Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj

Jakšić, Tamara

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master's thesis

Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj

Osijek: Josip Juraj Strossmayer University of Osijek, Faculty of Economics in Osijek, 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

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APA 6th Edition

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

MLA 8th Edition

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

Chicago 17th Edition

Harvard

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 18 April 2024, https://urn.nsk.hr/urn:nbn:hr:145:282257

Vancouver

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 April 18] Available at: https://urn.nsk.hr/urn:nbn:hr:145:282257

IEEE

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

Cite this item: https://urn.nsk.hr/urn:nbn:hr:145:282257

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Metadata

Title	Analiza primjene Markowitzevog modela na tržištu kapitala u Republici Hrvatskoj
Title (english)	Analysis of application of Markowitz model on the Croatian capital market
Author	Tamara Jakšić
Mentor	Dubravka Pekanov Starčević (mentor)
Committee member	Dubravka Pekanov Starčević (predsjednik povjerenstva)
Committee member	Ivana Fosić (član povjerenstva)
Committee member	Ivo Mijoč (član povjerenstva)
Granter	Josip Juraj Strossmayer University of Osijek Faculty of Economics and Business in Osijek (Chair of Finance and Accounting) Osijek
Defense date and country	2019-06-10, 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)
Language	croatian
URN:NBN	urn:nbn:hr:145:282257
Study programme	Title: Financial Management Study programme type: university Study level: graduate Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resource	Text
File origin	Born digital
Access conditions	Access restricted to students and staff of home institution
Terms of use
Repository	EFOS REPOSITORY
Created on	2019-07-15 10:44:11

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