Pregled bibliografske jedinice broj: 632612
Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange
Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange // Zagreb international review of economics & business, 16 (2013), 1; 65-78 (podatak o recenziji nije dostupan, članak, znanstveni)
CROSBI ID: 632612 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange
Autori
Škrinjarić, Tihana
Izvornik
Zagreb international review of economics & business (1331-5609) 16
(2013), 1;
65-78
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
portfolio selection; optimization; Zagreb Stock Exchange; stocks; polynomial goal programming
Sažetak
The Modern Portfolio Theory (MPT) has started a revolution in academic and investors’ circles since 1950s. In spite of the popularity of Markowitz’s portfolio selection, many critiques have been emerging throughout the years. One of them is the non normality of empirical return distributions. Accordingly, models have been developed in order to incorporate the aforementioned non normality. This paper focuses on the role of these models and optimizes a model with incorporated portfolio higher moments on Zagreb Stock Exchange. The results indicate that incorporating higher moments into the analysis changes the results sustainably when compared to the initial model.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
