Limitations on the stocks portfolio optimization on the Banja Luka Stock Exchange
DOI:
https://doi.org/10.7251/ACE1625035RKeywords:
modern portfolio theory, Harry Markowitz, market risk, yield, optimization, Banja Luka stock exchange, diversificationAbstract
The term „portfolio analysis”, which was introduced in the economic theory by Harry Markowitz, is not a new term in scientific literature. However, in the papers of local and foreign authors, analysis and criticism are mainly based on the examples of developed capital markets. There are very few cases of application of the portfolio analysis on domestic capital market. The focus of this paper is on implementation of diversification of the shares on the Banja Luka Stock Exchange. Using Markowitz’s portfolio selection, we will prove that diversification, including all limitations, is possible and applicable onto the domestic capital market.
References
Bailey, E. R. (2005). The Economics of Financial Markets. Cambridge: University Press.
Balvers, J. R. (2001). Foundations of Asset Pricing. Morgantown: West Virginia University.
Brealey, R. A., Myers, S. C. (1991). Principles of Corporate Finance. New York: McGrawHill, Fourth edition.
Higgins, R. C. (2011). Analysis for Financial Management, Tenth Edition. New York: McGraw-Hill/Irwin, pp. 123-148.
Higgins, R. C. (1977). How Much Growth Can a Firm Afford?, Financial Management, Vol. 6, No. 3 pp. 7-16.
Higgins, R. C. (1981). Sustainable Growth Under Inflation. Financial Management, Vol.10, No. 4 pp. 36-40.
Johnson, D.J. (1981). The Behavior of Financial Structure and Sustainable Growth in an Inflationary Environment. Financial Management, Vol. 10, No. 4), pp. 30-35.
Кестер В. Џ.; Радивојац, Г. (2011). Истраживање финансијске политике и праксе компанија које котирају на Бањалучкој берзи. Зборник радова 6. Међународног симпозијума о корпоративном управљању, СРРРС: Корпоративно управљање – мотор или оловне ноге развоја, Теслић, , СРРРС, стр. 243-263.
Kester, G. W. (2002). How Much Growth Can Borrowers Sustain?. The RMA Journal, Vol. 84, No. 10 pp. 49-53.
Kahmenan, D. Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, (47), 2.
andelbrot, B. (1963). The Variation of Certain Speculative Prices. Chicago: The Journal of Business, (36), 4.
Markowitz, H. (1952). Portfolio selection. Journale of finance.
Markowitz, H. M. (1959). Portfolio Selection (Efficient Diversification of Investment). New York: John Wiley & Sons.
Ross, S. A., Westerfeld, R. W., Jordan, B. D. (2001). Essentials of Corporate Finance. New York: Irwin & McGraw Hill, Third edition.
Rubinstein, M. (2002). Markowitz’s ‘’Portfolio Selection’’: A Fifty-Year Retrospective. The Journal of Finance, Volume 57, No. 3-.
Taleb, N.N. (2007). The Black Swan: The Impact of the Highly Improbable. New York: Random House.
Van Horne, J. C. (1997). Financijsko upravljanje i politika: (Financijski menedžment). 9. izd. Zagreb: MATE.
Бaрaц, З., Лaткoвић, M. (2000.) Aргумeнти зa глoбaлну aлoкaциjу имoвинe мирoвинских фoндoвa; рaзмaтрaњa из пeрспeктивe oсигурaника. Финaнциjскa тeoриja и прaксa, 24 (3), стр. 356-357.
Јеремић, Зоран. (2012). Финансијска тржишта и финансијски посредници. Београд: Универзитет Сингидунум.
Радивојац, Г., Кестер В. Џ. (2016). Анализа одрживе стопе раста нефинансијских компанија које котирају на Бањалучкој берзи. Acta Economica. XIV (24), стр. стр. 53-68.
