Effects of risk aversion on securities portfolio performance in underdeveloped capital markets: the case of the capital market of Bosnia and Herzegovina

摘要

The main goal of this article is to examine risk aversion impact onsecurities portfolio performance in underdeveloped capital markets.For the purpose of this research, portfolio performance was takenas a dependent variable, whereas investors’ attitude towards riskwas considered as an independent variable. The analysis resultshave revealed that, ceteris paribus, an increase in risk aversion leadsto a decrease in expected return and the creation of more superiorsecurities portfolio. The article is expected to produce useful piecesof information which might be helpful for investors in the process ofcreating their portfolios in underdeveloped capital markets.