Portfolio Construction

Researchjournalis Journal of Finance
Vol. 2 | No. 2 February | 2014 ISSN 2348-0963

1

www.researchjournali.com

NITHYA.J
AssistantProfessor,DepartmentofCommerceand
InternationalBusiness,Dr.G.R.D.Collegeof
Science,Coimbatore-641004,TamilNadu
Optimal Portfolio
Construction With
Markowitz Model
Among Large Caps In
India


2

Abstract
The aim of this project is to construct effective portfolio for the large cap companies. This study enables to
know the performance of some Nifty Fifty companies having larger market capitalization. The analysis given
on this project is on the basis of risk & return and on Sharpe index model. This project suggests best
investment decision in selected large cap industries. By closely watching the daily price changes the trend and
time of entry and exit in the market can be predicted. In short the decisions as which script has to make sell
decisions and the composition of funds of asset allocation for each script can be analyzed by the way of
modern approach using Single Index Model (Sharpe model).

1. Introduction
The risk of a portfolio comprises systematic risk, also known as un- diversifiable risk, and unsystematic risk
which is also known as idiosyncratic risk or diversifiable risk. Systematic risk refers to the risk common to all
securities, i.e. market risk. Unsystematic risk is the risk associated with individual assets. Unsystematic risk
can be diversified away to smaller levels by including a greater number of assets in the portfolio (specific
risks "average out"). The same is not possible for systematic risk within one market. Depending on the
market, a portfolio of approximately 30-40 securities in developed markets such as UK or US will render the
portfolio sufficiently diversified such that risk exposure is limited to systematic risk only. In developing
markets a larger number is required, due to the higher asset volatilities.

A rational investor should not take on any diversifiable risk, as only non-diversifiable risks are rewarded
within the scope of this model. Therefore, the required return on an asset, that is, the return that compensates
for risk taken, must be linked to its riskiness in a portfolio contexti.e. its contribution to overall portfolio
riskinessas opposed to its "stand alone risk." In the CAPM context, portfolio risk is represented by higher
variance i.e. less predictability. In other words the beta of the portfolio is the defining factor in rewarding the
systematic exposure taken by an investor.

A rational investor always attempts to minimize risk and maximize return on his investment. Investing in
more than one security is a strategy to attain this often-conflicting goal. In 1952, Harry M. Markowitz
developed a model that could be used to systematically operationalise the old adage dont put all eggs in
one basket. Markowitz's portfolio model is concerned with selecting optimal portfolio by risk adverse
investors. According to the model risk adverse investors should select efficient portfolios, the portfolio that
maximizes return at a given level of risk or minimize risk at a given level of return, which can be formed by
combining securities having less than perfect positive correlations in their returns. Markowitz model was

3

theoretically elegant and conceptually sound. However, its serious limitation was the volume of work well
beyond the capacity of all except a few analysts.

To resolve the problem William F. Sharpe developed a simplified variant of the Markowitz model that
reduces substantially its data and computational requirements (Sharpe 1963). As per Sharpes model, the
construction of an optimal portfolio is simplified if a single number of measures the desirability of including a
stock in the optimal portfolio. If we accept his model, such a number exists. In this case, the desirability of
any stock is directly related to its excess return-to-beta ratio. If the stocks are ranked from highest to lowest
order by excess return to beta that represents, the desirability of any stock's inclusion in a portfolio. The
number of stocks selected depends on a unique cut off rate such that all stocks with higher ratios will be
included and all stocks with lower ratios excluded.

Markowitzs original work still defines the main analytical tool for choosing optimal portfolios. In practice,
however, most of the work of the portfolio manager is done in preparing the inputs for the Markowitz model
(the forecasts for portfolio return and portfolio variance), and in interpreting the outputs of the model. The
most recent advances in portfolio management have focused on ways to analyze in more detail the different
sources contributing to the total risk in a portfolio.

A major consequence of our understanding of a number of alternative investment strategies as being
inherently short event risk is to reassess their role as diversifiers for conventional stock-and-bond portfolios.
The nature of correlation changes dramatically during eventful times. In the fall of 1998, for example, the
correlation of market-neutral hedge funds to broad markets approached 1.0. Therefore, one should probably
not rely on diversification arguments in advocating hedge-fund investments. Instead, one should probably
note whether an investor is particularly well paid for assuming a funds risks and also decide whether an
investor is in a unique position to assume risks that others wish to lay off or not taken on.

