engleski

Multi-criterion approach versus Markowitz in selection of the optimal portfolio

In the paper we select an optimal portfolio on the Croatian capital market. First, selection is carried out using classic Markowitz model, which allows selection of the optimal portfolio, based upon the mean-variance (M-V) criterion. Second, we illustrate how the multi- criterion approach makes it possible to integrate, within the portfolio selection process, the conventional M-V criteria with other market criteria.

portfolio selection ; Croatian capital market ; efficient portfolio ; multi-criteria methods

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