Primjena moderne teorije portfolija na Londonskoj burzi

professional thesis

• Author: Ivana Milić
• Mentor: Silvije Orsag (mentor)
• Committee member: Lidija Dedi (predsjednik povjerenstva)
• Committee member: Silvije Orsag (član povjerenstva)
• Committee member: Davor Zoričić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2016, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Economics of Entrepreneurship

Abstract

Moderna teorija portfolija započela je sa razvojem još 1952. godine radom nobelovca H.M. Markowitza o portfolio selekcijii i efikasnoj granici skupa mogućih portfolija da bi 1963. W.A. Sharpe i J. Lintner, neovisno jedan o drugome, razvili model procjene kapitalne imovine. Model dovodi očekivani prinos imovine u linearnu vezu sa varijablom prinosa tržišnog portfolija uvećanog za prinos na nerizičnu imovinu. Prema beta koeficijentu, imovinu je moguće svrstati u tri kategorije s obzirom na osjetljivost na tržišne promjene: agresivne, ravnotežne i defanzivne. Odluka o investiciji ovisit će o koeficijentu averzije prema riziku, odnosno položaju investitorove krivulje indiferencije. U radu se provelo istraživanje nad dionicama Londonske burze pri čemu je za aproksimaciju očekivanog prinosa tržišta izabran The Financial Times Stock Exchange 100 tržišni indeks. Empirijskom analizom izveli su se pravac tržišta kapitala i pravac tržišta vrijednosnog papira pri čemu su identificirane podcijenjene i precijenjene dionice. Postupak selekcije optimalnog portfolija prikazan je na primjeru tri stupnja averzije prema riziku. Model procjene kapitalne imovine je jednostavan što ga čini jednim od najpoznatijih modela koji se koriste u praksi. Kritike modela usmjerene su na rigidne pretpostavke i jednostavnost procjene očekivanog prinosa na temelju jedne varijable. Zadnji dio rada posvećen je statističkoj analizi signifikantnosti varijable tržišnog prinosa u regresijskom modelu s jednom nezavisnom varijablom.

Abstract (english)

Development of modern portfolio theory started back in 1952. with Nobel prize winning H.M. Markowitz paper on portfolio selection and efficient frontier of portfolio set. It continued with W.A Sharpe and J. Lintner independently work in 1963. which derived capital asset pricing model. Model describes linear relationship of expected return on asset and return of market portfolio increased by risk free asset yield. Assets are classified in three categories depending on their sensitivity towards market changes: aggressive, balanced and defensive. Finally, investment decision is made in line with risk aversion coefficient or investor's indifference curve position. Paper research has been conducted on London Exchange stocks with The Financial Times Stock Exchange 100 used as approximation of expected market portfolio return. Empirical analysis derived capital market line and security market line so underpriced and overpriced stocks could be identified. Portfolio selection process was performed on three examples of different risk aversion attitudes. Capital asset pricing model is simple and that makes it the most popular model used in practice. However, model critics are highlighting rigid assumptions and simplified valuation of stock based on one variable. The last part of paper is focused on statistical significance testing of the market return variable in simple linear regression model.

• Keywords: moderna teorija portfolija; model procjene kapitala imovine; financijska analiza; Londonska burza
• Language: croatian
• URN:NBN: urn:nbn:hr:148:049270
• Study programme: Title: Financial Analysis; Study programme type: university; Study level: postgraduate specialist; Academic / professional title: sveučilišni/a specijalist/specijalistica financijske analize (sveučilišni/a specijalist/specijalistica financijske analize)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to students and staff of home institution
• Public note: Ključne riječi dodijelio knjižničar.
• Created on: 2016-11-15 10:55:14