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undergraduate thesis
Portfelji minimalne varijance pod investicijskim ograničenjima
Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. urn:nbn:hr:168:793663
Munjiza, Jakov Viktor
University of Zagreb
Faculty of Electrical Engineering and Computing

Institutional repository: FER Repository

Cite this document

Munjiza, J. V. (2020). Portfelji minimalne varijance pod investicijskim ograničenjima (Undergraduate thesis). Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing. Retrieved from https://urn.nsk.hr/urn:nbn:hr:168:793663

Munjiza, Jakov Viktor. "Portfelji minimalne varijance pod investicijskim ograničenjima." Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. https://urn.nsk.hr/urn:nbn:hr:168:793663

Munjiza, Jakov Viktor. "Portfelji minimalne varijance pod investicijskim ograničenjima." Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2020. https://urn.nsk.hr/urn:nbn:hr:168:793663

Munjiza, J. V. (2020). 'Portfelji minimalne varijance pod investicijskim ograničenjima', Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, accessed 17 August 2024, https://urn.nsk.hr/urn:nbn:hr:168:793663

Munjiza JV. Portfelji minimalne varijance pod investicijskim ograničenjima [Undergraduate thesis]. Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing; 2020 [cited 2024 August 17] Available at: https://urn.nsk.hr/urn:nbn:hr:168:793663

J. V. Munjiza, "Portfelji minimalne varijance pod investicijskim ograničenjima", Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, Zagreb, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:168:793663

Metadata
TitlePortfelji minimalne varijance pod investicijskim ograničenjima
Title (english)Minimum-variance Portfolios Under Investment Constraints
AuthorJakov Viktor Munjiza
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 country2020-08-25, Croatia
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Computing
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Electrical Engineering
Abstract
Portfelji minimalne varijance su vrste investicijskih strategija u kojima je primarni cilj osigurati minimalan rizik za investitora. Cilj ovog završnog rada bio je istražiti portfelje minimalne varijance pod različitim investicijskim ograničenjima. Implementacija portfelja je postignuta uz korištenje kovarijantne matrice. Optimizacijski postupak proveli smo bez ograničenja, a zatim pod financijskim ograničenjima: bez dozvoljenog skraćivanja, restrikcija maksimalnog ulaganja od 15% u pojedinu dionicu (dvije verzije) te restrikcija obaveznog minimalnog ulaganja za svaku dionicu.
Abstract (english)
Minimal variance portfolios are a collection of investment strategies the goal of which is to ensure minimal risk for the investor. The aim of this final paper has been to explore minimal variance portfolios under different investment constraints. Portfolio implementation has been achieved using a covariance matrix. First we carried out the optimization procedure without constraints after which we started modeling our portfolios with different financial restrictions: short selling restriction, maximum investment of 15% per share (two versions) restriction and mandatory minimum investment per each share restriction.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:168:793663
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)
Type of resourceText
File originBorn digital
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Created on2023-01-13 15:41:36