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Heuristic approach for determining efficient frontier portfolios with more than two assets, the case of ZSE

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  • Tonci Svilokos

Abstract

The goal of this paper is to exhibit computation of minimal variance portfolio and efficient portfolio frontier when there are more than two assets, by using matrix algebra applied on chosen stocks listed on Zagreb Stock Exchange.The research shows that, because of low correlation of underlying assets, it is possible to significantly reduce risks of investments by constructing portfolio of the stocks. It also shows that, if restriction on short selling are imposed this significantly reduces the possibility for diversification.

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  • Tonci Svilokos, 2016. "Heuristic approach for determining efficient frontier portfolios with more than two assets, the case of ZSE," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 99-115,116-.
    • Handle: RePEc:bas:econth:y:2016:i:1:p:99-115,116-132
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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