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Thursday, 17 September, 2026
Master´s Thesis Defense Presentations September 2026
Defense Committee: Jan Zápal, Teresa Freitas-Monteiro, Ole Jann
10:00
Oganesyan Robert: Comparison of Simple and Advanced ETF Portfolio Allocation Strategies across Major World Regions and Economic Sectors for a Retail Investor
11:00
Kaucký Richard: Fiscal Policy in the Context of an Aging Population: The Case of the Czech Republic
12:00
Yeghoyan Milena: The Effects of COVID-19 on the Global Economy: A Cross-country Comparison
14:00
Orujova Nurana: Macroeconomic Responses to the 2014 - 2016 Oil Price Decline in Oil-Exporting Economies: A Cross-Country Event Study
15:00
Balakishiyeva Elnara: Energy Prices and Macroeconomic Adjustments in European Industrial Sectors, 1995-2011
Oganesyan Robert
Abstract:
This thesis examines whether advanced portfolio optimization methods applied to ETFs outperform simple investment rules for a retail investor. The analysis uses a growing universe of 71 ETFs covering international and sector equities, factor exposures, U.S. Treasuries, commodities, and listed real estate. Portfolios are formed monthly using only information available at the time.
The study first compares simple allocation rules with minimum-variance, equal risk contribution, maximum diversification, and mean–variance strategies. It then tests whether macroeconomic and financial information improves allocation by comparing macro-informed strategies with otherwise comparable models based only on historical returns or unconditional return moments. Finally, all strategies are evaluated under a retail constraint implementation with regular monthly contributions and transaction costs, and their terminal wealth is compared with 1,000 randomly constructed ETF investment paths.
The results show selective rather than general benefits from greater sophistication. Equal risk contribution provides the strongest overall balance of risk-adjusted performance, wealth accumulation, diversification, and implementation cost. Macroeconomic information adds value mainly in the regimeconditioned sleeve strategy, while the Black–Litterman results are weak and sensitive to the specification. None of the leading strategies reaches the upper tail of the Random DCA distribution, showing that simple and transparent allocation remains highly competitive.
