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Portfolio Optimization On Croatian Capital Market

Author

Listed:
  • Ivanovic, Zoran

    (Faculty of Tourism and Hospitality Management Opatija)

  • Baresa , Suzana

    (Faculty of Tourism and Hospitality Management Opatija)

  • Bogdan, Sinisa

    (Faculty of Tourism and Hospitality Management Opatija)

Abstract

Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory. Research systematically investigated the selection of securities, and defined the importance of using fundamental analysis when selecting the best combination of securities. Since fundamental analysis involves a large number of indicators, this paper selected key indicators that enable a complete and quick securities review on the market. This paper clarifies diversification effect and influence of the correlation coefficient on diversification. Two basic types of assets (stocks and cash funds) have been chosen to build the optimal portfolio. Cash funds were selected because they represent a form of risk-free investment, while stocks were chosen because of the high level of return which they achieve. At the end of paper, optimal portfolio was calculated with an excellent yield of 1.82% and deviation of 5.77% on a monthly basis which corresponds to the minimum deviation of the selected stocks. Calculated optimal portfolio achieves better expected value than investing in stock index CROBEX, which for the same period achieves the expected result of -0.02%.

Suggested Citation

  • Ivanovic, Zoran & Baresa , Suzana & Bogdan, Sinisa, 2013. "Portfolio Optimization On Croatian Capital Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 4(3), pages 269-282.
    • Handle: RePEc:ris:utmsje:0085
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    Citations

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    Cited by:

    1. Dolinar, Denis & Orsag, Silvije & Suman, Paola, 2015. "Test Of The Chen-Roll-Ross Macroeconomic Factor Model: Evidence From Croatian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 185-196.
    2. Habibovic, Armin & Zoricic, Davor & Lovretin Golubic, Zrinka, 2017. "Efficiency Of Crobex And Crobex10 Stock Market Indices," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(3), pages 271-280.
    3. Bogdan, Sinisa & Baresa, Suzana & Ivanovic, Zoran, 2016. "Domestic Vs International Risk Diversification Possibilities In Southeastern European Stock Markets," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 7(2), pages 197-208.

    More about this item

    Keywords

    optimal portfolio; diversification; asset allocation; stock; cash fund; risk; fundamental analysis;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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