Assuming that the rational investor seeks to maximize the expected return for a given level of volatility, or
equivalently seeks to minimize portfolios ex- ante risk for any given expected return, Markowitz [1952, 1959]
triggered the development of modern portfolio theory with the introduction of the mean-variance framework.
The concept of portfolio efficiency quantifies existing link between risk and return of a portfolio and the
complete set of optimal (or efficient) portfolios consequently forms the mean-variance frontier. Built upon the
mean-variance framework, the Capital Asset Pricing Model (CAPM) as developed by Sharpe [1964], Lintner
[1965] and Mossin [1966] states that under some certain conditions and taking different levels of investors'

4

risk tolerance into account, the portfolio that provides the highest reward per unit of risk, better known as
Maximum Sharpe Ratio (MSR) portfolio should be held by all market participants.

Although mean-variance analysis and the CAPM are two pillars of modern finance, these models have been
scrutinized since their introduction. Especially simplified assumptions, namely the aim of rational and risk
averse investors to maximize economic utilities without influencing prices, having homogeneous investment
views based on all information to be available at the same time to all investors, trading without any costs and
holding a well diversified portfolio, have been strongly criticized. While Roll [1977] passed criticism on the
observability of the tangential portfolio, Merton [1980] found that already small changes in return estimates
can lead to completely different optimal weights in a portfolio construction process. In a nutshell, due to the
CAPM general assumptions and the question about availability of risk and return estimates, the mean-
variance framework is known to have difficulties in its practical implementation.

Extending the work from Merton [1987], Malkiel and Xu [2006] found that if investors do not hold the
market portfolio, unsystematic risk is positively related to stock returns. According to Martellini [2008], taken
together with the fact that asset pricing theory implies a positive premium for systematic risk, these findings
suggest a positive relationship between total volatility and expected returns. However, Haugen and Baker
[1991] were the first to provide empirical evidence for the inefficiency of market capitalization-weighted
indices and exclusively focused on risk in their alternative portfolio construction process. Repeatedly
investing into a stock portfolio constructed to expose investors to minimum risk as measured by variance
provided a higher Sharpe Ratio (SR) than the Wilshire 5000 index in the period 1972-1989 and therewith
inspired further risk-based investing approaches. This paper adopts the question of how to construct an
optimal portfolio regarding different risk objectives and contributes to existing literature by examining using
Sharpes single index method.

2. Statement Of Problem
The report has been prepared for the basis of studying the various avenues or sectors where investors can
invest their savings in a group of securities or portfolios. Creation of portfolios helps to reduce risk, without
sacrificing returns. Portfolio management deals with the analysis of individual securities as well as with the
theory and practice of optimally combining securities into good portfolios. Portfolio is constructed to
diversify the risks and maintain perfect negative correlation between the securities held together. Framing
portfolio by selecting securities based on brand identity and recent performance does not turn up anticipated
return in long term. This paper is built around cooking up the portfolio by balancing the positive and negative
correlation existing between the securities and in turn getting returns closer to the anticipated results.

5

2.1 Objectives
The main objective of this study is to create an optimum portfolio using Sharpes single index model.
In this study secondary data sources are used.
We also consider the movement of share prices, expected returns, standard deviation and beta values.
The stock price movements, closing index points of the companies and beta values for the past four years
are collected for analysis.
The risk free rate of return is known.
All the values obtained above are interpreted and analysed using Sharpes single index model.
2.2 Scope Of The Study
Selection of companies is restricted to Nifty fifty only.
Of the fifty company of the index, the companies are chosen and analysed based on their performance in
the past four fiscal years.
No other factors other than the Share price movements, index movements, rate of return on government
securities and beta values for the securities for the past four years are taken for analysis.
2.3 Limitations
1. Only four years data has been considered for the construction of optimal portfolio.
2. Due to time constraint we are doing for only randomly selected fifteen scrips.
3. The portfolio is constructed purely on the basis of Sharpes model which basically considers the stock
price movements and does not take into consideration company specific factors, industry specific factors
and economic specific factors.

