%0 Journal Article
	%A Tea Poklepović and  Zdravka Aljinović and  Mario Matković
	%D 2015
	%J International Journal of Mathematical and Computational Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 100, 2015
	%T Efficient Frontier - Comparing Different Volatility Estimators
	%U https://publications.waset.org/pdf/10001020
	%V 100
	%X 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.

	%P 214 - 221