Construction of Optimal Portfolio Using Sharpe's Single Index Model: An Empirical Study on Nifty 50 Stocks
Journal Title: Journal of Management Research and Analysis - Year 2017, Vol 4, Issue 2
Abstract
The construction of an optimal portfolio has become increasingly challenging in recent years, as investors expect to maximize returns and minimize risks from their respective investments. An investor needs to have proper knowledge of security analysis and portfolio theory for making correct investment decisions. In early 1950, Harry Markowitz developed a comprehensive model which stated that investors can reduce their risk through diversification In the present study Sharpe’s Single Index Model (SIM) is used to construct an optimal portfolio. The reason for choosing SIM over the Markowitz Model is that it requires fewer inputs and is easier to calculate. It is named as Single Index Model as it uses only a single index for portfolio construction. Further, the proportion of investment of each stock included in the optimal portfolio was also computed.
Authors and Affiliations
Tanuj Nandan, Nivedita Srivastava
Keywords
Related Articles
- EP ID EP312548
- DOI 10.18231/2394-2770.2017.0010
- Views 177
- Downloads 0
Heteroscedasticity in perception of viewers of television advertisements: A comparative study on different age groups
Purpose To analyze the portrayal of women in the advertisements and how respondents of different age react differently towards positive portrayal vs Nudity in television advertisementsDesignMethodologyApproach The sample...
Empowering Women through E-Ship in India: A Pragmatic Study of Challenges
Women empowerment is an ongoing phenomenon in India since independence and has taken various steps to do so. Time passed on and issues have taken new shape and definition. Today, challenges are still there before women b...
Measuring efficiency of distance educational institutes in India
In a period of Rajiv Gandhi Government was given more emphasized to HRD Departments. So new policy have adopted that continuation education programs empowered to working people. There are no of institutions imparting var...
Blessings of demonetization in Indian Economy – A study
The study about the concept of demonetization and its impact. After demonetization the economy had affected the different sectors mainly, retail, stock markets, E-commerce, financial inclusion, Gold market etc. Demonetiz...
Pedagogical Competence for Effective Teaching in Management Education
Teachers are using different methods/skills to impart knowledge of their area of study. An effective teacher creates a compatible environment for student learning, as per the academic as well as the needs of the professi...