Volume No. :   10

Issue No. :  3

Year :  2019

ISSN Print :  0976-495X

ISSN Online :  2321-5763


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Optimal Vs 1/N Diversification and Portfolio Evaluation: A study on Indian Stock Market



Address:   V. Harshitha Moulya1, Abuzar Mohammadi1, Dr T. Mallikarjunappa2
1Research Scholar, Department of Business Administration, Mangalore University, Mangalagangothri, Konaje, Mangalore 574199 Karnataka
2Professor, Department of Business Administration, Mangalore University, Mangalagangothri, Konaje, Mangalore 574199 Karnataka
*Corresponding Author
DOI No: 10.5958/2321-5763.2019.00039.8

ABSTRACT:
The Modern portfolio theory of Markowitz (1952) proposed maximisation of expected utility and minimisation of the risk of the optimal portfolio for the risk-averse investors. We used the linear programming technique to estimate the optimal portfolio weights for the mean-variance efficient optimal portfolio using rebalanced and non-rebalanced portfolios and compared the performances against the 1/N heuristic portfolio. We found that the minimum-variance optimal portfolio performed better than the 1/N heuristic portfolio.
KEYWORDS:
Portfolio Optimisation, Markowitz portfolio, Portfolio rebalancing, portfolio return-risk, NSE
Cite:
V. Harshitha Moulya, Abuzar Mohammadi, T. Mallikarjunappa. Optimal Vs 1/N Diversification and Portfolio Evaluation: A study on Indian Stock Market. Asian Journal of Management. 2019; 10(3): 248-254.
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