Construction of Optimal Portfolio Using Sharpe Single Index Model on Nifty Fifty Stocks

Manikandan Suriyanarayanan; Divya Santhosh

doi:10.63141/gijbr-V1N1-2024ID2

Authors

Manikandan Suriyanarayanan Gnanam School of Business Author https://orcid.org/0000-0002-1815-410X
Divya Santhosh Gnanam School of Business Author

DOI:

https://doi.org/10.63141/gijbr-V1N1-2024ID2

Keywords:

Optimal portfolio, Sharpe Single Index Model, Risk-return profiles, Treynor ratio, Sharpe ratio, Portfolio construction

Abstract

The main goal of this comprehensive project is to construct an effective portfolio using stocks from the esteemed Nifty 50 index, which includes the top 50 companies on the National Stock Exchange (NSE) of India. By applying the Sharpe Single Index Model, the project thoroughly evaluates the performance of each Nifty 50 stock.

The project conducts a thorough analysis to calculate key metrics, including the Treynor ratio, Sharpe ratio, Jensen’s ratio, and C value, for all the selected stocks. These metrics provide crucial insights into each stock's risk-return profile, helping investors make informed decisions when diversifying their investments. Using this study, investors can refine their strategies to lower risk and boost returns. This allows them to build portfolios that fit their financial goals and risk tolerance, thus improving their investment effectiveness.

Additionally, the project serves as a practical guide to portfolio managers, offering actionable insights for navigating the complexities of the stock market. By gaining a deep understanding of portfolio construction and risk management, investors can refine their portfolios to achieve long-term financial success. Ultimately, the project seeks to provide investors with the knowledge and tools needed to effectively navigate the dynamic Indian stock market. Through in-depth analysis of Nifty 50 stocks and the application of advanced statistical methods, investors can better achieve their financial goals and succeed in the ever-changing market landscape.

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Author Biography

Manikandan Suriyanarayanan, Gnanam School of Business

Mr. Manikandan Suriyanarayanan is an Assistant Professor of Systems and Operations in GSB. He received his Post Graduation in Management from Anna University, Chennai, M.Tech from PRIST University, Thanjavur and his Under Graduation in B. Tech from SASTRA University, Thanjavur. He is a certified Lean Six Sigma Green Belt holder from AU TVS center for Quality Management, Anna University, Chennai and also an ISO 9001:2008 certified Internal auditor from TATA Projects Quality Service. He has immense experience of 5 years in the area of academics, and 7.5 years in the area of IT. He is the overall in charge of IT facility in GSB.

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