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master's thesis
Primjena proširenog Markowitzevog modela na Zagrebačkoj burzi
Zagreb: University of Zagreb, Faculty of Economics and Business, 2023. urn:nbn:hr:148:008155
Kurta, Luka
University of Zagreb
Faculty of Economics and Business
Department of Managerial Economics

Institutional repository: REPEFZG

Cite this document

Kurta, L. (2023). Primjena proširenog Markowitzevog modela na Zagrebačkoj burzi (Master's thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:008155

Kurta, Luka. "Primjena proširenog Markowitzevog modela na Zagrebačkoj burzi." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2023. https://urn.nsk.hr/urn:nbn:hr:148:008155

Kurta, Luka. "Primjena proširenog Markowitzevog modela na Zagrebačkoj burzi." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2023. https://urn.nsk.hr/urn:nbn:hr:148:008155

Kurta, L. (2023). 'Primjena proširenog Markowitzevog modela na Zagrebačkoj burzi', Master's thesis, University of Zagreb, Faculty of Economics and Business, accessed 27 August 2024, https://urn.nsk.hr/urn:nbn:hr:148:008155

Kurta L. Primjena proširenog Markowitzevog modela na Zagrebačkoj burzi [Master's thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2023 [cited 2024 August 27] Available at: https://urn.nsk.hr/urn:nbn:hr:148:008155

L. Kurta, "Primjena proširenog Markowitzevog modela na Zagrebačkoj burzi", Master's thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2023. Available at: https://urn.nsk.hr/urn:nbn:hr:148:008155

Metadata
TitlePrimjena proširenog Markowitzevog modela na Zagrebačkoj burzi
Title (english)Application of the extended Markowitz model on the Zagreb Stock Exchange
AuthorLuka Kurta
MentorKrunoslav Puljić (mentor)
Committee memberDenis Dolinar (član povjerenstva)
Committee memberEna Pecina (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
(Department of Managerial Economics)
Zagreb
Defense date and country2023-09-26, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Business Mathematics and Statistics
Abstract
Moderna teorija portfelja i Markowitzev model temelj su za donošenje investicijskih odluka. Teorija se oslanja na prinos, rizik i korelaciju kao osnovne varijable u procesu optimizacije portfelja. U širokoj je upotrebi na tržištima kapitala, iako izložena kritikama zbog ograničenja modela. Jedna od pretpostavki modela podrazumijeva nepostojanje transakcijskih troškova prilikom kupnje ili prodaje vrijednosnica. Model ujedno podrazumijeva prisutnost normalne distribuciju prinosa. Obje pretpostavke ne odgovaraju realnim uvjetima na hrvatskom tržištu kapitala. Dodatni ograničavajuć faktor je to što hrvatsko tržište kapitala karakterizira niska likvidnost i nerazvijenost. U ovom radu analizira se mogućnost uspješne primjene Markowitzevog modela proširenog transakcijskim troškovima na hrvatskom tržištu kapitala koristeći tržišni indeks CROBEX kao benchmark.
Abstract (english)
Modern portfolio theory and Markowitz model are the basis for making investment decisions. The theory relies on return, risk and correlation as basic variables in the portfolio optimization process. It is widely used in the capital markets, although it has been criticized due to the limitations of the model. One of the assumptions of the model implies the absence of transaction costs when buying or selling securities. The model also implies the presence of a normal distribution of returns. Both assumptions do not correspond to the real conditions on the Croatian capital market. An additional limiting factor is that the Croatian capital market is characterized by low liquidity and underdevelopment. This paper analyzes the possibility of successful application of the Markowitz model extended by transaction costs on the Croatian capital market using the CROBEX market index as a benchmark.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:148:008155
Study programmeTitle: 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 resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence Attribution-NonCommercial-ShareAlike 3.0 Unported (CC BY-NC-SA 3.0) icon
Created on2023-09-26 10:40:45