3. Review Of Literature
TANJA MAGO_C, M.S.(2009), the techniques that are used to solve the problem of optimal portfolio
selection all have their drawbacks. To solve these problems, we propose a new approach driven by utility-
based multi-criteria decision making setting, which utilizes fuzzy measures and integration over intervals. The
novel approach for an optimal portfolio selection has shown significant impact on the improvements of the
existing techniques both theoretically and experimentally. A common criterion for this assessment is the
expected return-to-risk trade-off as measured by the Sharpe ratio. Given that the ideal, maximized Sharpe
ratio must be estimated, we develop, in this paper, an approach that enables us to assess ex ante how close a
given portfolio is to this ideal. For this purpose, we derive the large-sample distribution of the maximized
Sharpe ratio, as obtained from sample estimates, under very general assumptions. This distribution then
represents the spectrum of possible optimal return-risk trade-offs that can be constructed from data.
Seegopaul, Hamish; Gupta, Francis; Prestbo, John (2005), For many plan sponsors, the greatest allocation to a

6

single asset class is generally to domesticlarge-cap equities, so even a marginal difference in the performance
of this asset class over a long period can result in significant differences in the value of overall plan.Gotoh,
Jun-ya; Takeda, Akiko(2011), the reformulations of the robust counterparts of the value-at-risk (VaR) and
conditional value-at-risk (CVaR) minimizations contain norm terms and are shown to be highly related to the
-support vector machine (-SVM), a powerful statistical learning method. For the norm-constrained VaR and
CVaR minimizations, a nonparametric theoretical validation is posed on the basis of the generalization error
bound for the -SVM.Dale, Garry (2009), The adviser's job, often with the help of a computerized modeling
tool, is to balance the asset weighted portfolio against the client's assessed risk profile. Admittedly, this
sounds complex, but, in simple terms, a client's risk profile is a measure of how much capital they are
prepared to lose over a given period of time. Not, as many understand it, where the client fits on a scale of one
to ten. Jacobson, Brian J (2006), one of the challenges of using downside risk measures as an alternative
constructor of portfolios and diagnostic device is in their computational complexity, intensity, and
opaqueness. The question investors, especially high-net-worth investors who are concerned about tax
efficiency, must ask is whether downside risk measures offer enough benefits to offset their implementation
costs in use. A final insight is an outline of how to forecast risk using distributional scaling. Marketing
business weekly (2008), Calibration procedure proved superior to existing methods of averaging two or more
separate optimizations made with one or more risk models. First, optimality is guaranteed since there is no ad
hoc averaging done after optimization. Second, overly conservative solutions are explicitly avoided as the
primary tracking error constraint is always binding. Third, there often is a substantial synergistic benefit when
both risk models affect the solution. Bilbao, A; Arenas, M; M Jimnez; B Perez Gladish; M V Rodrguez
(2006), Expert estimations about future Betas of each financial asset have been included in the portfolio
selection model denoted as `Expert Betas' and modeled as trapezoidal fuzzy numbers. Value, ambiguity and
fuzziness are three basic concepts involved in the model which provide enough information about fuzzy
numbers representing `Expert Betas' and that are simple to handle. Clarke, Roger (2002),The ex-ante
relationship is a generalized version of a previously developed "fundamental law of active management" and
provides an important strategic perspective on the potential for active management to add value. The ex post
correlation relationship represents a practical decomposition of performance into the success of the return-
prediction process and the "noise" associated with portfolio constraints.Rudin, Alexander M; Morgan,
Jonathan S,(2006), Despite the importance of diversification in portfolio construction, our current methods of
measuring it are inefficient. Implementation in hedge fund strategies reveals that various hedge funds offer
less diversification than may have been thought, and that there has been reduced diversification in the past
several years,Kangari, R, Riggs, L S,(1988)Two major obstacles are risk evaluation associated with each
project and the correlation coefficient between projects, which describes the efficiency of the diversification.
The probabilistic approach that is suggested is a more realistic approach to the evaluation of correlation. It is

7

not possible for a contractor to completely diversify a portfolio, so industry risk cannot be
eliminated.Borkovec, Milan; Domowitz, Ian(2010)Accounting for trading costs ex ante delivers superior net
returns, broader diversification, lower turnover, and a portfolio robust to noisy alpha signals, relative to
standard mean-variance stock selection and portfolio construction. Mitigation of transaction costs, leading to
improvement in realized returns and better alignment of return with risk, begins at the portfolio construction
stage and therefore should not be controlled only at the level of trading desks.

