master's thesis
PRIMJENA MARKOWITZEVOG MODELA U FORMIRANJU MJEŠOVITOG PORTFELJA

Antonia Radovančić (2015)
University of Split
Faculty of economics Split
Metadata
TitlePRIMJENA MARKOWITZEVOG MODELA U FORMIRANJU MJEŠOVITOG PORTFELJA : diplomski rad
AuthorAntonia Radovančić
Mentor(s)Zdravka Aljinović (thesis advisor)
Abstract
Cilj ovog istraživanja je bilo formiranje i usporedba mješovitih portfelja, odnosno portfelja formiranih od dionica i obveznica na hrvatskom i njemačkom tržištu kapitala koristeći se Markowitzevom modernom teorijom portfelja kako bi se prihvatile ili odbacile postavljene hipoteze. U uzorak su odabrane dionice uvrštene u indeks CROBEX10 na hrvatskom tržištu kapitala te dionice uvrštene u indeks DAX na njemačkom tržištu kapitala te su im se dodavale državne i korporativne obveznice na oba tržišta. Također cilj je bio dokazati da će na oba navedena tržišta formirani mješoviti portfelj postići veće prinose uz iste razine rizika od dioničkog portfelja koristeći se Markowitzevim modelom kako bi se formirali optimalni portfelji. Što je i dokazano provedenom analizom. Pretpostavka je bila da će mješoviti portfelj formiran na njemačkom tržištu kapitala postići veće prinose od portfelja formiranog na hrvatskom tržištu kapitala, no istraživanjem je dokazano da veći prinos nosi portfelj na hrvatskom tržištu kapitala bez obzira na njegovu značajno slabiju razvijenost i nedostatke u usporedbi s njemačkim tržištem.
KeywordsModern portfolio theory German capital market Croatian capital market equities bonds 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 date2015-12
Parallel abstract (English)
The goal of this research is to form and compare portfolios made of equities and bonds on two different capital markets, Croatian an German using ''Modern portfolio theory'', to accept or decline formed hypothesis. The sample was made out of equities from the CROBEX10 index on Croatian market and from the DAX index on German capital market. After forming portfolio out of equities, with adding corporate and federal bonds, mixed portfolio was made. Also the goal was to prove that in both of these markets formed mixed portfolio will achieve higher yield with the same level of risk as the equity portfolio using the Markowitz's model in order to establish the optimal portfolios . As it was proven by the analysis . The assumption was that a mixed portfolio formed on the German capital market will achieve higher yield than portfolios formed on the Croatian capital market, but research has shown that a portfolio on the Croatian capital market has higher yield, regardless of its significantly lower development and disadvantages in comparison to the German market.
Parallel keywords (Croatian)Markowitzev model njemačko tržište kapitala hrvatsko tržište kapitala dionice obveznice mješoviti portfelj
Resource typetext
Access conditionOpen access
Terms of usehttp://rightsstatements.org/vocab/InC/1.0/
URN:NBNhttps://urn.nsk.hr/urn:nbn:hr:124:044324
CommitterIvana Gizdić