EconPapers    
Economics at your fingertips  
 

Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange

Tihana Škrinjariæ
Additional contact information
Tihana Škrinjariæ: Faculty of Economics and Business, University of Zagreb, Croatia

Authors registered in the RePEc Author Service: Tihana Škrinjarić ()

Zagreb International Review of Economics and Business, 2013, vol. 16, issue 1, 65-78

Abstract: The Modern Portfolio Theory (MPT) has started a revolution in academic and investors’ circles since 1950s. In spite of the popularity of Markowitz’s portfolio selection, many critiques have been emerging throughout the years. One of them is the non normality of empirical return distributions. Accordingly, models have been developed in order to incorporate the aforementioned non normality. This paper focuses on the role of these models and optimizes a model with incorporated portfolio higher moments on Zagreb Stock Exchange. The results indicate that incorporating higher moments into the analysis changes the results sustainably when compared to the initial model. JEL Classification: G11

Keywords: portfolio selection; optimization; Zagreb Stock Exchange; stocks; polynomial goal programming. (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.efzg.hr/default.aspx?id=17772 (text/html)
Abstract only available on-line

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zag:zirebs:v:16:y:2013:i:1:p:65-78

Ordering information: This journal article can be ordered from
Zagreb International Review of Economics and Business, Faculty of Economics and Business, Trg J. F. Kennedy 6, 10000 Zagreb, Croatia.
http://www.efzg.hr/default.aspx?id=6045

Access Statistics for this article

Zagreb International Review of Economics and Business is currently edited by Soumitra Sharma

More articles in Zagreb International Review of Economics and Business from Faculty of Economics and Business, University of Zagreb Contact information at EDIRC.
Bibliographic data for series maintained by Jurica Šimurina (). This e-mail address is bad, please contact .

 
Page updated 2020-10-10
Handle: RePEc:zag:zirebs:v:16:y:2013:i:1:p:65-78