4. Research Methodology
This is a descriptive study on the construction of portfolio of stocks. The data taken for the study is Secondary
in nature. The data has been collected from various websites like National Stock Exchange (NSE) and also
from the databases of Ebsco and Proquest. The study is conducted with the financial data for the past four
years from 1 April 2008 to 31 March 2012. The sample size of the study is limited to 15 large cap companies.
They are a combination of stocks from various sectors namely Banking, Information Technology, Energy,
FMCG, Infra, Pharma, etc.. The sampling technique adopted is Random Sampling.

4.1 Tools Used For Data Analysis
Beta Coefficient
Beta coefficient is the relative measure of non-diversifiable risk. It is an index of the degree of movement of
an assets return in response to a change in the markets return.
=Correlation*(Y)/(X)
Where, (Y) = Standard Deviation of Individual Stock,
(X) = Standard Deviation of Market

Return
The total gain or loss experienced on an investment over a given period of time, calculated by dividing the
assets cash distributions during the period, plus change in value, by its beginning-of-period investment value
is termed as return.
Return = ((Todays market price Yesterdays market price)/Yesterdays market price)*100

Efficient Portfolio
A portfolio that maximizes return for a given level of risk or minimizes risk for a given level of return is
termed as an efficient portfolio.


8

Correlation
A statistical measure of the relationship between any two series of numbers representing data of any kind is
known as correlation.

Risk-Free Rate Of Return (Rf)
Risk-free rate of return is the required return on a risk free asset, typically a three month treasury bill.

Excess Return-Beta Ratio
Excess Return- Beta Ratio = Ri-Rf/i
Where, Ri= the expected return on stock,
Rf = the return on a riskless asset,
i= the expected change in the rate of return on stock associated with one unit change in the market return.

Cut-Off Point
Ci = (MV*(Ri-Rf) /NRV)/ (1+MV*^2/NRV)
Where MV=variance of the market index
NRV = variance of a stocks movement that is not associated with the
movement of market index that is stocks unsystematic risk.

I nvestment To Be Made I n Each Security
N
Xi=Zi/Zi
i=1
Where, Xi= the proportion of investment of each stock.
And Zi=i/NRV (Ri-Rf/i-Ci)
Where, Ci = the cut-off point.

5. Analysis And Discussions
The best model to measure the risk is standard deviation and beta and using this stock return is calculated.

Table 1: Return, Standard Deviation, Beta and Residual Variance of Individual Stock
Portfolio Scrips Individual Return Unsystematic Risk
ITC 45.15630781 2.48941059 0.561263549 6.197165084

9

HDFC -8.034497417 3.792903111 1.148901333 14.38611401
INFOSYS 2.956756271 1.923710021 0.692962931 3.700660244
ICICI 72.82353214 3.39112593 1.549568331 11.49973507
ONGC -39.13308354 3.322595538 0.825152399 11.03964111
SBI 62.29244616 2.734717596 1.143667091 7.478680331
TATA MOTORS 60.63047122 4.300381038 1.30728804 18.49327707
M&M 69.60074429 3.386513204 1.074686915 11.46847168
NTPC 0.866573602 1.964663737 0.722779541 3.859903601
BHEL -85.35497731 3.593234935 1.032742164 12.9113373
CIPLA 51.13273521 1.938771035 0.498426256 3.758833127
WIPRO 49.03034737 2.803540103 0.886436543 7.85983711
DLF -36.97339488 3.937281052 1.572556532 15.50218208
RANBAXY 49.53198033 2.989680009 0.745920128 8.938186558
SAIL -10.1237203 3.231801617 1.296612145 10.44454169

Table 2: Excess return to beta ratio
Portfolio Scrips (Ri-Rf)/ Rank New Ranking
ITC 65.77357 2 CIPLA
HDFC -14.1653 12 ITC
INFOSYS -7.62414 9 M&M
ICICI 41.6784 7 RANBAXY
ONGC -57.4113 14 SBI
SBI 47.2624 5 WIPRO
TATA MOTORS 40.07569 8 ICICI
M&M 57.09639 3 TATA MOTORS
NTPC -10.2015 10 INFOSYS
BHEL -90.6276 15 NTPC
CIPLA 86.05633 1 SAIL
WIPRO 46.01609 6 HDFC
DLF -28.7515 13 DLF
RANBAXY 55.35711 4 ONGC
SAIL -14.1628 11 BHEL


