How Efficient Are Bosnian Stock Market Indexes?

Arnaut-Berilo, Almira; Zaimović, Azra

doi:10.2753/eee0012-8775500102

Cited by 4 publications

(2 citation statements)

References 8 publications

(8 reference statements)

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“…As a result, model present the investment vectors that provide the absolutely minimum portfolio return variance 2 with the pre-set return . By choosing randomly expected return of investment in the range ̅ ≤ ≤ ̅ 3 we can determine the efficient set of the observed security (Arnaut-Berilo, Zaimović, 2012). Square root of portfolio variance is used as measure of portfolio risk and it includes correlations between equity return.…”

Section: Investors' Preferencesmentioning

confidence: 99%

Efficiency of the minmax portfolio on the european capital market - can we beat the market

Arnaut-Berilo¹,

Zaimović²,

Sikalo³

2017

Pressacademia

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Purpose-This paper presents game theory approach for solving problem of the optimal investment portfolio selection. Methodology-Model was formed on the basis of historical returns on stocks presented as a matrix of payments. The goal is seeking the minimum between the largest potential losses, and therefore it is called minmax model. The main objective is to answer whether the minimax model tool performs better than the stock market index, and to verify the relationship between the established Markowitz meanvariance (MV) efficient portfolios and minmax optimum portfolio. We use data from the European capital market and Euro Stoxx 50 index as a reference index in the period 2004-2015, which we divided into two parts. We compared and analyzed the performance of the portfolios created through minimax model with the performance of market index and MV model in the actual investment period and it proved to be dominant and more successful. Findings-Results speak in favor of minmax portfolio model as effective passive investment strategy. It is possible to maximize returns over even longer periods of up to year without changing portfolio investments, i.e. without frequent trading and not just to gain market return, but to beat the market by this technical investing. Conclusion-Minmax model could be used for asset allocation in portfolio investments and that there is a real possibility to beat the market using minimax model.

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Section: Investors' Preferencesmentioning

confidence: 99%

Efficiency of the minmax portfolio on the european capital market - can we beat the market

Arnaut-Berilo¹,

Zaimović²,

Sikalo³

2017

Pressacademia

Self Cite

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show abstract

“…As a result, the model represents the investment vectors that provide the absolutely minimum portfolio return variance with the pre-set return E. By choosing randomly expected return of investment in the range 2 we can determine the efficient set of the observed security (Arnaut-Berilo and Zaimović, 2012).…”

Section: Methods and Data 31 Methodsmentioning

confidence: 99%

Portfolio Diversification in the South-East European Equity Markets

Zaimović

Arnaut-Berilo

Mustafic

2017

South East European Journal of Economics and Business

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Diversification potential enables investors to manage their risk and decrease risk exposure. Good diversification policy is a safety net that prevents a portfolio from losing its value. A well-diversified portfolio consists of different categories of property with low correlations, while highly correlated markets have the feature of low possibilities for diversification. The biggest riddle in the world of investments is to find the optimal portfolio within a set of available assets with limited capital. There are numerous studies and mathematical models that deal with portfolio investment strategies. These strategies take advantage of diversification by spreading risk over several financial assets. Modern portfolio theory seeks to find the optimal model with the best results. This paper tries to identify relationships between returns of companies traded in South-East European equity markets. A Markowitz mean-variance (MV) portfolio optimization method is used to identify possibilities for diversification among these markets and world leading capital markets. This research also offers insight into to the level of integration of South-East European equity markets. Principal component analysis (PCA) is

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