@article{(Open Science Index):https://publications.waset.org/pdf/10001020, title = {Efficient Frontier - Comparing Different Volatility Estimators}, author = {Tea Poklepović and Zdravka Aljinović and Mario Matković}, country = {}, institution = {}, abstract = {Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and compares three efficient frontiers on the Croatian Stock Market. The results show that range-based volatility estimator outperforms both mean-variance and lower semi-variance model. }, journal = {International Journal of Mathematical and Computational Sciences}, volume = {9}, number = {4}, year = {2015}, pages = {214 - 221}, ee = {https://publications.waset.org/pdf/10001020}, url = {https://publications.waset.org/vol/100}, bibsource = {https://publications.waset.org/}, issn = {eISSN: 1307-6892}, publisher = {World Academy of Science, Engineering and Technology}, index = {Open Science Index 100, 2015}, }