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master's thesis
OPTIMIZACIJA PORTFELJA NA TRŽIŠTU KRIPTOVALUTA
Diplomski rad
2021. urn:nbn:hr:124:299884
Čeko, Laura
University of Split
Faculty of economics Split

Cite this document

Čeko, L. (2021). OPTIMIZACIJA PORTFELJA NA TRŽIŠTU KRIPTOVALUTA : Diplomski rad (Master's thesis). Split: University of Split, Faculty of economics Split. Retrieved from https://urn.nsk.hr/urn:nbn:hr:124:299884

Čeko, Laura. "OPTIMIZACIJA PORTFELJA NA TRŽIŠTU KRIPTOVALUTA : Diplomski rad." Master's thesis, University of Split, Faculty of economics Split, 2021. https://urn.nsk.hr/urn:nbn:hr:124:299884

Čeko, Laura. "OPTIMIZACIJA PORTFELJA NA TRŽIŠTU KRIPTOVALUTA : Diplomski rad." Master's thesis, University of Split, Faculty of economics Split, 2021. https://urn.nsk.hr/urn:nbn:hr:124:299884

Čeko, L. (2021). 'OPTIMIZACIJA PORTFELJA NA TRŽIŠTU KRIPTOVALUTA : Diplomski rad', Master's thesis, University of Split, Faculty of economics Split, accessed 03 April 2025, https://urn.nsk.hr/urn:nbn:hr:124:299884

Čeko L. OPTIMIZACIJA PORTFELJA NA TRŽIŠTU KRIPTOVALUTA : Diplomski rad [Master's thesis]. Split: University of Split, Faculty of economics Split; 2021 [cited 2025 April 03] Available at: https://urn.nsk.hr/urn:nbn:hr:124:299884

L. Čeko, "OPTIMIZACIJA PORTFELJA NA TRŽIŠTU KRIPTOVALUTA : Diplomski rad", Master's thesis, University of Split, Faculty of economics Split, Split, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:124:299884

Metadata
TitleOPTIMIZACIJA PORTFELJA NA TRŽIŠTU KRIPTOVALUTA : Diplomski rad
AuthorLaura Čeko
MentorBranka Marasović (mentor)
MBZ: 274372
GranterUniversity of Split
Faculty of economics Split
Split
Defense date and country2021-09, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Quantitative Economics
Abstract
Cilj ovog istraživanja bio je utvrditi da diverzifikacija portfelja u različitim kriptovalutama može značajno poboljšati rezultate ulaganja. Pri tome je ispitano je li Markowitzev model optimizacije portfelja predstavlja i najbolji model prilikom investiranja. U analizi je tržište kriptovaluta uzeto kao uzorak. U teorijskom dijelu objašnjeno je tržište kriptovaluta, navedene su karakteristike kriptovaluta te je prezentirana moderna teorija portfelja, odnosno Markowitzev model optimizacije... More portfelja. Nadalje objašnjena je rizičnost vrijednosti – VaR i uvjetna rizičnost vrijednosti – CVaR, kao alternativne mjere rizika prilikom kreiranja portfelja. U emprijskom dijelu rada uzeto je devet kriptovaluta u uzorak, u promatranom razdoblju od 02.01.2017. godine do 11.02.2020. godine. Ispitana je normalnost distribucije prinosa kriptovaluta u promatranom razdoblju, kao osnovnom pretpostavkom Markowitzevog modela. Nakon izvršene analize, utvrđeno je kako prinosi nisu normalno distribuirani. Prema drugoj postavljenoj hipotezi kreirani su optimalni portfelji prema Markowitzevom modelu, kako bi se usporedili s modelom kriptovaluta jednakih udjela. Nakon analize donosi se zaključak kako Markowitzev model optimizacije daje bolje rezultate od portfelja kriptovaluta jednakih udjela, odnosno investiranjem u portfelj prema Markowitzevom modelu, investitor ostvaruje veće prinose. Nadalje prema trećoj hipotezi Markowitzev model je uspoređen s modelom temeljenim na CVaR-u, kako bi se utvrdilo uz primjenu koje mjere rizika investitor ostvaruje veće prinose. Prema rezultatima, model temeljen na CVaR-u daje bolje performase od Markowitzevog modela. Less
Abstract (english)
The aim of this study was to determine that portfolio diversification in different cryptocurrencies can significantly improve investment performance. It was examined whether Markowitz's portfolio optimization model is the best model for investing. In the analysis, the cryptocurrency market was taken as a sample. In the theoretical part, the cryptocurrency market is explained, the characteristics of cryptocurrencies are stated, and the modern portfolio theory, ie Markowitz's model of... More portfolio optimization, is presented. Value risk - VaR and conditional value risk - CVaR are further explained as alternative risk measures when creating a portfolio. In the empirical part of the paper, nine cryptocurrencies were taken in the sample, in the observed period from 02.01.2017. until 11.02.2020. The normality of the distribution of cryptocurrency yields in the observed period was examined as a basic assumption of the Markowitz model. After analysis, it was found that the yields were not normally distributed. According to the second hypothesis, optimal portfolios were created according to the Markowitz model, in order to be compared with the cryptocurrency model of equal shares. After the analysis, it is concluded that Markowitz's optimization model gives better results than the cryptocurrency model of equal shares, ie by investing in the portfolio according to Markowitz's model, the investor achieves higher returns. Furthermore, according to the third hypothesis, Markowitz's model was compared with the CVaR-based model, in order to determine which risk measures the investor achieves higher returns. According to the results, the CVaR-based model gives better performances than the Markowitz model. Less
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:124:299884
Study programmeTitle: Business Studies
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2021-10-26 10:49:41
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