Glasilo Future Volumen 1 broj 5-6 prosinac 2018. / Gazette Future Volume 1 number 5-6 December 2018

Glasilo_Future_Volumen_1_broj_4_prosinac_2018.pdf

Stručni rad (professional paper)

Naslov/Title

Optimiziranje portfelja s različitim brojem imovine i različitim preferencijama rizika

Portfolio optimization with different number of assets and different risk preferences

Str./Pp. 17-30

Autorica/Author

Zoran Maričić, Luka Maričić

Sažetak

U ovome radu korištena je suvremena teorija portfelja Harryja Markowitza za stvaranje efikasnih portfelja unaprijed odabranih dionica. Izabrali smo četiri dionice sa Zagrebačke burze iz turističkog sektora. U prvom koraku iz povijesnih podataka kroz pet godina a preko dnevnih prinosa izračunavaju se očekivani povrat, varijanca i standardna devijacija za svaku pojedinu dionicu. Nakon toga izračunava se granica efikasnosti [Efficient frontier (eng.)], kao portfelj od ove četiri dionice koji daje najbolji odnos prinosa i rizika. Svrha je pokazati kako najbolje kombinirati ulaganja u ove četiri dionice da bi dobili najbolji odnos prinosa i rizika. Rezultati rada jasno pokazuju da ima smisla ulagati u učinkoviti portfelj. Razlog tomu je da ovakva diversifikacija, u usporedbi s ulaganjem u pojedinačnu dionicu, ili povećava prinos uz dani rizik ili smanjuje volatilnost uz dani prinos. Osim toga, treba naglasiti da je ulaganje u jedan učinkoviti portfelj s vise dionica poželjnije od ulaganja u jedan učinkovit portfelj s manje dionica.

Ključne riječi: efikasna granica, portfelj, diversifikacija, dionice, investicijske odluke.

Abstract

In this paper, Modern portfolio theory of Harry Markowitz was used to build-up efficient portfolios of forehand chosen stocks. Four tourism sector stocks were chosen from Zagreb Stock Exchange. In the first step, on the basis of historic daily returns in five years period, expected return, variance and standard deviation for each chosen stock were calculated. Afterward, Efficient frontier of four stocks with best return and risk profile was calculated. The task is to show the optimal combination of four stocks investment that produces the best risk return profile. The results of the paper clearly show that it makes sense to invest in an efficient portfolio. The reason for this is that such diversification, as compared to single stock investment, either increases return with a given risk or decreases volatility with a given return. Besides, it should be emphasized that investment in an efficient portfolio with more stocks is preferable to investment in an efficient portfolio with fewer stocks.

Key words: efficient frontier, portfolio, diversification, stocks, investment decisions.

Preuzimanje/Download

Glasilo_Future_Volumen_1_broj_4_prosinac_2018_Maricic_Maricic_1.pdf

Citiranje/Citation

Maričić, Z., Maričić, L. (2018). Optimiziranje portfelja s različitim brojem imovine i različitim preferencijama rizika. Glasilo Future, 1(4), 17-30.
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Maričić, Z., Maričić, L. (2018). Portfolio optimization with different number of assets and different risk preferences. Glasilo Future, 1(4), 17-30.