Construction of Optimal Portfolio using Sharpe Index Model

Marisetty, Nagendra

doi:10.2139/ssrn.3456697

Cited by 3 publications

(3 citation statements)

References 2 publications

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“…They constructed an optimal portfolio composing of 4 stocks and analyzed its profitability and risk. Marisetty (2012) applied the Cut-Off Rate Methodology using the Sharpe Index Model, to construct an optimal Portfolio for the Indian Stock Exchange for the year 2010. His optimal portfolio composed of 5 stocks its portfolio's profitability and risk were compared with NSE NIFTY Index.…”

Section: More Specificallymentioning

confidence: 99%

A Two-Phase Optimal Portfolio Selection Using Sharpe Index Model Applied to the Athens Stock Exchange

Nastas¹,

Boufounou²

2023

ICBE-HOU

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Although in literature numerous multivariate models have been applied for optimal portfolio selection based on either market or accounting stock characteristics, whereby plenty of technical and/or fundamental criteria have been proposed, the problem is yet to be solved. This paper enhances a two-phased analysis that combines both fundamental and technical criteria, to overcome the aforementioned shortcomings. Initially, the fundamental characteristics of 25 stocks from 11 industries/sectors with the largest market capitalization, are compared to the performance of the Athens Stock Exchange FTSE/XA Large CAP Index, and hence two scoring tables are formed using different benchmarks, where the best performing stocks are selected. Subsequently, for these stocks, based on weekly data covering a 3-year period, the Sharpe Index Model is applied, and the best performing portfolio is selected. The estimated Sharpe Index Model (SIM) reveals that there are several opportunities to optimize return and diversify risk in an efficient manner, outperforming the FTSE Large Cap Index. JEL Classifications: D53, G11, G12, G17, G23 Key words: Risk & Return, Technical Analysis, Fundamental Analysis, Sharpe Index Model

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Section: More Specificallymentioning

confidence: 99%

A Two-Phase Optimal Portfolio Selection Using Sharpe Index Model Applied to the Athens Stock Exchange

Nastas¹,

Boufounou²

2023

ICBE-HOU

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“…SIM shows the relationship between the returns of each security and the market index returns and describes several steps in the formation of an optimal portfolio in a simple way when compared to the Markowitz calculation method by calculating portfolio variance and determining other variables as conditions for the formation of an optimal portfolio. It was found that SIM is the perfect model for optimal portfolio development (Marisetty, 2012).…”

Section: )mentioning

confidence: 99%

The impact of COVID-19 on formation and evaluation of portfolio performance: A case of Indonesia

Nurhayati

Endri

Suharti

et al. 2021

Investment Management and Financial Innovations

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This paper examines how to build a portfolio and assess the impact of the COVID-19 on portfolio performance using the Sharpe single index model. The research sample consists of ten high market capitalization stocks representing five price fractions of the population listed stocks on the Indonesia Stock Exchange during the COVID-19 outbreak from March 1 to May 31, 2020. The results show that there are four stocks that are included in the portfolio formation, namely CASA with a proportion of 50%, BNLI with a proportion of 26 %, UNVR with a proportion of 15%, and HMSP with a proportion of 9%. Based on portfolio performance testing using the Sharpe single index model, it is known that the portfolio during the COVID-19 has a negative Sharpe ratio, meaning that portfolio performance is underperforming. The findings provide evidence that COVID-19 has had a negative impact on the stock market so that many investors have suffered losses on their portfolios. The implications of findings are that investors must evaluate portfolio performance and restructure the formation of new portfolios by considering the COVID-19 pandemic outbreak as a systematic risk factor that can determine the expected returns.

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“…The optimum portfolio through the Sharpe's Index Model for ten companies selected from both the sugar and metal sectors has been constructed [10]. The methods of constructing an optimal portfolio utilizing Sharpe's Index Model with the NSE NIFTY Shares has been shown [11]. New insights into the dilemmas which are identified in routine project portfolio management has been offered by alternative perspectives and avenues for resolving them are opened up, success in project portfolio management has been promoted [12].…”

Section: Introductionmentioning

confidence: 99%

Different Models and Their Influences on Portfolio

Wang¹

2023

BCPBM

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In the modern era, people’s lives and economic activities become increasingly related. People use financial models to make their financial decisions for investing. With these financial models, investors can analyze the portfolio, find the optimal weights of each stock to maximize return and minimize risks, and ultimately make wise decisions. Markowitz Model put forward in 1952 by Harry Markowitz and Index Model developed by William Sharpe in 1963 are two important modelling methods in the field of portfolio management. In this paper, ten stocks from four different industries are used to build a portfolio with low overall risk. After that, Markowitz Model and Index Model are compared and contrasted through constructing minimum variance portfolios and maximum Sharpe portfolios. In addition, the analysis is applied on three different constraints might be provided by the clients. During the process, the data analysis and model construction are through Microsoft Excel. When constructing the Minimum Variance Portfolio, the Markowitz Model has larger return, standard deviation and Sharpe, but when constructing the Maximum Sharpe Portfolio, the Index Model has larger return, standard deviation and Sharpe.

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Construction of Optimal Portfolio using Sharpe Index Model

Cited by 3 publications

References 2 publications

A Two-Phase Optimal Portfolio Selection Using Sharpe Index Model Applied to the Athens Stock Exchange

A Two-Phase Optimal Portfolio Selection Using Sharpe Index Model Applied to the Athens Stock Exchange

The impact of COVID-19 on formation and evaluation of portfolio performance: A case of Indonesia

Different Models and Their Influences on Portfolio

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