Purpose: This paper explores the mean-variance inefficiency of cap-weighted indices based
on the CECE index as a benchmark. Methodology: For the period from March 2014 to …

Sažetak The work of Arnott et al.(2005) presented an interesting fact that the fundamentally-
weighted indices generally outperform the market capitalisation-weighted counterparts in …

Sažetak In the field of portfolio management the focus has been on the out-of-sample
estimation of the covariance matrix mainly because the estimation of expected return is …

Sažetak U nastojanjima da se najpoznatiji jedno-faktorski model, model procjenjivanja
kapitalne imovine (CAPM), primijeni u praksi često su se koristili dionički indeksi temeljeni …

The work of Haugen and Baker (1991) and Grinold (1992) has shown that market
capitalisation-weighted indices are not mean-variance efficient. Further research by Amenc …

In this paper, the possibility of using fundamental weighting as a tool to intentionally tilt a
portfolio toward specific and unobservable risk factors in the illiquid and undeveloped …

Sažetak Rad se bavi karakteristikama VaR (Value-at-Risk) metoda na hrvatskom tržištu
kapitala. Poseban fokus rada je stavljen na procjenu VaR pokazatelja u kontekstu …

This research deals with the analysis of different risk measures used for the identification of
the rewarded risk factors. Namely, various research has shown that there are some …

This research examines the role of the downside higher-order co-moment when pricing
securities on the Croatian stock market. Since the distribution of stock returns is generally …

In the past decade a variety of research analyzed the possibilities of moving away from
inefficient cap-weighted benchmarks by empirically testing different" smart" beta strategies …