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master's thesis
Kvantitativne mjere rizika i mjere performanse portfelja
Osijek: Josip Juraj Strossmayer University of Osijek, Faculty of Applied Mathematics and Informatics, 2023. urn:nbn:hr:126:313329
Vidović, Robert
Josip Juraj Strossmayer University of Osijek
School of Applied Mathematics and Informatics

Institutional repository: Repository of School of Applied Mathematics and Informatics

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Vidović, R. (2023). Kvantitativne mjere rizika i mjere performanse portfelja (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics. Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:313329

Vidović, Robert. "Kvantitativne mjere rizika i mjere performanse portfelja." Master's thesis, Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics, 2023. https://urn.nsk.hr/urn:nbn:hr:126:313329

Vidović, Robert. "Kvantitativne mjere rizika i mjere performanse portfelja." Master's thesis, Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics, 2023. https://urn.nsk.hr/urn:nbn:hr:126:313329

Vidović, R. (2023). 'Kvantitativne mjere rizika i mjere performanse portfelja', Master's thesis, Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics, accessed 27 November 2024, https://urn.nsk.hr/urn:nbn:hr:126:313329

Vidović R. Kvantitativne mjere rizika i mjere performanse portfelja [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics; 2023 [cited 2024 November 27] Available at: https://urn.nsk.hr/urn:nbn:hr:126:313329

R. Vidović, "Kvantitativne mjere rizika i mjere performanse portfelja", Master's thesis, Josip Juraj Strossmayer University of Osijek, School of Applied Mathematics and Informatics, Osijek, 2023. Available at: https://urn.nsk.hr/urn:nbn:hr:126:313329

Metadata
TitleKvantitativne mjere rizika i mjere performanse portfelja
Title (english)Quantitative Risk Measures And Portfolio Performance Measures
AuthorRobert Vidović
MentorIvan Papić (mentor)
Committee memberNenad Šuvak (predsjednik povjerenstva)
Committee memberIvan Papić (član povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
School of Applied Mathematics and Informatics
Osijek
Defense date and country2023-09-19, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Financial and Business Mathematics
Abstract
Razvojem brojnih online platformi za trgovanje na burzama razvila se i potreba za praćenjem mjera rizika i mjera performansi portfelja. U financijskom svijetu važno je znati kvantificirati rizik i odrediti performanse svoga portfelja što je upravo i ideja ovoga rada. Kako bismo razumjeli suvremene mjere rizika potrebno je upoznati se i sa starijim mjerama. Upoznavanje mjera performansi i mjera rizika uvelike nam olakšava donošenje odluka vezanih uz ulaganje, ali pri tumačenju mjera moramo biti izrazito oprezni i poznavati ograničenja koja nam se nameću sa svakom od navedenih mjera. Kako je trenutno u praksi najzastupljenija mjera rizika vrijednost pod rizikom (VaR) tako smo se najviše fokusirali na definiranje i primjere vezane uz navedenu mjeru rizika. Kako vrijednost pod rizikom ima svoja ograničenja tako se u povijesti razvila potreba za varijacijom vrijednosti pod rizikom i te su na taj način nastale mjere rizika poput prosječne vrijednosti pod rizikom, inkrementalne vrijednosti pod rizikom i komponente vrijednosti pod rizikom koje smo definirali i uz pomoć primjera objasnili. Mjerama performanse portfelja također se pridaje velika važnost kod ulagača. Među mjerama performanse portfelja prvo smo naveli Sharpeov i Treynorov omjer koji su i povijesno bili preteča novim mjerama performanse portfelja. Naposljetku smo se pozabavili Sortino omjerom i alfom koji su trenutno u uporabi u brojim financijskim institucijama.
Abstract (english)
With the development of numerous online trading platforms, the need has also developed for monitoring risk measures and portfolio performance measures. In the financial world it is important to know how to quantify risk and determine the performance of your portfolio which is the idea of this work. To understand modern risk measures it is necessary to become familiar with the older measures. Getting to know performance measures and risk measures makes it much easier for us to make investment-related decisions, but we have to be very careful when interpreting the measures and know the limitations that are imposed on us with each of the mentioned measures. As the Value at Risk (VaR) is currently the most common measure of risk in practice, we focused mostly on defining and examples related to the specified risk measure. As Value at risk has its limitations, thus the need for variation has developed. This is how risk measures such as the average values at risk, incremental values at risk and components value at risk were created. Portfolio performance measures are also highly valued by investors. Among the portfolio performance measures, we first listed the Sharpe and Treynor ratios, which historically were the forerunners of new portfolio performance measures. Finally, we tackled the Sortino ratio and the alpha that are currently in use in many financial institutions
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:313329
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2023-09-20 10:12:46