engleski

Heuristic Approach for Determining Efficient Frontier Portfolios with More than Two Assets, the Case of ZSE

Existing literature usually shows efficient portfolio computations based on two assets, while situations with more than two assets are presented more generally without detailed computations. The goal of this paper is to exhibit computation of minimal variance portfolio and efficient portfolio frontier when there are more than two assets, by using matrix algebra applied on chosen stocks listed on Zagreb Stock Exchange. The research shows that, because of low correlation of underlying assets, it is possible to significantly reduce risks of investments by constructing portfolio of the stocks. It also shows that, if restriction on short selling are imposed this significantly reduces the possibility for diversification.

Efficient portfolio, Minimum variance portfolio, Portfolio frontier, ZSE

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