Theoretical and Applied Economics
No. 4 / 2021 (629), Winter
Application of single Sharpe index on the optimal portfolio construction using Indian blue-chip stocks
Mizoram University, Tanhril, India
Rajkumar Giridhari SINGH
Mizoram University, Tanhril, India
Abstract. Portfolio plays an important role for an investor as it reduces the risk and maximize the return on investment. But portfolio construction is a complicated process. To ease the process of portfolio construction many academicians developed optimal portfolio construction model, the Sharpe Single Index model is one of them. The present study has used the Sharpe Single Index model to construct an optimal portfolio in the Indian Capital Market using blue chip companies listed with NSE from 1st January 2011 to 21st January 2021. For the present study total 27 blue chip stocks were found and their weekly and monthly closing price data collected. After analysis of the data the study found that for the weekly data out of 27 securities only 1 security is found to be eligible for the optimal portfolio whereas 18 securities are found for the monthly data. The reason for finding this contrary result may be due to data variation. So, from this finding we can say that for the particular model it is better to use monthly data rather than using daily or weekly data which are too volatile to predict the returns of the securities and construct a portfolio. The result of the study would be useful to long-term investors who can either copy this portfolio or pick and choose from among these stocks.
Contents
The pandemic crisis – A new factor to slow down the expansion of the Eurozone
Revealing the effects of competitiveness and innovation on economic growth: Evidence from European leading and following countries
Public service delivery dilemma and economic growth challenges in the MENA Region
Hidden Markov Model using transaction patterns for ATM card fraud detection
Productivity growth in Chinese cities: The agglomeration effect for cross-regional industrial structures
Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach
Non-linear effect of public debt on economic growth: The case of Tunisia
Application of single Sharpe index on the optimal portfolio construction using Indian blue-chip stocks
Budget policy, economic cycle and debt in the West African Economic and Monetary Union (WAEMU) countries: Empirical evidence based on a regime change model
The impact of government spending on the economic growth of a sample of developing countries using panel data
The evolution of consumer prices – the main brake on economic growth
Analysis of income inequalities in the pre-pandemic COVID-19 period