prikaz prve stranice dokumenta PRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA
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master's thesis
PRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA
Diplomski rad
Split: University of Split, Faculty of economics Split, 2017. urn:nbn:hr:124:059535
Škarica, Ana
University of Split
Faculty of economics Split

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Škarica, A. (2017). PRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA : Diplomski rad (Master's thesis). Split: University of Split, Faculty of economics Split. Retrieved from https://urn.nsk.hr/urn:nbn:hr:124:059535

Škarica, Ana. "PRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA : Diplomski rad." Master's thesis, University of Split, Faculty of economics Split, 2017. https://urn.nsk.hr/urn:nbn:hr:124:059535

Škarica, Ana. "PRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA : Diplomski rad." Master's thesis, University of Split, Faculty of economics Split, 2017. https://urn.nsk.hr/urn:nbn:hr:124:059535

Škarica, A. (2017). 'PRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA : Diplomski rad', Master's thesis, University of Split, Faculty of economics Split, accessed 01 December 2024, https://urn.nsk.hr/urn:nbn:hr:124:059535

Škarica A. PRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA : Diplomski rad [Master's thesis]. Split: University of Split, Faculty of economics Split; 2017 [cited 2024 December 01] Available at: https://urn.nsk.hr/urn:nbn:hr:124:059535

A. Škarica, "PRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA : Diplomski rad", Master's thesis, University of Split, Faculty of economics Split, Split, 2017. Available at: https://urn.nsk.hr/urn:nbn:hr:124:059535

Metadata
TitlePRIMJENA DONJE POLU-VARIJANCE NA REGIONALNA TRŽIŠTA KAPITALA : Diplomski rad
AuthorAna Škarica
MentorZdravka Aljinović (mentor)
MBZ: 202153
GranterUniversity of Split
Faculty of economics Split
Split
Defense date and country2017-11, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Quantitative Economics
Abstract
Cilj ovog rada je prikaz i usporedba dvaju modela optimizacije portfelja na regionalnim tržištima kapitala. U prvom dijelu rada analizirana je primjenjivost Markowitzeva modela na hrvatskom, slovenskom i srbijanskom tržištu kapitala. Markowitzev model temeljen je na pretpostavci da su prinosi dionica normalno distribuirani. Međutim, statističkim testovima je utvrđeno kako tjedni prinosi dionica na odabranim tržištima u promatranom periodu nemaju normalan oblik. Stoga se kao alternativna mjera rizika koristi donja polu-varijanca. Donja polu-varijanca za razliku od varijance u promatranje uzima samo one prinose koji su manji od očekivanog prinosa, te za njih računa prosječno kvadratno odstupanje. Rezultirajući efikasni portfelji dobiveni korištenjem donje polu-varijance se razlikuju od efikasnih portfelja izračunatih primjenom varijance.
Abstract (english)
The aim of this paper is to present and compare two portfolio optimization models on regional capital markets. The first part of the paper analyzes the applicability of the Markowitz model on the Croatian, Slovenian and Serbian capital markets. Markowitz's model is based on the assumption that stock returns are normally distributed. However, statistical tests have determined that weekly stock returns on selected markets in the observed period are not normal. Therefore, lower semi-variance is used as an alternative risk measure. The lower semi-variance, unlike the variance observes, takes only those yields that are lower than the expected yield, and the average quadratic deviation is calculated for them. The resulting efficient portfolios obtained by using the lower semi- variance differ from the efficient portfolios calculated using the variance.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:124:059535
Study programmeTitle: Business Studies
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2018-03-14 14:15:01