PREISPITIVANJE TOBINOVE TEOREME ODVAJANJA

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PREISPITIVANJE TOBINOVE TEOREME ODVAJANJA

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dc.contributor.advisor Stefanović, Nikola
dc.contributor.author Babanić, Mirko
dc.date.accessioned 2023-09-13T11:51:14Z
dc.date.available 2023-09-13T11:51:14Z
dc.date.issued 2022-09-15
dc.identifier.uri http://hdl.handle.net/123456789/5593
dc.description.abstract The preparatory part of the dissertation, which leads to the basic one, is based on return-variance parameters that represent two key random variables of the model devised by Markowitz. The research used historical data that in themselves reflect all available information absorbed by the financial market, and therefore, we can consider them not only homogeneous but also absolute (for reasons of realization). Therefore, an analytical procedure of approximation by a sixth-degree polynomial was performed on such data, which represent combinations of values of average returns and variances of portfolio returns, thus establishing a relation that is explicitly expressed by an algebraic sixth-degree polynomial equation. After that, further analytical procedure determined the conditions for the existence of both the minimum and the tangent portfolio and redefined the terms: efficient portfolio set, preference toward risk, risk aversion, and indifference line. The central topic of the dissertation, the revision of Tobin 's separation theorem, is formulated and proved through three theorems, one basic and two auxiliary. en_US
dc.description.provenance Submitted by Slavisha Milisavljevic (slavisha) on 2023-09-13T11:51:14Z No. of bitstreams: 1 Mirko Babanic - Disertacija.pdf: 1504175 bytes, checksum: 81799f4f3b6d8a37760f8484647a2e4a (MD5) en
dc.description.provenance Made available in DSpace on 2023-09-13T11:51:14Z (GMT). No. of bitstreams: 1 Mirko Babanic - Disertacija.pdf: 1504175 bytes, checksum: 81799f4f3b6d8a37760f8484647a2e4a (MD5) Previous issue date: 2022-09-15 en
dc.language.iso sr en_US
dc.publisher Beograd en_US
dc.title PREISPITIVANJE TOBINOVE TEOREME ODVAJANJA en_US
mf.author.birth-date 1966-10-21
mf.author.birth-place Priboj en_US
mf.author.birth-country Srbija en_US
mf.author.residence-state Srbija en_US
mf.author.citizenship Srpsko en_US
mf.author.nationality Srbin en_US
mf.subject.area finance en_US
mf.subject.keywords mean-variance partitive portfolio, riskless lending, efficient set, preference toward risk, risk aversion, indifference line, tangent portfolio en_US
mf.subject.subarea portfolio theory en_US
mf.contributor.committee Makojević, Nikola
mf.contributor.committee Barjaktarević, Lidija
mf.university.faculty Faculty of business en_US
mf.document.references 103 en_US
mf.document.pages 130 en_US
mf.document.location Belgrade en_US
mf.document.genealogy-project No en_US
mf.author.parent Petar en_US
mf.university Singidunum en_US

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