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Minimum Mean Variance Portfolio of Croatian Stocks

The purpose of this paper is to apply and test the concept of minimal mean variance models to Croatian market. The minimum mean variance models are one of the core ideas behind modern portfolio theory. These types of models are based on trade-off between risk and return. We are going to apply and test the model using data for Croatian securities. The idea is to form a sensible portfolio using theoretical postulates of minimum mean variance portfolio models. Further on, we are going to compare returns on our portfolio with market returns. Then we will conclude weather it is possible and sensible to apply this model on small market with short history like Croatian. The shares that will be taken into consideration will be picked according to liquidity criteria. So, we are not including stocks that are traded irregularly, but stocks that have some liquidity and transparency.

capital market; portfolio; risk; return

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