COMPARATIVE ANALYSIS OF EVENTS ON THE WORLD MARKET USING THE SELECTED PORTFOLIO AND THE VAR METHOD

Danica Cicmil; Pavle Jakšić; Miloš Đaković

doi:10.5937/Oditor2302054C

Autori

Danica Cicmil Ekonomski fakultet Subotica, Univerzitet u Novom Sadu, Branka Bajića 9i, 21000 Novi Sad, R. Srbija Author
Pavle Jakšić Faculty of Economics in Subotica, University of Novi Sad, Pionirska 2, 15300 Loznica Author
Miloš Đaković Ekonomski fakultet u Subotici, Univerzitet u Novom Sadu, Vladimira Nazora 8, 24000 Subotica, R. Srbija Author

DOI:

https://doi.org/10.5937/Oditor2302054C

Ključne reči:

VaR, finansijska kriza, analiza portfolia

Apstrakt

Tema rada se fokusira na kretanje četiri berzanska indeksa u periodu od 2007. do 2022. godine, sa ciljem procene koja kriza je imala veći uticaj na pojedinačne indekse kao i na portfolio kreiran putem analize srednje varijanse. Takođe, sam rizik meren je metodom VaR (Vrednost u riziku). Svaki indeks predstavlja jednu klasu imovine, i računarska kalkulacija korišćenjem analize srednje varijanse predložila je određene pondere, koji su korišćeni u daljim proračunima. Glavni zaključak ovog rada jeste da je kriza u 2020. imala snažniji uticaj na sve indekse, i dovela do većih volatilnosti u prihodima nego što je kriza tokom 2008. godine. Dalje, portfolio kreiran putem analize srednjih vrednosti za investitore koji nisu skloni riziku je potvrdio ove rezultate, pokazujući najveću volatilnosti u prihodima celog portfolia u 2020. godini.

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