master's thesis
Portfolio optimisation through investments in gold

Ivan Budić (2016)
University of Pula
Faculty of economics and tourism "Dr. Mijo Mirković"
Metadata
TitleOptimizacija portfelja kroz ulaganje u zlato
AuthorIvan Budić
Mentor(s)Dean Učkar (thesis advisor)
Abstract
Cilj je rada izračunati utjecaj zlata na rizik diverzificiranog portfelja sastavljenog od ulaganja u novčano tržište, obveznice i dioničko tržište, putem raznih oblika ulaganja dostupnih malim investitorima na financijskom tržištu Republike Hrvatske (poglavito putem dionica i investicijskih fondova). Utjecaj će zlata na portfelj biti izračunat pomoću moderne portfolio teorije, putem prikupljanja povijesnih podataka u razdoblju od siječnja 2010. do prosinca 2015. godine na mjesečnoj bazi na dva portfelja. U portfelju sastavljenom od prosjeka kretanja novčanih, obvezničkih i dioničkih investicijskih fondova na tržištu Republike Hrvatske, uz indeks CROBEX (putem indeksnog fonda) uzet kao općenit pokazatelj kretanja isključivo na hrvatskom dioničkom tržištu, zlato je u prosjeku smanjilo rizik portfelja za 1,27%. U prosječnom je portfelju uključivanje investicijskog zlata drastično utjecalo na povećanje prinosa portfelja. U drugom su portfelju prisutne pojedinačne sastavnice, odnosno konkretni novčani, obveznički i dionički fond, uz veći fokus na sastavnicama indeksa CROBEX (odnosno indeksa CROBEX 10), uzimajući u obzir prinos (u pravilu natprosječan) i veličinu sastavnica. Uključivanje zlata je također u prosjeku smanjilo rizik portfelja, no za 0,76%. Utjecaj smanjenja rizika (iznad prosjeka) nešto je veći pri većoj stopi izloženosti dionicama, odnosno kada one čine od 50 do 80% portfelja. Navedeno smanjenje rizika varira u tim slučajevima od 0,93% do 2,52%. U prosjeku, udio zlata u drugom portfelju kreće se do 5%, odnosno 8% kada je izloženost dionicama veća od 50%, uz maksimalnu izloženost zlatu do 12%.
Keywordsinvestment gold portfolio optimisation modern portfolio theory
Parallel title (English)Portfolio optimisation through investments in gold
Committee MembersRobert Zenzerović (committee chairperson)
Dean Učkar (committee member)
Manuel Benazić (committee member)
GranterUniversity of Pula
Lower level organizational unitsFaculty of economics and tourism "Dr. Mijo Mirković"
PlacePula
StateCroatia
Scientific field, discipline, subdisciplineSOCIAL SCIENCES
Economics
Organization and Management
Study programme typeuniversity
Study levelgraduate
Study programmeBusiness Economics; specializations in: Financial Management, Marketing Management, Management and Entrepreneurship, Tourism and Development, Business Informatics
Study specializationFinancial Management
Academic title abbreviationmag.oec.
Genremaster's thesis
Language Croatian
Defense date2016-04-28
Parallel abstract (English)
The purpose of this thesis is to measure the portfolio risk impact of gold on a diversified portfolio composed of money market, bond market and equity market investments that are all easily available to small investors on the Croatian financial market (through investment funds and stocks). The impact of gold is measured using the modern portfolio theory (mean-variance optimization), using monthly returns data from January 2010 to December 2015 on two portfolios. The effect of gold on the portfolio composed of average returns of money market funds, bond funds, equity funds and the CROBEX (with index fund) index, which represents the average return for the entire Croatian stock market, is positive, as it lowered the risk by on average of 1,27%. In the average portfolio, gold had a significant impact on portfolio return. In the second portfolio, the focus was on individual money market funds, bond funds, stock funds and individual stocks from the CROBEX index (CROBEX 10), with regard to return (above average return is used) and size in respected markets. The inclusion of gold also lowered the risk of the portfolio, this time by 0,76%. Gold had a superior effect (above average) in cases in which the share of stocks portion of the portfolio is between 50 and 80%. The risk reduction in those cases is between 0,93% and 2,52%. On average, the share of gold in the second portfolio is 5%, and 8% when the stock share in it is larger than 50%, with a maximum gold allocation of 12%.
Parallel keywords (Croatian)investicijsko zlato optimizacija portfelja moderna portfolio teorija
Resource typetext
Access conditionOpen access
Terms of usehttp://rightsstatements.org/vocab/InC/1.0/
URN:NBNhttps://urn.nsk.hr/urn:nbn:hr:137:822977
CommitterBarbara Dušan