Portfolio Optimization

undergraduate thesis

• Author: Ante Gugić
• Mentor: Zrinka Lukač (mentor)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Mathematics); Zagreb
• Defense date and country: 2016-09-30, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Business Mathematics and Statistics

Abstract

In this paper we will present the very essence of portfolio optimization accompanied with other key factors in the derivatives market. In a day to day fund and asset management, portfolio optimization tends to be one of the main tools for the manager and/or natural person. The deduction and prudent diversification of assets in a portfolio separates winners from losers in the capital market. First of all, stock investing must be considered as a form of savings. In the portfolio optimization example considered in this thesis I will not take into consideration any leverage. Short selling is NOT ALLOWED. First I will explain the mechanics of the futures market and the hedging strategies adjacent to it, then I will proceed to the section regarding portfolio optimization containing subsections regarding efficient portfolios, risk and return, security market line, optimization constraints and finally, the portfolio optimization example. Also, the appendix of this paper contains the excel spreadsheet with a portfolio optimization example comprised out of 10 stocks.

• Keywords: portfolio optimization; financial institutions; financial markets; efficient portfolio; risk and return; security market line; optimization constraints
• Language: english
• URN:NBN: urn:nbn:hr:148:404912
• Study programme: Title: Business Economics in English; Study programme type: university; Study level: undergraduate; Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica(baccalaureus/ baccalaurea) ekonomije (sveučilišni/a prvostupnik/ prvostupnica(baccalaureus/ baccalaurea) ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to students and staff of home institution
• Public note: Ključne riječi dodijelio knjižničar. Keywords assigend by librarian.
• Repository: REPEFZG
• Created on: 2016-10-14 08:47:06