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master's thesis
Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj
2019. urn:nbn:hr:145:282257
Jakšić, Tamara
Josip Juraj Strossmayer University of Osijek
Faculty of Economics and Business in Osijek
Chair of Finance and Accounting

Cite this document

Jakšić, T. (2019). Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek. Retrieved from https://urn.nsk.hr/urn:nbn:hr:145:282257

Jakšić, Tamara. "Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj." Master's thesis, Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek, 2019. https://urn.nsk.hr/urn:nbn:hr:145:282257

Jakšić, Tamara. "Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj." Master's thesis, Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek, 2019. https://urn.nsk.hr/urn:nbn:hr:145:282257

Jakšić, T. (2019). 'Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj', Master's thesis, Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek, accessed 23 December 2024, https://urn.nsk.hr/urn:nbn:hr:145:282257

Jakšić T. Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek; 2019 [cited 2024 December 23] Available at: https://urn.nsk.hr/urn:nbn:hr:145:282257

T. Jakšić, "Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj", Master's thesis, Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek, Osijek, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:145:282257

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Metadata
TitleAnaliza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj
Title (english)Analysis of application of Markowitz model on the Croatian capital market
AuthorTamara Jakšić
MentorDubravka Pekanov Starčević (mentor)
Committee memberDubravka Pekanov Starčević (predsjednik povjerenstva)
Committee memberIvana Fosić (član povjerenstva)
Committee memberIvo Mijoč (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Faculty of Economics and Business in Osijek
(Chair of Finance and Accounting)
Osijek
Defense date and country2019-06-10, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Finance
Abstract
Ulaganje u dionice predstavlja jedan od najpopularnijih načina ostvarivanja brze i lake zarade. Međutim, takvo ulaganje nosi i određeni rizik gubitka investiranih sredstava. Racionalnim je investitorima u cilju ostvariti što veći prinos uz što manji rizik. Kako bi to postigli, moraju pronaći optimalan portfelj. Na razvijenim tržištima kapitala uobičajena je primjena Markowitzevog modela optimizacije portfelja. Model omogućuje pronalazak one kombinacije dionica koja obećava ostvarivanje najvećeg mogućeg prinosa uz onu razinu rizika koju je investitor spreman prihvatiti. Glavni cilj ovog rada jest analizirati primjenjivost modela na hrvatskom tržištu kapitala na kojem vladaju nesavršeni tržišni uvjeti. Analiza koja je provedena na uzorku od sedamnaest dionica poduzeća koje kotiraju na Zagrebačkoj burzi pokazala je kako je model primjenjiv na hrvatskom tržištu kapitala. Nakon izračuna svih varijabli potrebnih za primjenu modela, uspješno je kreirana efikasna granica. Također, uz pretpostavku konzervativnog investitora, odabran je optimalan portfelj koji se sastoji od pet različitih dionica i koji, uz prihvatljivu razinu rizika, obećava više nego zadovoljavajući prinos.
Abstract (english)
Investing in stocks represents one of the easiest and fastest ways to make money. However, such investments carry certain risk of losing invested capital. Every rational investor wants to acquire as higher as possible return with minimal risk. In order to achieve that, he has to find an optimal portfolio. On developed capital markets, it is common to use Markowitz portfolio optimization model. This model enables to find the right combination of stocks which gives the highest possible return with the certain rate of risk investor is willing to accept. The main goal of this paper is to analyse the applicability of the Markowitz model on undeveloped capital market as the Croatian capital market. Analysis, which is performed on a sample of seventeen stocks which are listed on Zagreb Stock Exchange, showed that this model is applicable on the Croatian capital market. After calculating all the variables needed for the application of the model, an efficient frontier was successfully created. Also, with the assumption of an conservative investor, an optimal portfolio which is consisted of five different stocks was chosen. That portfolio promises more than satisfying return with an acceptable level of risk.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:145:282257
Study programmeTitle: Financial Management
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2019-07-15 10:44:11