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Primena Teorije Mreža U Optimizaciji Portfolija (Application Of Network Theory In Portfolio Optimization)

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  • Nikola Kosanović

Abstract

Svetska finansijska kriza 2007/8. pokazala je da diversifikovani portfoliji ipak mogu da dožive ozbiljne gubitke. Ovakvi gubici su rezultat nerazumevanja sistemskog rizika i uloge diversifikacije u njegovom kreiranju. Zato je nakon krize pažnja istraživača usmerena na optimizaciju portfolija u uslovima sistemskog rizika. Nemali broj radova ukazao je da su portfoliji koji su uvažili sistemski rizik ostvarili bolje rezultate od onih diversifikovanih prema Modernoj portfolio teoriji. Kriza je usmerila pažnju i u međusobnu isprepletenost učesnika, instrumenata i portfolija na tržištu, te se teorija mreža nameće kao alat za analizu ovakve tržišne strukture. Teorija mreža tržište akcija predstavlja kao mrežu u kojoj su akcije čvorovi, dok su ivice određene korelacijom prinosa među tim akcijama. Optimizacija portfolija zasnovana na teoriji mreža polazi od centralnosti kao mere sistemskog rizika. Centralnost akcije ukazuje na njen značaj za mrežu kao celinu. Između optimalnih pondera portfolija i centralnosti akcije postoji negativna veza. Na kraju rada je dat pregled investicionih strategija koje integrišu sistemski rizik u optimizaciju portfolija uključivanjem centralnosti akcija. Cilj rada je da istakne važnost uključivanja sistemskog rizika u optimizaciju portfolija, a posebno da naglasi mesto teorije mreža u razumevanju sistemskog rizika i njenu primenu u investicionim strategijama.

Suggested Citation

  • Nikola Kosanović, 2022. "Primena Teorije Mreža U Optimizaciji Portfolija (Application Of Network Theory In Portfolio Optimization)," Ekonomske ideje i praksa, Faculty of Economics and Business, University of Belgrade, issue 46, pages 47-59, September.
    • Handle: RePEc:beo:ekidpr:y:2022:i:46:p:47-59
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    More about this item

    Keywords

    optimizacija portfolija; centralnost; teorija mreža;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C00 - Mathematical and Quantitative Methods - - General - - - General

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