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2021, vol. 69, br. 5-6, str. 318-332
Ispitivanje portfolio optimizacije ulaganjem u berzanske indekse i bitkoin
aUniverzitet za poslovne studiјe, Fakultet za poslovne i finansiјske studiјe, Banja Luka, Republika Srpska, BiH
bUniverzitet u Banjoj Luci, Ekonomski fakultet, Republika Srpska, BiH
Ključne reči: diverzifikacija portfolija; optimizacija portfolija; bitkoin; optimalan portfolio; rizik; povrat
Sažetak
Rad se bavi empirijskom provjerom djelotvornosti i korisnosti diverzifikacije ulaganja koristeći glavne berzanske indekse i bitkoin. Cilj istraživanja je da se utvrde efekti primjene Markoviceve portfolio diverzifikacije odnosno optimizacije portfolija, tj. koristi od primjene moderne portfolio teorije za institucionalne investitore. Istraživanje će ponuditi odgovor na pitanje: "Koje su prednosti i nedostaci korištenja bitkoina u optimizaciji portfolija?" Doprinos rada ogleda se kroz predstavljanje dometa i ograničenja moderne portfolio teorije za institucionalne investitore. Zaključak je da racionalno ponašanje institucionalnih investitora nalaže razmatranje optimizacije portfolija upotrebom Markovicevog modela, jer je moguće kreirati portfolije koji na bazi istorijskih prinosa daju željene prinose uz određene rizik. Metodologija podrazumjeva analizu podataka visoke frekvencije, odnosno korišteni su dnevni podaci o trgovanju. Međutim, rezultati primjene značajno odstupaju od očekivanog prinosa. Rezultati pokazuju da je upotreba Markovicevog metoda portfolio selekcije, uz sva ograničenja, poželjna, moguća i primjenljiva, ali da ona ima ozbiljna ograničenja u smislu zanemarivanja transakcionih troškova, kursnih razlika i stvarne trgovine na berzi. Rezultati pokazuju da bitkoin predstavlja dobar izvor diverzifikacije u portfoliju koji sadrži tradicionalne finansijske instrumente kako za investitora koji nije sklon riziku, tako i za one investitore koji imaju veći apetit za rizik. Zaključak je da racionalno ponašanje institucionalnih investitora nalaže razmatranje ulaganja u bitkoin upotrebom Markovicevog modela. Ipak, uzimajući u obzir visoki stepen volatilnosti, investitori treba da budu veoma pažljivi kada donose odluke o uključivanju bitkoina u portfolio.
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O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.5937/EKOPRE2106318G
primljen: 19.01.2021.
objavljen u SCIndeksu: 26.11.2021.

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