EFIKASNA VS. SLUČAJNA DIVERZIFIKACIJA RIZIKA
EFFICIENT VS. RANDOM RISK DIVERSIFICATION

Summary/Abstract: Diversification is a very old concept, not nessesary associated only with economic theory. Scholastic models witch exploit risk diversification effects in portfolio theory were developed during 1950es and 1960es in papers of Markowitz and Sharpe, for what both of them were awarded with Nobel Prize in Economics in 1990. Diversification reduces the portfolio return variability. It is portfolio risk reduction, and one of the key effects that is being used by individual and institutional investors on capital market. If the portfolio disicioun making is based on information about covarinace, i.e. correlation and standard deviation, than we say that efficient (Markowitz) diversification effects are beeing used. Mathematicaly and empiricaly speaking, it is shown that combining securities in portfolios randomly also reduces risk, what was introduced by Sharpe, who called it "random" diversification. This research offers a comparative analysis of quantitative models and effects of efficient and random diverzification. Both approches are being presented and the key differenced between them are being pointed out. In the paper we answer the question if it is possibile to reduce portfolio risk to zero, in accordance with both diversification approaches.

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