10

CIPLA yielded the maximum return among the companies selected and Bharat Heavy Electricals Limited
yielded lower return following that ONGC and DLF yielded lower return. Pharma and FMCG have shown a
higher return in all the companies chosen for the analysis. It shows that Pharma is the growing sector and it is
most preferred investable securities in India. Beta is greater than 1 in Mahindra and Mahindra, State Bank of
India, ICICI, Tata Motors, SAIL, HDFC, DLF and BHEL, which shows that these securities have more risk
and at the same time the reward per unit of risks is also more. But in case of other companies with regards to
beta it is less than 1 which shows it is less risky when compared to market risk.

Sharpe has provided a model for the selection of appropriate securities in a portfolio. The excess return of any
stock is directly related to its excess return to beta ratio. It measures the additional return on a security (excess
of the risk less asset return) per unit of systematic risk. The ratio provides a relationship between potential
risk and reward. Ranking of the stocks are done on the basis of their excess return to beta. Based on the excess
return to beta ratio the scrips are ranked from 1 to 15, with Cipla being in the first rank and BHEL being in
the last. The excess return to beta ratio was calculated using 8.24% as risk free rate of return.

Table 3: Cut-off point calculation for 15 companies
Scrip's New(Ri-Rf)/ (Ri-Rf)/New
USR
(Ri-Rf)/New
USR
MarketVar*(Ri-
Rf)/New USR
CIPLA 86.0533 5.687379398 5.687379398 19.32693481
ITC 65.7735 3.341892869 9.029272267 30.68340342
M&M 57.096 5.749556017 14.77882828 50.22162771
RANBAXY 55.357 3.445805809 18.22463409 61.93121477
SBI 47.262 8.265778228 26.49041232 90.02010172
WIPRO 46.016 4.600165897 31.09057822 105.6524519
ICICI 41.678 8.699877204 39.79045542 135.2165003
TATA MOTORS 40.075 3.703284478 43.4937399 147.8010551
INFOSYS -7.624 -0.989405019 42.50433488 144.4388446
NTPC -10.201 -1.380681883 41.123653 139.7469915
SAIL -14.162 -2.279726714 38.84392628 131.9999913
HDFC -14.165 -1.318923544 37.52500274 127.5180062
DLF -28.7515 -4.586181493 32.93882125 111.9331781
ONGC -57.411 -3.541066306 29.39775494 99.8998754
BHEL -90.627 -7.48621515 21.91153979 74.46011096


11

Scrip's ^2/New
USR
^2/New USR 1+MV*^2/New USR Cut Off Point
CIPLA 0.066085602 0.066085602 1.224573046 15.7825904
ITC 0.050785206 0.116870808 1.397152067 21.96139142
M&M 0.100691043 0.217561851 1.739321824 28.87425835
RANBAXY 0.062246653 0.279808504 1.9508493 31.74577082
SBI 0.174891585 0.454700089 2.545168408 35.36901583
WIPRO 0.099964625 0.554664714 2.884869641 36.6229553
ICICI 0.20866171 0.763326424 3.593946876 37.62339982
TATA MOTORS 0.092387723 0.855714147 3.907900171 37.82109281
INFOSYS 0.12975957 0.985473717 4.348851017 33.21310481
NTPC 0.13533938 1.120813097 4.808763253 29.06090073
SAIL 0.160970084 1.281783181 5.355774118 24.64629545
HDFC 0.093039463 1.374822645 5.671942166 22.48224726
DLF 0.159522223 1.534344868 6.214032888 18.0129684
ONGC 0.061678823 1.59602369 6.423630754 15.55193305
BHEL 0.082601603 1.678625293 6.704328713 11.10627389
Cut Off 37.82109281

Table 4: Selection of stocks among 15 companies
Scrips Cut Off
CIPLA 15.78259
ITC 21.96139
M&M 28.87426
RANBAXY 31.74577
SBI 35.36902
WIPRO 36.62296
ICICI 37.6234
TATA MOTORS 37.82109

