摘要
Decision-making of investors at the stock exchange can be based on the fundamental indicators of stocks, on the technical indicators, or can exist as a combination of these two methods. The paper gives emphasis to the domain of technical analysis. In the broader sense the technical analysis enables the dynamics of the expected future values of the shares estimation. This can be performed on the basis of the data on historical trends of the revenues, profits and other indicators from the balance sheet, but also on the basis of historical data on changes in the values of the shares. Companies generally belong to the different sectors that have different presumptions of development resulting from the global market trends, technology and other characteristic. Processing of historical data values of the outstanding shares of the Zagreb Stock Exchange （ZSE） is origination of this research. Investors are interested to know the estimation of future returns for the stocks as well as the size of the risk associated with the expected returns. Research task in this paper is finding the optimal portfolio at the ZSE based on the concept of dominant portfolio by Markowitz approach. The portfolio is created by solving non-linear programming problem using the common software tools. The results of obtained optimal portfolios contain relevant conclusions about the specifics of the shares as well as the characteristics of the industrial sectors but also provide a further knowledge about diverse sectors treatment at the stock exchange in a multi-year period.
