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Cilj rada bio je analizirati teorijske postavke moderne teorije portfelja s posebnim fokusom na Markowitzev model optimizacije portfelja te ih praktično primijeniti na analizu prinosa i rizika pet odabranih dionica s hrvatskog tržišta kapitala, korištenjem statističkih i matematičkih metoda iz područja financijske matematike. Posebna pažnja posvetila se izračunu efikasnog portfelja s naglaskom na razliku između efikasnog portfelja koji ne dozvoljava kratku prodaju te onog koji je sadrži. Također, u radu je predstavljena definicija samog tržišta kapitala te karakteristike tržišta kapitala Republike Hrvatske. The main purpose was to analyze theoretical settings of modern portfolio theory with a special focus on the Markowitz portfolio optimization model and apply them practically to the analysis of yield and risk associated with five selected stocks from the Croatian capital market, using statistical and mathematical methods from financial mathematics. Particular attention was paid to the calculation of an efficient portfolio, focusing on the difference between an efficient portfolio that does not allow short selling and the one which contains it. Also, the paper presents the definition of the capital market itself and the characteristics of the Croatian capital market. |