Table 5: Proportion of funds invested
Scrips z x
CIPLA 6.395374073 41.96%

12

ITC 2.530425592 16.60%
M&M 1.806077157 11.85%
RANBAXY 1.463401973 9.60%
SBI 1.443729097 9.47%
WIPRO 0.924188657 6.06%
ICICI 0.519553808 3.41%
TATA MOTORS 0.159321617 1.05%

Table 6: Proportion of Investment in each Stock
Scrips Proportion Of Investment
CIPLA 41.96%
ITC 16.60%
M&M 11.85%
RANBAXY 9.60%
SBI 9.47%
WIPRO 6.06%
ICICI 3.41%
TATA MOTORS 1.05%

5.1 Cutoff Point
The selection of the stocks depends on a unique cut-off rate such that all stocks with higher ratios of excess
return to beta are included and stocks with lower ratios are left out. The cumulated values of Ci start declining
after a particular Ci and that point is taken as the cut-off point and that stock ratio is the cut-off ratio C. In
Table 3 the highest value of Ci is taken as the cut-off point that is C*. Here Corporation Bank has the highest
the cut-off rate of C*=37.82109. All the stocks having Ci greater than C* can be included in the portfolio.

5.2 Construction Of Optimum Portfolio
After determining the securities to be selected, one should find out how much should be invested in each
security. The percentage of funds to be invested in each security can be estimated. As already mentioned all
the stock with Ci greater than cut off point can be included in the portfolio. Here the top five companies
according to excess return to beta ratio is taken for calculating the proportion of investment.


13

5.3 Portfolio Investment
Table 6 shows the proportion of investment in each stock. And it indicates the weights on each security and
they sum up to 100 percentage. By using Sharpe index model thus we are able to find out the proportion of
investments to be made for an optimal portfolio. The maximum investment should be made in CIPLA with a
proportion of 42%. Following that ITC, Mahindra and Mahindra and RANBAXY are the next three
companies where major percentage of investment can be made. Evidently, the companies chosen for the
investments are growing at a steady rate in the recent years.

6. Findings
The Pharma and FMCG sectors are the major contributors for the portfolio. Among the selected 15 stocks,
pharmaceutical sector is performing well. The beta values for those stocks are lesser than 1 which indicates,
minimal risk is involved in those stocks. So we consider 2 stocks from Pharma, two stocks from Banking
sector and two from manufacturing according to the cut-off value calculated. The CIPLA forms the major
contribution with 42% followed by ITC with 17%.

7. Recommendations
The recommended proportion investments to the companies according to constructed portfolio are Cipla
42%, ITC 17%, M&M 12%, Ranbaxy 10%, SBI 9%, Wipro 6%, ICICI 3%, and Tata Motors 1%.
Investors expecting high return for the minimal risk can go for Cipla (<1).
To investors who are risk lovers can go for M&M.
Investors better not to think about BHEL, ONGC, DLF, and HDFC.

Figure 1: Proportion Investment In Portfolio

41.96%
16.60%
11.85%
9.60%
9.47%
6.06%
CIPLA
ITC
M&M
RANBAXY
SBI
WIPRO

14

8. Conclusion
Though there are 15 stocks that meet the criteria for being included in the Portfolio, the portfolio is
constructed with the top 8 stocks that meet the criteria to be included in the portfolio according to the Sharpe
Index Model. Those stocks are: CIPLA, ITC, Mahindra & Mahindra, Ranbaxy, State Bank of India, Wipro,
ICICI and Tata Motors. The portfolio predominantly consists of stocks from the pharmaceutical sector. The
share market is more challenging, fulfilling and rewarding to resourceful investors willing to learn the trade
for having effective returns with minimum risk involved. The optimal portfolio analysis and risk, return trade
off are determined by the challenging attitudes of investors towards a variety of economic, monetary, political
and psychological forces prevailing in the stock market. Thus the portfolio construction table would help an
investor in investment decisions. And the investor would select any company among the fifteen companies
from the above portfolio table. I also hope this dissertation will help the investors as a guiding record in future
and help them to make appropriate investment decisions.

