Analiza portfelja dionica odabranih sastavnica CROBEXa upotrebom programskog jezika R

master's thesis

• Title (english): Analysis of the share portfolio of selected components of CROBEX using the R programming language
• Author: Goran Štefek
• Mentor: Mirjana Čižmešija (mentor)
• Committee member: Mirjana Čižmešija (predsjednik povjerenstva)
• Committee member: Petar Sorić (član povjerenstva)
• Committee member: Mihovil Anđelinović (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Finance); Zagreb
• Defense date and country: 2023-09-26, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Finance

Abstract

Cilj ovog rada je sastavljanje optimalnog portfelja s tri dionice sastavnice CROBEX indeksa u programskom jeziku R koristeći povijesne prinose u periodu između 20. srpnja 2023. godine i 31. kolovoza 2023. godine. Analiza će biti provedena po uzoru na Markowitzev standardni model. Rezultati analize ukazuju da se programskom jeziku R može sastaviti velik broj različitih kombinacija portfelja s većim očekivanim prinosom i nižim rizikom, mjerenim standardnom devijacijom, u odnosu na CROBEX indeks. Također će se ponuditi optimalni portfelji za konzervativnije investitore koji imaju veliku averziju prema riziku i za agresivnije investitore čija averzija prema riziku nije značajna.

Abstract (english)

The aim of this paper is to compile an optimal portfolio with three constituent stocks of the CROBEX index in the programming language R using historical returns in the period between July 20, 2023 and August 31, 2023. The analysis will be conducted according to Markowitz's standard model. The results of the analysis indicate that the programming language R can be used to compile a large number of different combinations of portfolios with a higher expected return and lower risk, measured by the standard deviation, compared to the CROBEX index. Optimal portfolios will also be offered for more conservative investors who have a high risk aversion and for more aggressive investors whose risk aversion is not significant.

• Keywords: optimalni portfelj; očekivani prinos; standardna devijacija; minimalna varijanca; programski jezik R
• Keywords (english): optimal portfolio; expected return; standard deviation; minimum variance; programming language R
• Language: croatian
• URN:NBN: urn:nbn:hr:148:065692
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2023-09-26 17:09:01