Naslov
A Comparison of Basic and Extended Markowitz Model on Croatian Capital Market

Autori
Škarica, Bruna ; Lukač, Zrinka

Izvornik
Croatian operational research review (1848-0225) 3 (2012); 236-244

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
portfolio optimization; Markowitz model; expected return and risk; transaction costs

Sažetak
Markowitz' mean - variance model for portfolio selection, first introduced in H.M. Markowitz' 1952 article, is one of the best known models in finance. However, the Markowitz model is based on many assumptions about financial markets and investors, which do not coincide with the real world. One of these assumptions is that there are no taxes or transaction costs, when in reality all financial products are subject to both taxes and transaction costs – such as brokerage fees. In this paper, we consider an extension of the standard portfolio problem which includes transaction costs that arise when constructing an investment portfolio. Finally, we compare both the extension of the Markowitz' model, including transaction costs, and the basic model on the example of the Croatian capital market.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA