Razvoj ortogonalnih portfelja zasnovan na portfelju minimalne varijance

undergraduate thesis

• Title (english): Development of orthogonal portfolios based on minimum variance portfolio
• Author: Vilim Branica
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Zvonko Kostanjčar (predsjednik povjerenstva)
• Committee member: Andro Merćep (član povjerenstva)
• Committee member: Tomislav Kovačević (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2024-07-05, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing

Abstract

U ovom završnom radu istražena je primjena portfelja minimalne varijance (MVP) u razvoju ortogonalnih portfelja kao strategije diverzifikacije investicijskog portfelja. Istraživanje je obuhvatilo analizu slučajeva s različitim financijskim instrumentima, uključujući dionice, budućnosnice i obveznice, kako bi se pokazala učinkovitost MVP metode. Rezultati su pokazali da MVP metoda iz povijesnih podataka omogućava stvaranje portfelja koji u budućnosti postižu nisku razinu varijance. Također je analizirana metoda ortogonalizacije portfelja, pri čemu je optimizacijski pristup pokazao veću učinkovitost u smanjenju varijance u usporedbi s metodom skaliranja težina. Zaključeno je da MVP metoda zajedno s metodom ortogonalizacije nudi investitorima ulaganje uz nisku razinu rizika.

Abstract (english)

This thesis explores the application of the Minimum Variance Portfolio (MVP) in developing orthogonal portfolios as a diversification strategy for investment portfolios. The research included case analyses with various financial instruments, such as stocks, futures, and bonds, to demonstrate the effectiveness of the MVP method. The results showed that the MVP method, based on historical data, allows for creating portfolios that achieve low variance in the future. Additionally, the orthogonalization method of the portfolio was analysed, with the optimization approach proving more effective in reducing variance compared to the weight scaling method. It was concluded that the MVP method, together with the orthogonalization method, offers investors low-risk investment opportunities.

• Keywords: portfelj minimalne varijance; ortogonalni portfelji; diverzifikacija; optimizacija; financijski instrumenti
• Keywords (english): minimum variance portfolio; orthogonal portfolios; diversification; optimization; financial instruments
• Language: croatian
• URN:NBN: urn:nbn:hr:168:186300
• Study programme: Title: Computing; Study programme type: university; Study level: undergraduate; Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2024-10-12 20:10:38