prikaz prve stranice dokumenta Portfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu
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undergraduate thesis
Portfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu
Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. urn:nbn:hr:168:224993
Kovačević, Nika
University of Zagreb
Faculty of Electrical Engineering and Computing

Institutional repository: FER Repository

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Kovačević, N. (2020). Portfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu (Undergraduate thesis). Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing. Retrieved from https://urn.nsk.hr/urn:nbn:hr:168:224993

Kovačević, Nika. "Portfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu." Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. https://urn.nsk.hr/urn:nbn:hr:168:224993

Kovačević, Nika. "Portfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu." Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. https://urn.nsk.hr/urn:nbn:hr:168:224993

Kovačević, N. (2020). 'Portfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu', Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, accessed 09 November 2024, https://urn.nsk.hr/urn:nbn:hr:168:224993

Kovačević N. Portfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu [Undergraduate thesis]. Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing; 2020 [cited 2024 November 09] Available at: https://urn.nsk.hr/urn:nbn:hr:168:224993

N. Kovačević, "Portfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu", Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, Zagreb, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:168:224993

Metadata
TitlePortfelji minimalne varijance pod investicijskim ograničenjima u jednofaktorskom modelu
Title (english)Minimum-variance Portfolios Under Investment Constraints in a Single-factor Model
AuthorNika Kovačević
MentorZvonko Kostanjčar (mentor)
Committee memberZvonko Kostanjčar (predsjednik povjerenstva)
Committee memberBruno Gašperov (član povjerenstva)
Committee memberVanessa Keranović (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Electrical Engineering and Computing
Zagreb
Defense date and country2020-07-09, Croatia
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Computing
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Electrical Engineering
Abstract
Portfelji minimalne varijance predstavljaju portfelje koji nose najmanji mogući rizik za investitore. Jednofaktorskim modelom se pojednostavljuje postupak određivanja tih portfelja te se ubrzava proces optimizacije. Cilj ovog završnog rada bio je odrediti performanse portfelja minimalne varijance, pod raznim investicijskim ograničenjima, podrazumijevajući pritom jednofaktorski model. Za analizu je prvo razvijen jednofaktorski model pri čemu je burzovni indeks S&P 500 predstavljao tržište, odnosno odgovarao samom faktoru. Zatim je nad povijesnim podatcima o kretanjima cijena nasumično odabranih 25 dionica (broj dionica u prosječnom portfelju) primijenjen optimizacijski postupak. Optimizacijski postupak je prvo proveden bez ograničenja, a potom pod sljedećim investicijskim ograničenjima: zabranjeno shortanje, ulaganje maksimalno 40% budžeta u jednu dionicu, te ulaganje od minimalno 1% budžeta u svaku dionicu. Zaključeno je kako je ulaganje u portfelje minimalne varijance isplativije od S&P 500 indeksa, te kako je uvođenjem dodatnih investicijskih ograničenja na shortanje moguće ostvariti i bolje povrate, no uz nešto veći rizik.
Abstract (english)
Minimum variance portfolios represent feasible portfolios that carry the smallest investment risks. The single-factor model simplifies the process of determining these portfolios and accelerates the optimization process. The aim of this undergraduate paper was to determine the performance of the minimum variance portfolio, under various investment constraints, in a single-factor model. For the analysis, the single-factor model was first developed; the stock exchange index S&P 500 represented the market, ie. corresponded to the factor. Then, an optimization procedure was applied on the historical data on price movements of randomly selected 25 shares (number of shares in the average portfolio). The optimization process was initially conducted without restrictions, and then under the following investment restrictions: shorting prohibited, investing a maximum of 40% of the budget in one share, and investing a minimum of 1% of the budget in each share. It was concluded that investing in the minimum variance portfolios will pay off more than S&P 500 index, and that it is possible to achieve even better returns with implementation of shorting constraints, but with a slightly higher risk.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:168:224993
Study programmeTitle: Computing
Study programme type: university
Study level: undergraduate
Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva)
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File originBorn digital
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Created on2023-01-13 12:45:28