Optimizacija portfolija finansijskih efekata kroz četiri generička portfolio problema
Optimization of Securities Portfolio through Four Generic Portfolio Problems

Summary/Abstract: The issue of optimizing the securities portfolio was brought into the focus of theoreticians' and practitioners' attention with the emergence of Markowitz' model in 1952. With the development of capital market, both in terms of the scope of transactions and of the kind of market materials, making decisions on what to invest and in which ratio becomes an increasingly interesting issue. The capital allocation decision provides an answer to the question as to which portion of the available money should be invested in risky investments, i.e. it is a choice between low-yield but safe securities on the one hand, and risky though high-yield ones on the other. For an actual investor, investment proportions will always ultimately be affected by his indifference curve, i.e. they will depend on his general attitude toward risk. Through four generic portfolio problems, the paper offers a pattern for resolving all the problems related to the optimization of securities portfolio that consist of non-risky and risky assets. The problem of portfolio optimization is a mathematical one, and methods described in the paper combine Markowitz model, Sharpe measure and utility theory. The result of the model application is a proportion of money invested in each of n securities included in the model.

• Details
• Contents