International Journal of Applied Research
Vol. 3, Issue 5, Part K (2017)
Identifying the factors causing changes in optimum portfolio mix using Sharpe optimisation model
The performance of the SENSEX is a function of the performance of the individual stocks comprising the index. The individual stock performance is influenced by a complex interplay of factors related to the specific company, the factors related to the industry to which the company belongs and macroeconomic factors at large. The objective of this study is to investigate the impact of macroeconomic factors on the companies comprising the SENSEX. This paper would focus on active portfolio management of companies comprising Sensex using Sharpe Optimization Model. The model decides an optimum portfolio composition as well as proportion of each stock from the set of companies being examined. The study has been conducted for two time periods- April 2012 to March 2014 when the macroeconomic indicators in India were relatively weaker as compared to second period from April 2014 to March 2016 when the macroeconomic indicators were stronger. The paper has used daily SENSEX data for the model. The results of comparison from the Sharpe Optimization Model have been examined to justify the performance of individual companies based on macroeconomic factors.
How to cite this article:
Dimple Pandey, Davinder Suri. Identifying the factors causing changes in optimum portfolio mix using Sharpe optimisation model. Int J Appl Res 2017;3(5):746-752.