THE SINGLE INDEX MODEL & THE CONSTRUCTION OF OPTIMAL PORTFOLIO: A CASE OF BANKS LISTED ON NSE INDIA

Risk Governance & Control: Financial Markets & Institutions

关键词: Risk &;    Return;    Efficient Portfolio;    Sharpe Index Model;    CNX Bank;    Cutoff Point;   

DOI  :  10.22495/rgcv4i2c1art3

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

Risk and return plays an important role in making any investment decisions. Decisions that range from ‘Should the investment be done?’ and if yes, then ‘which security should comprise portfolio?’ In the present study 10 companies listed at National Stock Exchange (NSE) and CNX Bank Price Index was selected taking Jan 2009 to Dec 2013 as period of study. The monthly closing prices of the selected securities were used for the above mentioned period. Application of Single Index Model for the empirical analysis identified a portfolio of two companies based on the cut-off point.

【 授权许可】

CC BY-NC