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master's thesis
Procjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa
Zagreb: University of Zagreb, Faculty of Economics and Business, 2022. urn:nbn:hr:148:131930
Tušek, Marta
University of Zagreb
Faculty of Economics and Business

Institutional repository: REPEFZG

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Tušek, M. (2022). Procjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa (Master's thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:131930

Tušek, Marta. "Procjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2022. https://urn.nsk.hr/urn:nbn:hr:148:131930

Tušek, Marta. "Procjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2022. https://urn.nsk.hr/urn:nbn:hr:148:131930

Tušek, M. (2022). 'Procjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa', Master's thesis, University of Zagreb, Faculty of Economics and Business, accessed 23 June 2024, https://urn.nsk.hr/urn:nbn:hr:148:131930

Tušek M. Procjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa [Master's thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2022 [cited 2024 June 23] Available at: https://urn.nsk.hr/urn:nbn:hr:148:131930

M. Tušek, "Procjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa", Master's thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2022. Available at: https://urn.nsk.hr/urn:nbn:hr:148:131930

Metadata
TitleProcjena efikasnih portfelja temeljem sastavnica odabranog CECE indeksa
Title (english)Evaluation of efficient portfolios using components of a chosen CECE index
AuthorMarta Tušek
MentorDavor Zoričić (mentor)
Committee memberDavor Zoričić (predsjednik povjerenstva)
Committee memberDenis Dolinar (član povjerenstva)
Committee memberEna Pecina (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
Zagreb
Defense date and country2022-06-20, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract
Rad je usmjeren na modernu teoriju portfelja i suvremene mogućnosti primjene navedene teorije u praksi. Svrha rada je usporedba profitno-rizičnih obilježja CECE indeksa (temeljenog na tržišnoj kapitalizaciji) i procijenjenih alternativnih portfelja temeljem dionica koje su u njegovom sastavu. Kao alternativa ponderiranju tržišnom kapitalizacijom, koristi se procjena portfelja s najmanjom varijancom, portfelj s najvećim Sharpeovim omjerom te portfelj s jednakim udjelima. Svi analizirani portfelji ostvarili su bolje performanse od benchmark indeksa (CECE), a najbolje performanse ostvario je portfelj s najmanjom varijancom.
Abstract (english)
This paper focuses on the modern portfolio theory and its contemporary application in practice. The objective of this paper is to compare the risk-reward characteristics of the CECE capitalization-weighted index and the estimated alternative portfolios based on the same constituents. As an alternative to capitalization-weighting, Global Minimum Variance (GMV) portfolio, Maximum Sharpe Ratio (MSR) portfolio and Equally-Weighted (EW) portfolio are used. All analyzed portfolios achieved a better performance than the CECE index. Furthermore, the best performance was achieved by the Global Minimum Variance (GMV) portfolio.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:148:131930
Study programmeTitle: Business Economics
Study programme type: university
Study level: integrated undergraduate and 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 on2022-06-21 17:00:49