The present paper analyses the portfolios composed from the shares of some Lithuanian firms. The methods applied to compose and examine the portfolios were those used in foreign countries: the Makowitz model, the Sharpe model, and the randomly composed portfolio. The latter model is the one in which the weight of shares is chosen without reference to any theory. The purpose of the paper is to examine the usefulness of the models in composing the portfolios of investment in the market of Lithuania. Then, the portfolios composed on the basis of different models are compared, and observed in the real market. Consequently, appropriate conclusions are drawn.
The shares of the observed firms are selected on the basis of three models, and, then, the portfolios are composed. The best portfolios were those composed from the shares, which were selected using the analysis of costs and the function of usefulness. After the application of the Makowitz model, Sharpe model and the randomly selected portfolio, the comparative analysis was done. It was observed that the portfolios composed on the basis of the Makowitz model have better change and risk characteristics than the portfolios made on the basis of other models. Also, in the respect of change and risk, all the composed portfolios are more effective than the index NSEL 30 used now.
After the risk evaluation, it was observed that if the number of shares in the portfolio grows, the risk decreases.
While observing the results of all... [to full text]
| Identifer | oai:union.ndltd.org:LABT_ETD/oai:elaba.lt:LT-eLABa-0001:E.02~2005~D_20050607_163711-68198 |
| Date | 07 June 2005 |
| Creators | Liekmanė, Akvilė |
| Contributors | Navickas, Zenonas, Pekarskas, Vidmantas Povilas, Janilionis, Vytautas, Valakevičius, Eimutis, Chmieliauskas, Alfredas, Rudzkis, Rimantas, Barauskas, Arūnas, Aksomaitis, Algimantas Jonas, Saulis, Leonas, Kaunas University of Technology |
| Publisher | Lithuanian Academic Libraries Network (LABT), Kaunas University of Technology |
| Source Sets | Lithuanian ETD submission system |
| Language | Lithuanian |
| Detected Language | English |
| Type | Master thesis |
| Format | application/pdf |
| Source | http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2005~D_20050607_163711-68198 |
| Rights | Unrestricted |
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