Nalazite se na CroRIS probnoj okolini. Ovdje evidentirani podaci neće biti pohranjeni u Informacijskom sustavu znanosti RH. Ako je ovo greška, CroRIS produkcijskoj okolini moguće je pristupi putem poveznice www.croris.hr
izvor podataka: crosbi !

Portfolio optimization on Croatian capital market (CROSBI ID 253185)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Ivanović, Zoran ; Bareša, Suzana ; Bogdan, Siniša Portfolio optimization on Croatian capital market // UTMS Journal of economics, 4 (2013), 3; 269-282

Podaci o odgovornosti

Ivanović, Zoran ; Bareša, Suzana ; Bogdan, Siniša

engleski

Portfolio optimization on Croatian capital market

Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory. Research systematically investigated the selection of securities, and defined the importance of using fundamental analysis when selecting the best combination of securities. Since fundamental analysis involves a large number of indicators, this paper selected key indicators that enable a complete and quick securities review on the market. This paper clarifies diversification effect and influence of the correlation coefficient on diversification. Two basic types of assets (stocks and cash funds) have been chosen to build the optimal portfolio. Cash funds were selected because they represent a form of risk-free investment, while stocks were chosen because of the high level of return which they achieve. At the end of paper, optimal portfolio was calculated with an excellent yield of 1.82% and deviation of 5.77% on a monthly basis which corresponds to the minimum deviation of the selected stocks. Calculated optimal portfolio achieves better expected value than investing in stock index CROBEX, which for the same period achieves the expected result of -0.02%

optimal portfolio, diversification, asset allocation, stock, cash fund, risk, fundamental analysis

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

nije evidentirano

Podaci o izdanju

4 (3)

2013.

269-282

objavljeno

1857-6974

1857-6982

Povezanost rada

Ekonomija

Poveznice