9. References
AJ Du Plessis, M Ward (2009), A note on applying the Markowitz portfolio selection model as a passive investment
strategy on the JSE, Investment Analysts Journal, No. 69
Axioma, Inc.; Research Shows Use of Multiple Risk Models Improves Portfolio-Construction Results
Anonymous. Marketing Business Weekly (Oct 19, 2008): 325.
Axioma, Inc.; Research Shows Use of Multiple Risk Models Improves Portfolio-Construction Results
Anonymous. Marketing Business Weekly (Oct 19, 2008): 325.
Bilbao, A; Arenas, M; M Jimnez; B Perez Gladish; Rodriguez, An extension of Sharpe's single-index model:
portfolio selection with expert betas, The 57. 12 (Dec 2006): 1442-1451.
Borkovec, Milan; Domowitz, Ian; Kiernan, Brian; Serbin, Vitaly, Portfolio Optimization and the Cost of
Trading,. Journal of Investing 19. 2 (Summer 2010): 63-76, 4-5.
Brian J ,The Use of Downside Risk Measures in Tax-Efficient Portfolio Construction and Evaluation,Jacobsen, The
Journal of Wealth Management 8. 4 (Spring 2006): 17-26.
Capital Management and Risk Management. StudyMode.com. Retrieved 06, 2012, from
http://www.studymode.com/essays/Capital-Management-And-Risk-Management-1022683.html
Clarke, Roger; de Silva, Harindra; Thorley, Steven. Journal: Portfolio constraints and the fundamental law of active
management (Sep/Oct 2002): 48-66.
Dale, Gary. Adviser, how do structured products fit within an adviser's portfolio construction mandate? (Jun 18,
2009): 23.
Donald E Fischer and Ronald J Jordan, Security analysis and Portfolio management by (6th Edition), Pearson
Publications.

15

Fikriyah Abdullah, Taufiq Hassan, (2007), Shamsher Mohamad. Managerial Finance. Patrington:. Vol. 33, Issue 2;
pg. 142
Francesc J Ort , Jos Sez, Antonio Terceo (2002), On The Treatment of Uncertainty in Portfolio Selection, Vol.
VII, No. 2, November, FUZZY ECONOMIC REVIEW
Gotoh, Jun-ya; Takeda, Akiko,On the role of norm constraints in portfolio selection Computational Management
Science 8. 4 (Nov 2011): 323-353.
Henry, Investor Modern Portfolio Theory's Evolutionary Road Stokes, Portfolio construction, Money
Management (Apr 2006): 1.
Hilary Till, RISK & REWARD, FOW publication, September 2001
Marcus Davidsson (2010), Expected Return and Portfolio Rebalancing, International Journal of Economics and
Finance Vol. 3, No. 3; pp. 123-136
Markus E, Thorsten N (2008), The Performance of Real Estate Related Investments: A Re-Examination Real Estate
Appraiser and Analyst. Chicago. 49(4): 64.
Optimal portfolio choice using the maximum Sharpe ratio:Maller, Ross A; Durand, Robert B; Jafarpour, Hediah. The
Journal of Risk 12. 4 (Summer 2010): 49-73.
Seegopaul, Hamish; Gupta, Francis; Prestbo, John,Toward an Optimal Domestic Large-Cap Equity Index, Journal of
Portfolio Management 32. 1 (Fall 2005): 85-87, 89-91.
Rudin,AlexanderM; Morgan, Jonathan S. Journal of Portfolio Management 32. 2 (Winter 2006): 81-89, 6.
Rajan Bahadur Paudel ,Sujan Koirala, Application of Markowitz and Sharpe Models in Nepalese Stock Market, The
Journal of Nepalese Business Studies Vol. III No. 1 Dec. 2006.

Portfolio Construction

Diunggah oleh

Informasi Dokumen

Deskripsi Asli:

Judul Asli

Hak Cipta

Format Tersedia

Bagikan dokumen Ini

Bagikan atau Tanam Dokumen

Opsi Berbagi

Apakah menurut Anda dokumen ini bermanfaat?

Apakah konten ini tidak pantas?

Hak Cipta:

Format Tersedia

Portfolio Construction

Diunggah oleh

Hak Cipta:

Format Tersedia

Researchjournalis Journal of Finance

Vol. 2 | No. 2 February | 2014 ISSN 2348-0963

Anda mungkin juga menyukai