A COMPARISON OF BASIC AND EXTENDED MARKOWITZ MODEL ON CROATIAN CAPITAL MARKETReportar como inadecuado




A COMPARISON OF BASIC AND EXTENDED MARKOWITZ MODEL ON CROATIAN CAPITAL MARKET - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Croatian Operational Research Review, Vol.3 No.1 December 2012. -

Markowitz- mean - variance model for portfolio selection, first introduced in H.M. Markowitz- 1952 article, is one of the best known models in finance. However, the Markowitz model is based on many

assumptions about financial markets and investors, which do not coincide with the real world. One of these assumptions is that there are no taxes or transaction costs, when in reality all financial products

are subject to both taxes and transaction costs – such as brokerage fees. In this paper, we consider an extension of the standard portfolio problem which includes transaction costs that arise when constructing an investment portfolio. Finally, we compare both the extension of the Markowitz- model, including transaction costs, and the basic model on the example of the Croatian capital market.

portfolio optimization; Markowitz model; expected return and risk; transaction costs



Autor: Bruna Škarica - ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia Zrinka Lukač - ; Faculty of Economic

Fuente: http://hrcak.srce.hr/



DESCARGAR PDF




Documentos relacionados