References
- 1. Ang, A., Chen, J., Xing, Y. (2006a). Downside risk. The Review of Financial Studies, Vol. 19, No. 4, pp. 1191-1239.
- 2. Ang, A., Hodrick, R., Xing, Y., Zhang, X. (2006b). The Cross Section of Volatility and Expected Returns. Journal of Finance, Vol. 51, No. 1, pp. 259-299.
- 3. Amenc, N., Goltz, F., Martellini, L., Retkowsky, P. (2011). Efficient Indexation: An Alternative to Cap-Weighted Indices. The Journal of Investment Management, Vol. 9, No. 4, pp. 1-23.
- 4. Amenc, N., Goltz, F., Martellini, L. (2013). Smart Beta 2.0. Nice, France: EDHEC-Risk Institute.
- 5. Arnerić, J., Jurun, E., Pivac, S. (2006). Parametric Forecasting of Value at Risk Using Heavy Tailed Distribution. In: Proceedings of the 11th International Conference on Operational Research. Pula, pp. 65-75.
- 6. Arnerić, J., Jurun, E., Pivac, S. (2009). Multivariate risk-return decision making within dynamic estimation. Revista investigación operacional, Vol. 30, No. 1, pp. 11-19.
- 7. Bali, T. G., Demirtas, K. O., Levy, H. (2009) Is There an Intertemporal Relation between Downside Risk and Expected Returns? Journal of Financial and Quantitative Analysis, Vol. 44, No. 4, pp. 883-909.
- 8. Benaković, D., Posedel, P. (2010). Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market. Business systems research, Vol. 1, No. 1-2, pp. 1-50.
- 9. Bollerslev, T., Li, S. Z., Zhao, B. (2018). Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. Journal of Financial and Quantitative Analysis, forthcoming, pp. 1-57.
- 10. Bollerslev, T., Tauchen, G., Zhou, H. (2009). Expected Stock Returns and Variance Risk Premia. The Review of Financial Studies, Vol. 22, No. 11, pp. 4463-4492.
- 11. Choueifaty, Y., Coignard, Y. (2008). Toward Maximum Diversification. Journal of Portfolio Management, Vol. 35, No. 1, pp. 40-51.
- 12. Christoffersen, P., Errunza, V., Jacobs, K., Jin, X. (2012). Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach. Review of Financial Studies, Vol. 25, No. 12, pp. 3711-3751.
- 13. Dolinar, D. (2013). Test of the Fama-French three-factor model in Croatia. UTMS Journal of Economics, Vol. 4, No. 2, pp. 101-112.
- 14. Dolinar, D., Orsag, S., Sudar, A. (2014). Macroeconomic factors and stock returns – evidence from Croatian stock market. In: WDSI 2014 proceedings: Western Decision Sciences Institute forty third annual meeting Napa, California: Western Decision Sciences Institute.
- 15. Dolinar, D., Zoričić, D., Kožul, A. (2017). Towards the Estimation of an Efficient Benchmark Portfolio: The Case of Croatian Emerging Market. Zagreb international review of economics & business, Vol. 20, No. S1, pp. 13-24.
- 16. Džaja, J., Aljinović, Z. (2013). Testing CAPM model on the emerging markets of the Central and Southeastern Europe. Croatian Operational Research Review (CRORR), Vol. 4, No. 1, pp. 164-175.
- 17. Fama, E. F., MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, Vol. 81, No. 3, pp. 607-636.
- 18. Fama, E. F., French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, Vol. 33, No. 1, pp. 3-56.
- 19. Feunou, B., Lopez Aliouchkin, R., Tédongap, R., Xu, L. (2017). Variance Premium, Downside Risk, and Expected Stock Returns. Working paper, pp. 1-50.
- 20. Fruk, M., Huljak, I. (2004). Testiranje Sharpe-Lintnerova modela na Zagrebačkoj burzi. Financijska teorija i praksa, Vol. 28, No. 1, pp. 77-91.
