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undergraduate thesis
Modeliranje financijskih instrumenata
2021. urn:nbn:hr:126:308633
Botkuljak, Juraj
Josip Juraj Strossmayer University of Osijek
Department of Mathematics

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Botkuljak, J. (2021). Modeliranje financijskih instrumenata (Undergraduate thesis). Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics. Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:308633

Botkuljak, Juraj. "Modeliranje financijskih instrumenata." Undergraduate thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2021. https://urn.nsk.hr/urn:nbn:hr:126:308633

Botkuljak, Juraj. "Modeliranje financijskih instrumenata." Undergraduate thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2021. https://urn.nsk.hr/urn:nbn:hr:126:308633

Botkuljak, J. (2021). 'Modeliranje financijskih instrumenata', Undergraduate thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 23 December 2024, https://urn.nsk.hr/urn:nbn:hr:126:308633

Botkuljak J. Modeliranje financijskih instrumenata [Undergraduate thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2021 [cited 2024 December 23] Available at: https://urn.nsk.hr/urn:nbn:hr:126:308633

J. Botkuljak, "Modeliranje financijskih instrumenata", Undergraduate thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:126:308633

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Metadata
TitleModeliranje financijskih instrumenata
Title (english)Modelling of Financial Instruments
AuthorJuraj Botkuljak
MentorNenad Šuvak (mentor)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
Osijek
Defense date and country2021-09-30, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Financial and Business Mathematics
Abstract
Ovaj rad nastoji dati teorijski pregled kvantitativnih i kvalitativnih modela korištenih pri modeliranju cijena vrijednosnica na financijskim tržištima, s naglaskom na modele koji se zasnivaju na geometrijskom Brownovom gibanju i hipotezi učinkovitih tržišta. U okviru analize, cilj je za uvedene modele (stvarne i ilustrativne) identificirati specifična svojstva koja potencijalno mogu služiti kao teorijska osnova za razvoj konkretnih metoda optimizacije investicijskih portfelja. Poseban fokus je u tom kontekstu stavljen na svojstvo ne-ergodičnosti geometrijskog Brownovog gibanja na kojem se temelji i metoda optimizacije portfelja razvijena u okviru ovog rada.
Abstract (english)
This paper aims to provide a theoretical overview of selected models used in both quantitative and qualitative financial modeling, with an emphasis on the ones based on geometric Brownian motion and the efficient market hypothesis. The primary objective is to identify specific properties of such models which could potentially provide the theoretical basis of specialized portfolio optimization methods. Special attention is given to the non-ergodicity of geometric Brownian motion, which forms the basis of a proposed portfolio optimization method developed for the purposes of this paper.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:308633
Study programmeTitle: Bachelor of Mathematics and Computer Science
Study programme type: university
Study level: undergraduate
Academic / professional title: sveučilišni/a prvostupnik/prvostupnica (baccalaureus/baccalaurea) matematike i računarstva (sveučilišni/a prvostupnik/prvostupnica (baccalaureus/baccalaurea) matematike i računarstva)
Type of resourceText
File originBorn digital
Access conditionsOpen access
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Created on2021-10-28 07:33:27