Naslov
Minimum Mean Variance Portfolio of Croatian Stocks

Autori
Broz, Tanja ; Ridzak, Tomislav

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

Izvornik
Conference Proceedings. 65^th Anniversary Conference of the Institute of Economics Zagreb / Lovrinčević, Željko ; Mervar, Andrea ; Mihaljek, Dubravko ; Nušinović, Mustafa ; Radas, Sonja ; Starc, Nenad ; Švaljek, Sandra (head) ; Teodorović, Ivan - Zagreb : Ekonomski institut Zagreb, 2005, 699-709

Skup
65^th Anniversary Conference of the Institute of Economics Zagreb

Mjesto i datum
Zagreb, Hrvatska, 18.11.2004. - 19.11.2004

Vrsta sudjelovanja
Poster

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
capital market; portfolio; risk; return

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA