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 164
- Downloads 0
Structural equation modelling of political marketing strategies adopted by political parties
Political Marketing is a recent phenomenon gaining importance quickly around the world Politicians and their political parties are using a large number of strategies to attract and retain the voters The present study has...
The Issue of Gender Ratio in India: An analysis
Summary: The status of women is a vital indicator of the development of any society. Developed societies do not discriminate the citizens based on the gender but the case is opposite in the less developed societies. In I...
Validity of Capital Asset Pricing Model & Stability of Systematic Risk (Beta) of FMCG - A Study on Indian Stock Market
Fast Moving Consumer Goods (FMCG) goods are all consumable items (other than groceries/pulses) that one needs to buy at regular intervals. These are items which are used daily, and so have a quick rate of consumption, an...
Job satisfaction of Arts and Science College Faculty members in Coimbatore city with reference to self-financing colleges
Teaching is considered as the noble profession irrespective of the position, branch of study and the institution where they work. The teachers who are working in Government educational institution and government aided in...
Effect of profession on managing work life balance of working women in India
Indian society mainly has deep rooted close connection of family system where Indian women has the role to play as nurturers and caretakers of whole family India in her transition phase post independence faced lot of cha...