Naslov
POSSIBILITIES OF APPLYING MARKOWITZ PORTFOLIO THEORY ON THE CROATIAN CAPITAL MARKET

Autori
Pekanov Starčević, Dubravka ; Zrnić, Ana ; Jakšić, Tamara

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
INTERDISCIPLINARY MANAGEMENT RESEARCH XV / Barković, Dražen ; Crnković, Boris ; Zekić Sušac, Marijana ; Dernoscheg Karl – Heinz ; Pap, Norbert ; Wentzel, Dirk - Opatija : Josip Juraj Strossmayer University of Osijek, Croatia ; Faculty of Economics in Osijek, Croatia ; Postgraduate doctoral Study Program in Management, Croatia ; Hochschule Pforzheim University, Germany ; Croatian Academy of Sciences and Arts, 2019, 520-538

Skup
15th International Conference on Interdisciplinary Management Research (IMR 2019)

Mjesto i datum
Opatija, Hrvatska, 16.05.2019. - 18.05.2019

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
stock portfolio, Croatian capital market, Markowitz portfolio optimisation model, risk diversification, efficient frontier

Sažetak
In order to achieve the maximum possible profit by taking the lowest possible risk, investors build a stock portfolio consisting of a specific number of stocks which, according to the principle of diversification, significantly reduce the risk of loss. To build a portfolio, in developed capital markets investors have used the Markowitz portfolio optimisation model for many years that enables us to find an optimal risk-return trade-off by selecting certain stock combinations. Despite the development of Zagreb Stock Exchange, i.e., the central trading venue in the Republic of Croatia, the Croatian capital market is still underdeveloped. It is characterised by numerous shortcomings such as low liquidity, lack of transparency, high stock price volatility and insufficient traffic. Accordingly, the aim of this paper is to provide an insight into the functioning of the Croatian capital market and to examine the possibility of building an optimal stock portfolio by using the Markowitz model. The analysis was carried out on a sample of seventeen stocks of companies listed on Zagreb Stock Exchange, which were taken for analysis on the basis of the following criteria: liquidity, affiliation to certain sectors and a positive financial result. The results have shown that underdeveloped capital markets, like the Croatian capital market, have some shortcomings that are, to a greater or lesser extent, problems in the proper application of the Markowitz model.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA