engleski

The selection of the optimal portfolio on the Croatian capital market

The contemporary theory of portfolio management as introduced by H. M. Markowitz which is a favourite subject of scientific and practical work all over the world, is based on observation of relative increase in the securities prices and the definition of return as their mathematical expectation, and risk as their variance. The mentioned definitions, along with some other assumptions, direct us to a solution of the problem of choosing the optimal securities portfolio, i.e. the choice of the optimal relation between return and risk. Programming in MATLAB, the above exemplified model was implemented on the Croatian capital market. The efficient portfolios, i.e. the efficient frontiers were calculated separately on the share market, separately on the bond market, and finally on the whole capital market observing therefore mixed portfolios. The whole calculation was completed and the results were compared between the years 2003 and 2004. Out of the total of the presented results we point out the one which verifies the fact that the formation of mixed security portfolios is the optimal choice for the investor who wants to avoid risk or minimize it.

portfolio mean and variance ; efficient frontier ; Croatian capital market

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