A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks

Detalhes bibliográficos
Autor(a) principal: Mitra, Dr. Anupam
Data de Publicação: 2014
Outros Autores: Khanna, Mr. Punneet
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Independent Journal of Management & Production
Texto Completo: http://www.ijmp.jor.br/index.php/ijmp/article/view/132
Resumo: Introductory investments courses revolve around Harry Markowitz’s modern portfolio theory and William Sharpe’s Index for the performance measurement of those portfolios. This paper presents a simplified perspective of Markowitz’s contributions to Modern Portfolio Theory. It is to see the effect of duration of historical data on the risk and return of the portfolio and to see the applicability of risk-reward logic. The empirical results also show that short selling may increase the risk of the portfolio when the investor is instability preferred.
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spelling A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 StocksMarkowitz Portfolio TheorySharpe RatioBSEStocksIndiaIntroductory investments courses revolve around Harry Markowitz’s modern portfolio theory and William Sharpe’s Index for the performance measurement of those portfolios. This paper presents a simplified perspective of Markowitz’s contributions to Modern Portfolio Theory. It is to see the effect of duration of historical data on the risk and return of the portfolio and to see the applicability of risk-reward logic. The empirical results also show that short selling may increase the risk of the portfolio when the investor is instability preferred.Independent2014-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdftext/htmlhttp://www.ijmp.jor.br/index.php/ijmp/article/view/13210.14807/ijmp.v5i1.132Independent Journal of Management & Production; Vol. 5 No. 1 (2014): Independent Journal of Management & Production; 106-1202236-269X2236-269Xreponame:Independent Journal of Management & Productioninstname:Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)instacron:IJM&Penghttp://www.ijmp.jor.br/index.php/ijmp/article/view/132/90http://www.ijmp.jor.br/index.php/ijmp/article/view/132/371Mitra, Dr. AnupamKhanna, Mr. Punneetinfo:eu-repo/semantics/openAccess2024-04-24T12:36:27Zoai:www.ijmp.jor.br:article/132Revistahttp://www.ijmp.jor.br/PUBhttp://www.ijmp.jor.br/index.php/ijmp/oaiijmp@ijmp.jor.br||paulo@paulorodrigues.pro.br||2236-269X2236-269Xopendoar:2024-04-24T12:36:27Independent Journal of Management & Production - Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)false
dc.title.none.fl_str_mv A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks
title A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks
spellingShingle A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks
Mitra, Dr. Anupam
Markowitz Portfolio Theory
Sharpe Ratio
BSE
Stocks
India
title_short A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks
title_full A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks
title_fullStr A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks
title_full_unstemmed A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks
title_sort A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks
author Mitra, Dr. Anupam
author_facet Mitra, Dr. Anupam
Khanna, Mr. Punneet
author_role author
author2 Khanna, Mr. Punneet
author2_role author
dc.contributor.author.fl_str_mv Mitra, Dr. Anupam
Khanna, Mr. Punneet
dc.subject.por.fl_str_mv Markowitz Portfolio Theory
Sharpe Ratio
BSE
Stocks
India
topic Markowitz Portfolio Theory
Sharpe Ratio
BSE
Stocks
India
description Introductory investments courses revolve around Harry Markowitz’s modern portfolio theory and William Sharpe’s Index for the performance measurement of those portfolios. This paper presents a simplified perspective of Markowitz’s contributions to Modern Portfolio Theory. It is to see the effect of duration of historical data on the risk and return of the portfolio and to see the applicability of risk-reward logic. The empirical results also show that short selling may increase the risk of the portfolio when the investor is instability preferred.
publishDate 2014
dc.date.none.fl_str_mv 2014-01-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.ijmp.jor.br/index.php/ijmp/article/view/132
10.14807/ijmp.v5i1.132
url http://www.ijmp.jor.br/index.php/ijmp/article/view/132
identifier_str_mv 10.14807/ijmp.v5i1.132
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv http://www.ijmp.jor.br/index.php/ijmp/article/view/132/90
http://www.ijmp.jor.br/index.php/ijmp/article/view/132/371
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
text/html
dc.publisher.none.fl_str_mv Independent
publisher.none.fl_str_mv Independent
dc.source.none.fl_str_mv Independent Journal of Management & Production; Vol. 5 No. 1 (2014): Independent Journal of Management & Production; 106-120
2236-269X
2236-269X
reponame:Independent Journal of Management & Production
instname:Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)
instacron:IJM&P
instname_str Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)
instacron_str IJM&P
institution IJM&P
reponame_str Independent Journal of Management & Production
collection Independent Journal of Management & Production
repository.name.fl_str_mv Independent Journal of Management & Production - Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)
repository.mail.fl_str_mv ijmp@ijmp.jor.br||paulo@paulorodrigues.pro.br||
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