PORTFOLIO OPTIMIZATION ON CROATIAN CAPITAL MARKET
Journal Title: UTMS Journal of Economics - Year 2013, Vol 4, Issue 3
Abstract
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%.
Authors and Affiliations
Zoran Ivanovic, Suzana Baresa, Sinisa Bogdan
Keywords
Related Articles
- EP ID EP273996
- DOI -
- Views 129
- Downloads 0
VALUE-ADDED TAX AND ITS EFFICIENCY: EU–28 AND TURKEY
This paper analyses value-added tax (VAT), with special emphasis on efficiency in the EU-28 Member States and Turkey, over the period from 2009 to 2013. From the results of the analysis, we concluded that, the highest ef...
LIMITING FACTORS FOR THE DEVELOPMENT OF THE SERBIAN HOSPITALITY INDUSTRY
Heterogeneity and complexity determine multidisciplinary approach to the hospitality research. Identification and analysis of limited hospitality development factors imply very complex scientific approach. Case study met...
OBSTACLES TO IMPLEMENTATION OF SOLVENCY II REGIME IN NONLIFE INSURANCE COMPANIES IN BOSNIA AND HERZEGOVINA
Aimed at protection of the market and consumers, the control of solvency is very important for insurer’s business activities. Regarding the fact that insurer’s insolvency causes a chain of problems, the state regulation...
CORPORATE MOTIVES FOR PUBLIC SHARES OFFERING DURING THE FINANCIAL CRISIS
Despite greater constraints for obtaining bank loans, public shares’ offerings ceased in the SEE region since the onset of the financial crisis in 2008. With scarce IPOs and SEOs as well as debt offerings, Croatian capit...
FORECASTING INTERNATIONAL TOURISM DEMAND: THE EVIDENCE OF MACEDONIA
The paper makes an attempt to provide estimation of foreign tourism demand by 2014, by investigating the case of Macedonia. The author applies the Box-Jenkins methodology and tests several alternative specifications in t...