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dc.contributor.authorMarasović, Brankaen_US
dc.date.accessioned2010-06-16en_US
dc.date.accessioned2010-12-16T15:55:00Z-
dc.date.available2010-12-16T15:55:00Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/43401-
dc.description.abstractIn this paper we select an optimal portfolio on the Croatian capital market by using the multicriterial programming. In accordance with the modern portfolio theory maximisation of returns at minimal risk should be the investment goal of any successful investor. However, contrary to the expectations of the modern portfolio theory, the tests carried out on a number of financial markets reveal the existence of other indicators important in portfolio selection. Considering the importance of variables other than return and risk, selection of the optimal portfolio becomes a multicriterial problem which should be solved by using the appropriate techniques. In order to select an optimal portfolio, absolute values of criteria, like return, risk, price to earning value ratio (P/E), price to book value ratio (P/B) and price to sale value ratio (P/S) are included in our multicriterial model. However the problem might occur as the mean values of some criteria are significantly different for different sectors and because financial managers emphasize that comparison of the same criteria for different sectors could lead us to wrong conclusions. In the second part of the paper, relative values of previously stated criteria (in relation to mean value of sector) are included in model for selecting optimal portfolio. Furthermore, the paper shows that if relative values of criteria are included in multicriterial model for selecting optimal portfolio, return in subsequent period is considerably higher than if absolute values of the same criteria were used.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesEconomic analysis working papers 2009,3en_US
dc.subject.ddc330en_US
dc.titleComparison of optimal portfolios selected by multicriterial model using absolute and relative criteria valuesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn628574037en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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