master's thesis
PRIMJENA MARKOWITZEVOG MODELA U FORMIRANJU DIONIČKOG, OBVEZNIČKOG I MJEŠOVITOG PORTFELJA

Hrvoje Bartulić (2016)
University of Split
Faculty of economics Split
Metadata
TitlePRIMJENA MARKOWITZEVOG MODELA U FORMIRANJU DIONIČKOG, OBVEZNIČKOG I MJEŠOVITOG PORTFELJA : diplomski rad
AuthorHrvoje Bartulić
Mentor(s)Zdravka Aljinović (thesis advisor)
Abstract
Cilj istraživanja je bio formiranje i usporedba mješovitog portfelja s dioničkim portfeljom te usporedba dioničkog portfelja s obvezničkim portfeljom na hrvatskom tržištu kapitala koristeći se primjenom Markowitzevog modela kako bi se prihvatile ili odbacile postavljene hipoteze. U uzorak su odabrene dionice uvrštene u CROBEX10 na hrvatskom tržištu kapitala te su im dodane državne i korporativne obveznice na hrvatskom tržištu kapitala. Cilj je bio dokazati da će formirani mješoviti portfelj na hrvatskom tržištu kapitala postići bolji odnos prinosa i rizika od dioničkog i obvezničkog portfelja koristeći se Markowitzevim modelom kako bi se formirali optimalni portfelji. Također cilj je bio dokazati da dodavanje obveznica u dionički portfelj daje veći prinos uz istu razinu rizika što je dokazano provedenom analizom. Pretpostavka je bila da će dionički portfelj formiran na hrvatskom tržištu kapitala postići bolji odnos prinosa i rizika od obvezničkog portfelja na hrvatskom tržištu kapitala, no istraživanjem se utvrdilo da obveznički portfelj daje bolje rezultate pri nižim razinama rizika dok nakon određene razine rizika dionički portfelj daje bolje rezultate pa se ta hipoteza može djelomično prihvatiti.
KeywordsModern portfolio theory Croatian capital market bonds equities mixed portfolio.
GranterUniversity of Split
Faculty of economics Split
PlaceSplit
StateCroatia
Scientific field, discipline, subdisciplineSOCIAL SCIENCES
Economics
Business Mathematics and Statistics
Study programme typeuniversity
Study levelgraduate
Study programmeBusiness Studies
Academic title abbreviationmag. oec.
Genremaster's thesis
Language Croatian
Defense date2016-06
Parallel abstract (English)
The objective of this research is the establishment and comparison of a mixed portfolio with equities and an equity portfolio with bonds on the Croatian capital market using modern portfolio theory in order to accept or reject the proposed hypotheses. The sample used contains the official Croatian capital market listed shares (CROBEX10) and to those added are Croatian treasury and corporate bonds. The aim is to prove that forming a mixed portfolio on the Croatian capital market leads to a better rate of return and risk of equity and bond portfolios using the modern portfolio theory in order to form the optimal portfolio. Another aim is proving that adding bonds to an equity portfolio creates a higher yield with the same level of risk. The assumption was made that an equity portfolio formed on the Croatian capital market achieves a better rate of return and risk with bond portfolios The research also confirmed that bond portfolios give better results with lower level of risk while equity portfolios with a certain level of risk create a higher yield, so the hypothesis can be partially accepted.
Parallel keywords (Croatian)Markowitzev model hrvatsko tržište kapitala obveznice dionice mješoviti portfelj.
Resource typetext
Access conditionOpen access
Terms of usehttp://rightsstatements.org/vocab/InC/1.0/
URN:NBNhttps://urn.nsk.hr/urn:nbn:hr:124:574152
CommitterIvana Gizdić