Towards the Estimation of an Efficient Benchmark Portfolio: The Case of Croatian Emerging Market
Sažetak The fact that cap-weighted indices provide an inefficient risk-return trade-off is well
known today. Various research approaches evolved suggesting alternative to cap-weighting …
known today. Various research approaches evolved suggesting alternative to cap-weighting …
Performance analysis of fundamentally-weighted indices in the Croatian capital market
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 …
weighted indices generally outperform the market capitalisation-weighted counterparts in …
Efficiency of CROBEX and CROBEX10 stock markets indices
A Habibovic, D Zoricic, ZL Golubic - UTMS Journal of Economics, 2017 - econstor.eu
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 …
capitalisation-weighted indices are not mean-variance efficient. Further research by Amenc …
Application of Luenberger Shortage Function on the Zagreb Stock Exchange: Analysis of Efficient Market Portfolios
D Dolinar, T Škrinjarić, D Zorišić - Croatian Operational …, 2018 - search.proquest.com
In order to apply the CAPM in practice, the estimation of the market portfolio presents one of
the biggest challenges. Even more so after the research in early 1990s pointed out the mean …
the biggest challenges. Even more so after the research in early 1990s pointed out the mean …