Primjena proširenog Markowitzevog modela na Zagrebačkoj burzi

master's thesis

• Title (english): Application of the extended Markowitz model on the Zagreb Stock Exchange
• Author: Luka Kurta
• Mentor: Krunoslav Puljić (mentor)
• Committee member: Denis Dolinar (član povjerenstva)
• Committee member: Ena Pecina (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2023-09-26, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Business Mathematics and Statistics

Abstract

Moderna teorija portfelja i Markowitzev model temelj su za donošenje investicijskih odluka. Teorija se oslanja na prinos, rizik i korelaciju kao osnovne varijable u procesu optimizacije portfelja. U širokoj je upotrebi na tržištima kapitala, iako izložena kritikama zbog ograničenja modela. Jedna od pretpostavki modela podrazumijeva nepostojanje transakcijskih troškova prilikom kupnje ili prodaje vrijednosnica. Model ujedno podrazumijeva prisutnost normalne distribuciju prinosa. Obje pretpostavke ne odgovaraju realnim uvjetima na hrvatskom tržištu kapitala. Dodatni ograničavajuć faktor je to što hrvatsko tržište kapitala karakterizira niska likvidnost i nerazvijenost. U ovom radu analizira se mogućnost uspješne primjene Markowitzevog modela proširenog transakcijskim troškovima na hrvatskom tržištu kapitala koristeći tržišni indeks CROBEX kao benchmark.

Abstract (english)

Modern portfolio theory and Markowitz model are the basis for making investment decisions. The theory relies on return, risk and correlation as basic variables in the portfolio optimization process. It is widely used in the capital markets, although it has been criticized due to the limitations of the model. One of the assumptions of the model implies the absence of transaction costs when buying or selling securities. The model also implies the presence of a normal distribution of returns. Both assumptions do not correspond to the real conditions on the Croatian capital market. An additional limiting factor is that the Croatian capital market is characterized by low liquidity and underdevelopment. This paper analyzes the possibility of successful application of the Markowitz model extended by transaction costs on the Croatian capital market using the CROBEX market index as a benchmark.

• Keywords: moderna teorija portfelja; transakcijski troškovi; hrvatsko tržište kapitala; Markowitz; prinos; rizik
• Keywords (english): modern portfolio theory; transaction costs; croatian capital market; Markowitz; return; risk
• Language: croatian
• URN:NBN: urn:nbn:hr:148:008155
• Study programme: Title: Business economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: sveučilišni magistar ekonomije/sveučilišna magistra ekonomije (sveučilišni magistar ekonomije/sveučilišna magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2023-09-26 10:40:45