Procjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa

master's thesis

• Title (english): Evaluation of efficient portfolios using components of a chosen CECE index
• Author: Marta Tušek
• Mentor: Davor Zoričić (mentor)
• Committee member: Davor Zoričić (predsjednik povjerenstva)
• Committee member: Denis Dolinar (član povjerenstva)
• Committee member: Ena Pecina (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2022-06-20, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Rad je usmjeren na modernu teoriju portfelja i suvremene mogućnosti primjene navedene teorije u praksi. Svrha rada je usporedba profitno-rizičnih obilježja CECE indeksa (temeljenog na tržišnoj kapitalizaciji) i procijenjenih alternativnih portfelja temeljem dionica koje su u njegovom sastavu. Kao alternativa ponderiranju tržišnom kapitalizacijom, koristi se procjena portfelja s najmanjom varijancom, portfelj s najvećim Sharpeovim omjerom te portfelj s jednakim udjelima. Svi analizirani portfelji ostvarili su bolje performanse od benchmark indeksa (CECE), a najbolje performanse ostvario je portfelj s najmanjom varijancom.

Abstract (english)

This paper focuses on the modern portfolio theory and its contemporary application in practice. The objective of this paper is to compare the risk-reward characteristics of the CECE capitalization-weighted index and the estimated alternative portfolios based on the same constituents. As an alternative to capitalization-weighting, Global Minimum Variance (GMV) portfolio, Maximum Sharpe Ratio (MSR) portfolio and Equally-Weighted (EW) portfolio are used. All analyzed portfolios achieved a better performance than the CECE index. Furthermore, the best performance was achieved by the Global Minimum Variance (GMV) portfolio.

• Keywords: moderna teorija portfelja; indeks temeljen na tržišnoj kapitalizaciji; portfelj s jednakim udjelima; portfelj s najmanjom varijancom; portfelj s najvećim Sharpeovim omjerom
• Keywords (english): modern portfolio theory; capitalization-weighted index; Global Minimum Variance portfolio; Maximum Sharpe Ratio portfolio; Equally-Weighted portfolio
• Language: croatian
• URN:NBN: urn:nbn:hr:148:131930
• 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: 2022-06-21 17:00:49