Title Upravljanje rizikom portfelja dionica Title (english) Managing Risk in Stock Portfolio Author Amela Alić Mentor Manuel Benazić (mentor)Committee member Dean Učkar (predsjednik povjerenstva)Committee member Manuel Benazić (član povjerenstva)Committee member Daniel Tomić (član povjerenstva)Granter University of Pula Defense date and country 2022-03-03, Croatia Scientific / art field, SOCIAL SCIENCES Abstract S obzirom na klasifikaciju rizika, postoje razni načini kako se njima može upravljati na najbolji način. Identifikacijom rizika može se smanjiti njegov negativan utjecaj i zato je važno da menadžeri točno znaju s čime se mogu susresti jer će se moći bolje obraniti. Iako ne postoji univerzalna definicija rizika jer ga nije lako definirati, svi stručnjaci se slažu da se treba dati posebna pozornost upravljanju rizicima. Ovaj rad usmjeren je na upravljanje rizikom portfelja dionica što je dio tržišnih rizika.
Tržišne rizike moguće je mjeriti Value at Risk (VaR) metodom. Postoje parametarska, povijesna, Monte Carlo simulacija te metoda testiranja stresnih situacija. Povijesna VaR metoda je najjednostavnija, dok je Monte Carlo metoda kompleksnija, ali i najtočnija. Parametarska metoda izračuna VaR-a temelji se na pretpostavci normalne distribucije, a metoda testiranja stresnih situacija koristi se za izvanredne gubitke. Markowitzev model također se koristi za mjerenje rizika te pomaže u odabiru najefikasnijeg portfelja. Ovaj model doprinio je da se varijanca portfelja gleda i kao korelacija među prinosima odabranih investicija.
U praktičnom dijelu ovog rada analizirale su se tri dionice, a to su: Hrvatski telekom d.d. (HT), Adris grupa d.d. (ADRS2) te Atlantic grupa d.d. (ATGR). Analiza pojedinih dionica je pokazala da dionica ATGR ima najveći prinos, a analiza povrata portfelja pokazala je da najmanji rizik nosi jednak ulog u sve tri dionice, a najveći rizik se očekuje ako se uloži 50% u dionicu ATGR, 30% u dionicu HT te 20% u dionicu ADRS2.
Abstract (english) Given the classification of risks, there are various ways in which they can be managed in the best way. Identifying risk can reduce its negative impact and that is why it is important that managers know exactly what they may face because they will be able to defend themselves better. Although there is no universal definition of risk because it is not easy to define, all experts agree that special attention should be paid to risk management. This paper focuses on stock portfolio risk management as part of market risks.
Market risks can be measured by the Value at Risk (VaR) method. There are parametric, historical, Monte Carlo simulations and stress testing method. The historical VaR method is the simplest, while the Monte Carlo method is more complex, but also the most accurate. The parametric method of calculating VaR is based on the assumption of normal distribution, and the stress testing method is used for extraordinary losses. Markowitz's model is also used to measure risk and helps select the most efficient portfolio. This model has contributed to the portfolio variance being seen as a correlation between the returns of selected investments.
In the practical part of this paper, three shares were analyzed, namely: Hrvatski telekom d.d. (HT), Adris Group d.d. (ADRS2) and Atlantic grupa d.d. (ATGR). The analysis of individual stocks showed that the ATGR stock has the highest return and the portfolio return analysis showed that the lowest risk carries an equal stake in all three stocks, and the highest risk is expected if 50% is invested in the ATGR share, 30% in the HT share and 20% in the ADRS2 share.
Keywords
upravljanje rizikom
dionice
Moderna teorija portfelja
Value at Risk
Keywords (english)
risk management
stocks
Modern portfolio theory
Value at Risk
Language croatian URN:NBN urn:nbn:hr:137:338395 Study programme Title: Business Economics; Financial Management, Marketing Management, Management and Entrepreneurship,Tourism, Business Informatics; specializations in: Financial Management, Marketing Management, Management and Entrepreneurship, Tourism and Development, Business Informatics, Informatics Management Type of resource Text File origin Born digital Access conditions Open access Terms of use Created on 2022-04-03 08:46:37
