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Pregled bibliografske jedinice broj: 459250

Selection of the Optimal Portfolio by Multicriterial Model using Industry and Company Evaluation


Babić, Zoran; Marasović, Branka; Tomić-Plazibat, Neli
Selection of the Optimal Portfolio by Multicriterial Model using Industry and Company Evaluation // The business review, Cambridge, 12 (2009), 2; 63-71 (podatak o recenziji nije dostupan, članak, znanstveni)


CROSBI ID: 459250 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
Selection of the Optimal Portfolio by Multicriterial Model using Industry and Company Evaluation

Autori
Babić, Zoran ; Marasović, Branka ; Tomić-Plazibat, Neli

Izvornik
The business review, Cambridge (1553-5827) 12 (2009), 2; 63-71

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
finance; investment; portfolio optimization; multi-objective

Sažetak
This paper presents a Two-step model for selection of the optimal portfolio. In the first step of portfolio optimization we evaluate the industries to which the stocks belong. Evaluation of industries is carried out by a multicriteria model and the obtained result is the share of each industry in the optimal portfolio. Having conducted industry evaluation, in the second step of model optimization we evaluate the stocks within each single industry by multicriteria model and define the share of each company stock in the industry portfolio. Finally, based on the shares of industries in the portfolio calculated in the first step and the shares of company stock in the single industry portfolio calculated in the second step, we determine the share of each company stock in the total portfolio. The contribution of this model is in the possibility to select the criteria characteristic for a particular industry, which are non-existent in other industries and are unavoidable for evaluation of company stocks in that particular industry. Another contribution of this model is in the possibility to evaluate stocks by criteria whose mean values are different in different industries while avoiding mistakes occurring just because of different criteria mean values for a particular industry. The multicriterial method applied in this paper is based on the PROMETHEE approach. The selected model has been applied in Zagreb Stock Exchange (ZSE) as a real case.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Projekti:
055-0000000-1435 - Matematički modeli u analizi razvoja hrvatskog financijskog tržišta (Aljinović, Zdravka, MZOS ) ( POIROT)

Ustanove:
Ekonomski fakultet, Split


Citiraj ovu publikaciju:

Babić, Zoran; Marasović, Branka; Tomić-Plazibat, Neli
Selection of the Optimal Portfolio by Multicriterial Model using Industry and Company Evaluation // The business review, Cambridge, 12 (2009), 2; 63-71 (podatak o recenziji nije dostupan, članak, znanstveni)
Babić, Z., Marasović, B. & Tomić-Plazibat, N. (2009) Selection of the Optimal Portfolio by Multicriterial Model using Industry and Company Evaluation. The business review, Cambridge, 12 (2), 63-71.
@article{article, author = {Babi\'{c}, Zoran and Marasovi\'{c}, Branka and Tomi\'{c}-Plazibat, Neli}, year = {2009}, pages = {63-71}, keywords = {finance, investment, portfolio optimization, multi-objective}, journal = {The business review, Cambridge}, volume = {12}, number = {2}, issn = {1553-5827}, title = {Selection of the Optimal Portfolio by Multicriterial Model using Industry and Company Evaluation}, keyword = {finance, investment, portfolio optimization, multi-objective} }
@article{article, author = {Babi\'{c}, Zoran and Marasovi\'{c}, Branka and Tomi\'{c}-Plazibat, Neli}, year = {2009}, pages = {63-71}, keywords = {finance, investment, portfolio optimization, multi-objective}, journal = {The business review, Cambridge}, volume = {12}, number = {2}, issn = {1553-5827}, title = {Selection of the Optimal Portfolio by Multicriterial Model using Industry and Company Evaluation}, keyword = {finance, investment, portfolio optimization, multi-objective} }

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