Izbor optimalnih dioničkih portfelja na srednjoeuropskim tržištima kapitala (Optimal Stock Portfolio Selection in Central European Capital Markets)

Abstract

Croatian Abstract: Moderna teorija portfelja H. Markowitza postala je opće mjesto u suvremenim financijama. Unatoč tome, ili možda upravo zato, njezini su učestali prikazi često površni, nepotpuni i neprecizni. Ovaj rad, stoga, započinje strogom matematičkom formalizacijom Markowitzevog modela, nadopunjenom napomenama i diskusijom. Dodatno, pokazana je njegova istovjetnost s klasičnim modelom potrošačevog izbora. Nadalje, izvedeno je analitičko rješenje zadaće izbora optimalnog portfelja. Naposljetku, prikazana je računska primjena modela korištenjem dioničkih podataka burzi u Bratislavi, Budimpešti, Ljubljani, Pragu, Varšavi i Zagrebu, kao i usporedba tih tržišta temeljem dobivenih rezultata.

English Abstract: Modern portfolio theory by H. Markowitz has become a commonplace in contemporary finance. Despite, or perhaps for that very reason, its frequent depictions are often superficial, incomplete and imprecise. This paper, therefore, begins with a strict mathematical formalization of the Markowitz model, supplemented by remarks and discussion. In addition, its equivalence to classical consumer choice model is demonstrated. Furthermore, the analytical solution to the optimal portfolio selection problem is derived. Finally, a computational implementation of the model is presented by using stock data from Bratislava, Budapest, Ljubljana, Prague, Warsaw and Zagreb exchanges, as well as comparison of these markets based on the results obtained.

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