Hrvatsko društvo ekonomista

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March 2013. ::: Vol.64 No. 01

Vlasta Bahovec
Tihana Škrinjarić

PORTFOLIO OPTIMIZATION ON ZAGREB STOCK EXCHANGE BY USING CHOSEN METHODS OF MULTIVARIATE ANALYSIS Pregledni rad The Modern Portfolio theory and Markowitz’s model are well known in foreign and domestic works. On the other hand, in the field of investment, different methods of multivariate analysis are still rarely applied. This paper combines the before mentioned concepts by comparing the performances of Markowitz’s model with models based on chosen methods of multivariate analysis. We have analyzed a sample of 26 monthly stock returns on Zagreb Stock Exchange for the period from March 2009 to May 2012. The results indicate that models designed by using multivariate methods achieve the same performances in comparison to the initial model. Not only the expected returns for the same risk level were compared, but also the measures of portfolio diversification were made. It has shown that multivariate methods are complementary to the optimization of Markowitz’s model. Markowitz model; cluster analysis; factor analysis; Zagreb Stock Exchange; portfolio optimization. Puni tekst: pdf (570 KB), Hrvatski, Str. 3 - 29

PORTFOLIO OPTIMIZATION ON ZAGREB STOCK EXCHANGE BY USING CHOSEN METHODS OF MULTIVARIATE ANALYSIS

Pregledni rad

The Modern Portfolio theory and Markowitz’s model are well known in foreign and domestic works. On the other hand, in the field of investment, different methods of multivariate analysis are still rarely applied. This paper combines the before mentioned concepts by comparing the performances of Markowitz’s model with models based on chosen methods of multivariate analysis. We have analyzed a sample of 26 monthly stock returns on Zagreb Stock Exchange for the period from March 2009 to May 2012. The results indicate that models designed by using multivariate methods achieve the same performances in comparison to the initial model. Not only the expected returns for the same risk level were compared, but also the measures of portfolio diversification were made. It has shown that multivariate methods are complementary to the optimization of Markowitz’s model.

Markowitz model; cluster analysis; factor analysis; Zagreb Stock Exchange; portfolio optimization.

Puni tekst: pdf (570 KB), Hrvatski, Str. 3 - 29