- 21. Gardijan, M., Škrinjarić, T. (2015). Estimating investors preferences towards portfolio return distribution in investment funds. CRORR Croatian Operational Research Review, Vol. 6, No. 2, pp. 1-16.
- 22. Glosten, L. R., Jagannathan, R., Runkle, D. E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, Vol. 48, No. 5, pp. 1779-1801.
- 23. Huang, W., Liu, Q., Rhee, S. G., Wu, F. (2012). Extreme downside risk and expected stock returns. Journal of Banking & Finance, Vol. 36, No. 5, pp. 1492-1502.
- 24. Jurun, E., Pivac, S., Arnerić, J. (2007). Historical and Prognostic Risk Measuring Across Stocks and Markets. Journal of WSEAS Transactions on Business and Economics, Vol. 4, pp. 126-134.
- 25. Kunovac, D. (2011). Asymmetric correlation on the Croatian equity market. Financial Theory and Practice, Vol. 35, No. 1, pp. 1-24.
- 26. Ledoit, O., Wolf, M. (2004). Honey, I shrunk the sample covariance matrix. The Journal of Portfolio Management, Vol. 30, No. 4, pp. 110-119.
- 27. Maillard, S., Roncalli, T., Teiletche, J. (2010). On the Properties of Equally-Weighted Risk Contributions Portfolios. Journal of Portfolio Management, Vol. 36, No. 4, pp. 60-70.
- 28. Malkiel, B. G., Xu, Y. (1997). Risk and Return Revisited. The Journal of Portfolio Management, Vol. 23, No. 3, pp. 9-14.
- 29. Martellini, L. (2008). Towards the Design of Better Equity Benchmarks: Rehabilitating the Tangency Portfolio from Modern Portfolio Theory. The Journal of Portfolio Management, Vol. 34, No. 4, pp. 34-41.
- 30. Minović, J., Živković, B. (2014). CAPM augmented with liquidity and size premium in the Croatian stock market. Ekonomska istraživanja, Vol. 27, No. 1, pp. 191-206.
- 31. Odobašić, S., Tolušić, M., Tolušić, Z. (2014). The application of CAPM model on selected shares on the Croatian capital market. Ekonomski vjesnik: Review of Contemporary Entrepreneurship, Business, and Economic Issues, Vol. 27, No. 2, pp. 297-311.
- 32. Perković, A. (2011). Research of beta as adequate risk measure – is beta still alive? Croatian Operational Research Review, Vol. 2, No. 1, pp. 102-111.
- 33. Škrinjarić, T., Kojić, V. (2014). Modeliranje prinosa dionica na ZSE pomoću Markovljevih lanaca. Ekonomski pregled: Mjesečnik Hrvatskog društva ekonomista Zagreb, Vol. 65, No. 3, pp. 207-221.
- 34. Škrinjarić, T., Šego, B. (2016). Dynamic portfolio selection on Croatian financial markets: MGARCH approach. Business Systems Research, Vol. 7, No. 2, pp. 78-90.
- 35. Škrinjarić, T., Šostarić, N. (2014). Komplementarnost metodologije Markovljevih lanaca i Markowitzevog modela optimizacije portfelja. Ekonomska misao i praksa: časopis Sveučilišta u Dubrovniku, Vol. 23, No. 1, pp. 353-370.
- 36. Verousis, T., Voukelatos, N. (2018). Cross-sectional dispersion and expected returns. Quantitative finance, Vol. 18, No. 5, pp. 813-826.
- 37. Zoričić, D., Dolinar, D., Lovretin Golubić, Z. (2018a). A test of global minimum variance portfolio in the Croatian capital market. In: Book of proceedings of 7th International Scientific Symposium Economy of Eastern Croatia - Vision and Growth. Osijek: Sveučilište Josipa Jurja Strossmayera u Osijeku, Ekonomski fakultet u Osijeku, pp. 1165-1173.
- 38. Zoričić, D., Dolinar, D., Lovretin Golubić, Z. (2018b). Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market. Zagreb International Review of Economics & Business, Vol. 21, Special Conference Issue, pp. 43-53.