Mean-variance efficient portfolio selection was originally identified by
Nobel Laureate Harry Markowitz (1952) and to this day remains one of the
most popular approaches to portfolio selection. However the turmoil
suffered by stock exchanges as a result of the financial crises in the
United States and later in Europe has evoked new interest across the
globe for better portfolio management within the existing mean variance
framework. Substantial improvements in the availability of large data
sets, real time information and software capable of performing complex
computations contributes towards improved research work in portfolio
selection. Better understanding of the markets and evolving economic
models provide the means to add further to modern portfolio theory.
This book discusses a variety of new determinants for optimal portfolio
selection. It reviews the existing modelling framework for portfolio
selection developed by Markowitz, Sharpe, Fama and French and Ross and
creates mean-variance efficient portfolios from the available pool of
securities companies listed on the National Stock Exchange (NSE). The
crucial role of portfolio attributes such as expected return, variance,
the responsiveness of stock's index returns, market capitalisation,
book-to-equity ratio and other such factors are identified in the
creation of efficient portfolios. The resulting portfolios created using
alternate portfolio selection model formulations are compared using the
Sharpe and Treynor ratios. Quantitative and qualitative comparisons
enable researchers to rank them in terms of their effectiveness in the
present day Indian securities market. The mean-variance analysis
undertaken in this book will be of immense use to individual and
institutional investors, brokerage houses, mutual fund managers, banks,
high net worth individuals, portfolio management service providers,
financial advisors, regulators, stock exchanges and research scholars in
the area of portfolio selection.
