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master's thesis
Izrada optimalnog portfelja uz rizik modeliran VaR-om
Zagreb: University of Zagreb, Faculty of Science, 2024. urn:nbn:hr:217:550500
Gomerčić, Filip
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Gomerčić, F. (2024). Izrada optimalnog portfelja uz rizik modeliran VaR-om (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:550500

Gomerčić, Filip. "Izrada optimalnog portfelja uz rizik modeliran VaR-om." Master's thesis, University of Zagreb, Faculty of Science, 2024. https://urn.nsk.hr/urn:nbn:hr:217:550500

Gomerčić, Filip. "Izrada optimalnog portfelja uz rizik modeliran VaR-om." Master's thesis, University of Zagreb, Faculty of Science, 2024. https://urn.nsk.hr/urn:nbn:hr:217:550500

Gomerčić, F. (2024). 'Izrada optimalnog portfelja uz rizik modeliran VaR-om', Master's thesis, University of Zagreb, Faculty of Science, accessed 22 November 2024, https://urn.nsk.hr/urn:nbn:hr:217:550500

Gomerčić F. Izrada optimalnog portfelja uz rizik modeliran VaR-om [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2024 [cited 2024 November 22] Available at: https://urn.nsk.hr/urn:nbn:hr:217:550500

F. Gomerčić, "Izrada optimalnog portfelja uz rizik modeliran VaR-om", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2024. Available at: https://urn.nsk.hr/urn:nbn:hr:217:550500

Metadata
TitleIzrada optimalnog portfelja uz rizik modeliran VaR-om
Title (english)Creation of an optimal portfolio with risk modeled by VaR
AuthorFilip Gomerčić
MentorNikola Sandrić (mentor)
Committee memberNikola Sandrić (predsjednik povjerenstva)
Committee memberSonja Štimac (član povjerenstva)
Committee memberMiljenko Huzak (član povjerenstva)
Committee memberMiljenko Marušić (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2024-03-01, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
Cilj ovog rada bio je predstaviti te pojasniti dvije bitne strane investiranja - najprije odabir portfelja te zatim kontrolu rizika povezanih s investiranjem. U svrhu optimizacije portfelja predstavili smo optimizaciju portfelja kako ju je zamislio Markowitz u svojoj modernoj teoriji portfelja, raspravljali smo o svrsi diverzifikacije te smo uveli pojam efikasne granice te s njom povezanih efikasnih portfelja. Radi jasnijeg razumijevanja mjere rizika, tzv. rizične vrijednosti (eng. Value-at-Risk), pokazali smo nekoliko načina za njen izračun (povijesna metoda, parametarska metoda te metoda Monte Carlo simulacija) te komentirali prednosti i nedostatke svakog načina. Na kraju, kako bi se odmaknuli od teorijskog pogleda, prikazali smo primjerom kako se može izračunati portfelj minimalne varijance te smo na njemu izračunali VaR koristeći povijesnu metodu.
Abstract (english)
The aim of this paper was to present and clarify two important aspects of investing - firstly, the concept of portfolio selection, and then the control of investment-related risks. For the purpose of portfolio optimization, we introduced portfolio optimization as envisioned by Markowitz in his Modern Portfolio Theory, furthermore, we discussed the purpose of diversification and introduced the concept of the efficient frontier and with it related efficient portfolios. In order to better understand the risk measure Value-at-Risk, we presented several methods for its calculation (historical method, parametric method and Monte Carlo simulation method) and commented on the advantages and disadvantages of each method. Finally, to step away from the theoretical view, we constructed an example of the process to calculate the minimum-variance portfolio and calculated the Value-at-Risk metric on it by implementing the historical method.
Keywords
Languagecroatian
URN:NBNurn:nbn:hr:217:550500
Study programmeTitle: Financial and Business Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: sveučilišni magistar matematike (sveučilišni magistar matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2024-03-13 10:06:20