Abstract
Diversification is a method by which we can successfully reduce total risk of created portfolio to the level of market risk, or even lower, depending on which model of diversification investor chooses. At the same time, this was the aim of this reseach - to prove that with properly developed and implemented diversification, portfolio risk can be reduced to the level of systematic risk. Analysing the different examples through this research, that was proven, primarily through the basic hypothesis, in the case od American company IBM and stock index S & P 500. Through the refutation of 1st derivated hypothesis - that diversification across industries can provide advantage over the simple diversification, it was concluded that even with a selection of securities of different sectors of indurstry, systematic risk can not be avoided. In favor of diversification speaks 2nd derivated hypothesis, by which is confirmed that the international diversification is the model of diversification which is the best proved in practice and which largely reduces the risk of created portfolio, even the level of systematic risk can be reduced thanks to investing in securities on the capital markets of different countries.
Highlights
Diversification is a method by which we can successfully reduce total risk of created portfolio to the level of market risk, or even lower, depending on which model of diversification investor chooses
Diversification speaks 2nd derivated hypothesis, by which is confirmed that the international diversification is the model of diversification which is the best proved in practice and which largely reduces the risk of created portfolio, even the level of systematic risk can be reduced thanks to investing in securities on the capital markets of different countries
Polazeći kroz proces razvijanja diverzifikacije tokom različitih vremenskih perioda, od samog njenog početka pa do danas, kao i do implementacije njenih raznih modela, dolazi se do zaključka da je njen značaj u kreiranju optimalnog portfolia nemerljiv i da zaista predstavlja osnovu za portfolio sa minimalnim mogućim rizikom
Summary
Pod diverzifikacijom podrazumevamo „kombinaciju dve ili više hartija od vrednosti čiji se prinosi kreću u različitim smerovima, tako da prinos jednog finansijskog instrumenta ne izražava više samo njegov rizik, već je uslovljen rizikom celog portfolia“ (Brzaković, 2007). Diverzifikacijom se ne može eliminisati ukupan rizik. Deo rizika koji predstavlja razliku izmeĎu ukupnog i sistematskog rizika naziva se nesistematski ili specifični rizik. To je rizik koji je vezan za pojedinačne hartije od vrednosti, odnosno pojedinačne kompanije koje ih emituju. Iz prethodno navedenog se može zaključiti „da ni portfolio sa najvećim brojem hartija od vrednosti u svom sastavu ne smanjuje rizik ispod nivoa tržišnog rizika, tako da se diverzifikacijom može eliminisati samo deo rizika, ali sistematski rizik, tj. Postavlja se pitanje – koji je to optimalan broj hartija od vrednosti u diverzifikovanom portfoliu? Povećavanje broja hartija od vrednosti i njihov uticaj na portfolio Napomena. Efekat diverzifikacije može se objasniti na primeru američke računarske kompanije IBM i berzanskog indeksa S & P 500. Zahvaljujući ovom primeru, dokazana je osnovna hipoteza, da je diverzifikacija osnova za kreiranje optimalnog portfolia
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