Razvoj alata za analizu i optimizaciju portfelja

master's thesis

• Title (english): Tool development for portfolio analysis and optimization
• Author: Luka Drakulić
• Mentor: Silvija Vlah Jerić (mentor)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2023-09-26, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Tema ovog diplomskog rada razvoj je alata za analizu i optimizaciju portfelja. U suvremenom financijskom svijetu, upravljanje portfeljem postalo je ključni dio očuvanja i rasta kapitala. Važnost efikasnog upravljanja rizikom i optimizacije portfelja odražava se u sposobnosti investitora da postigne maksimalni povrat uz minimalni rizik. Stoga je cilj ovog rada razviti alat koji će omogućiti investitorima da analiziraju i optimiziraju svoje portfelje, a također će poslužiti i u edukativne svrhe. Alat koji će se razvijati u ovom radu koristit će podatke s hrvatskog tržišta kapitala, konkretno podatke sa Zagrebačke burze, čime se osigurava relevantnost i pouzdanost informacija za investitore u Hrvatskoj. Iako rad spominje koncepte i tehnike konstrukcije portfelja te algoritme optimizacije, fokus rada je na praktičnom doprinosu alata za analizu i optimizaciju portfelja. Alat će se razvijati u Dash Plotly tehnologiji, koja omogućuje kreiranje interaktivnih web aplikacija za analizu podataka i vizualizaciju rezultata. Programska knjižnica Riskfolio-Lib biti će korištena za provođenje analize i optimizacije portfelja, što omogućuje brzu i efikasnu implementaciju. Korisnici alata imati će mogućnost odabrati podatke i vremenski period za optimizaciju portfelja te analizirati rezultate kako bi donijeli informirane odluke o ulaganju. Uz to, alat će omogućiti bolje upravljanje rizicima. Dodatno, alat može biti koristan u edukativne svrhe, pomažući studentima i ostalim zainteresiranim pojedincima u razumijevanju osnova upravljanja portfeljem i optimizacije. U zaključku, ovaj diplomski rad ima za cilj pružiti značajan doprinos razumijevanju i primjeni tehnika analize i optimizacije portfelja u kontekstu hrvatskog tržišta kapitala. Razvijeni alat pomoći će investitorima u donošenju informiranih odluka o ulaganju, s posebnim naglaskom na podacima Zagrebačke burze, čime se povećava njegova praktična vrijednost za investitore u Hrvatskoj. Također, alat će služiti i kao vrijedan edukativni resurs za one koji žele naučiti više o upravljanju portfeljima i optimizaciji.

Abstract (english)

The topic of this master's thesis is the development of a portfolio analysis and optimization tool. In the modern financial world, portfolio management has become a crucial part of capital preservation and growth. The importance of efficient risk management and portfolio optimization is reflected in investors' ability to achieve maximum returns with minimal risk. Therefore, the aim of this thesis is to develop a tool that enables investors to analyze and optimize their portfolios, while also serving educational purposes. The tool developed in this thesis will utilize data from the Croatian capital market, specifically the data from the Zagreb Stock Exchange, ensuring relevance and reliability of information for investors in Croatia. Although the thesis mentions concepts and techniques of portfolio construction and optimization algorithms, the focus of the work is on the practical contribution of the portfolio analysis and optimization tool. The tool will be developed using Dash Plotly technology, which allows for the creation of interactive web applications for data analysis and result visualization. The Riskfolio-Lib software library will be utilized for conducting portfolio analysis and optimization, enabling fast and efficient implementation. Users of the tool will have the ability to select data and time periods for portfolio optimization and analyze the results to make informed investment decisions. Additionally, the tool will facilitate better risk management. Furthermore, the tool can be valuable for educational purposes, assisting students and other interested individuals in understanding the basics of portfolio management and optimization. In conclusion, this master's thesis aims to provide a significant contribution to the understanding and application of portfolio analysis and optimization techniques in the context of the Croatian capital market. The developed tool will assist investors in making informed investment decisions, with a particular emphasis on data from the Zagreb Stock Exchange, thereby increasing its practical value for investors in Croatia. Moreover, the tool will serve as a valuable educational resource for those seeking to learn more about portfolio management and optimization.

• Keywords: razvoj alata; analiza portfelja; optimizacija portfelja; rast kapitala; efikasno upravljanje rizikom
• Keywords (english): tool development; portfolio analysis; portfolio optimization; capital growth; efficient risk management
• Language: croatian
• URN:NBN: urn:nbn:hr:148:692731
• 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: Access restricted to students and staff of home institution
• Created on: 2023-09-29 17:30:32