Portfolio Optimization

završni rad

• Autor: Ante Gugić
• Mentor: Zrinka Lukač (mentor)
• Ustanova koja je dodijelila akademski / stručni stupanj: Sveučilište u Zagrebu; Ekonomski fakultet; (Katedra za matematiku); Zagreb
• Datum i država obrane: 2016-09-30, Hrvatska
• Znanstveno / umjetničko područje, polje i grana: DRUŠTVENE ZNANOSTI; Ekonomija; Ekonomska matematika i statistika

Sažetak

In this paper we will present the very essence of portfolio optimization accompanied with other key factors in the derivatives market. In a day to day fund and asset management, portfolio optimization tends to be one of the main tools for the manager and/or natural person. The deduction and prudent diversification of assets in a portfolio separates winners from losers in the capital market. First of all, stock investing must be considered as a form of savings. In the portfolio optimization example considered in this thesis I will not take into consideration any leverage. Short selling is NOT ALLOWED. First I will explain the mechanics of the futures market and the hedging strategies adjacent to it, then I will proceed to the section regarding portfolio optimization containing subsections regarding efficient portfolios, risk and return, security market line, optimization constraints and finally, the portfolio optimization example. Also, the appendix of this paper contains the excel spreadsheet with a portfolio optimization example comprised out of 10 stocks.

• Ključne riječi: portfolio optimization; financial institutions; financial markets; efficient portfolio; risk and return; security market line; optimization constraints
• Jezik: engleski
• URN:NBN: urn:nbn:hr:148:404912
• Studijski program: Naziv: Poslovna ekonomija na engleskom jeziku; Vrsta studija: sveučilišni; Stupanj studija: preddiplomski; Akademski / stručni naziv: sveučilišni/a prvostupnik/ prvostupnica(baccalaureus/ baccalaurea) ekonomije (univ. bacc. oec.)
• Vrsta resursa: Tekst
• Način izrade datoteke: Izvorno digitalna
• Prava pristupa: Pristup korisnicima matične ustanove
• Javna napomena: Ključne riječi dodijelio knjižničar. Keywords assigend by librarian.
• Datum i vrijeme pohrane: 2016-10-14 08:47:06