČR - BAATABAK STOCK SPIRITS GROUP - BAASTOCK Raiffeisenbank a.s. O2 C.R. - BAATELEC 0.092008 0.006037 -0.002616 0.003030 -0.000377 0.000000 PEGAS NONWOVENS SAA - BAAPEGAS 0.006037 0.002635 -0.000121 0.000448 -0.000416 0.000000 PLG - BAAPLG -0.002616 -0.000121 0.000475 0.000200 -0.000175 0.000000 PHILIP MORRIS ČR - BAATABAK 0.003030 0.000448 0.000200 0.000889 -0.000379 0.000000 STOCK SPIRITS GROUP - BAASTOCK -0.000377 -0.000416 -0.000175 -0.000379 0.000496 0.000000 Raiffeisenbank a.s. 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 Zi (skladba portfolia) 0.34544 0.00000 0.65456 0.00000 0.00000 0.00000 SUMA ZI: 1 Zi*Kov.mat.: 0.030071 0.002006 -0.000593 0.001177 -0.000245 0.000000 Horní hranice rizika: 0.10 Riziko vypočtené: 0.10 Maximální výnos: 0.2388 Bezrizikové aktivum: Raiffeisenbank a.s. "Komentář: Sharpeho model nám znázorňuje, že při zadaném riziku 10 % podstupujeme reálné riziko10 % s výnosem 23,88 % a investice vkládáme 65,46 % do akcií PLG a 34,54 % do akcií O2 C.R." O2 C.R. - BAATELEC 34.54% PEGAS NONWOVENS SAA - BAAPEGAS 0.00% PLG - BAAPLG 65.46% PHILIP MORRIS ČR - BAATABAK 0.00% STOCK SPIRITS GROUP - BAASTOCK 0.00% Raiffeisenbank a.s. 0.00% Maximální výnos: 23.88%