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The characteristics of the developing market to which the Serbian market belongs are: illiquidity, low turnover and nontransparency. The aim of this paper is to examine the possibility of application of the Markowitz's model for forming the set of efficient portfolios on the capital market in Serbia. The research is based on previous theoretical and empirical research in the world. Statistical methods of determining return and risk, matrix of variances and covariances for liquid shares have been applied. Portfolio optimization has been conducted by add-in programme Solver included in the Microsoft Excel package, respecting the limitations according to Markowitz's model. The results of the analysis have shown that the set of efficient portfolios, which meets the criterion that they give minimal risk for the given return, can be formed on the capital market in Serbia. The results show that Markowitz's model allows the investors to select the efficient portfolio, but only for liquid shares, depending on the risk they are ready to accept. The findings of this paper indicate that expressive illiquidity on the Serbian market and insufficient number of shares for diversification by sectors make the practical application of the research results difficult.

The Application of the Markowitz’s Model in Efficient Portfolio Forming on the Capital Market in the Republic of Serbia