THE SINGLE INDEX MODEL & THE CONSTRUCTION OF OPTIMAL PORTFOLIO: A CASE OF BANKS LISTED ON NSE INDIA
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Saurabh Singh, Jayant Gautam 
Abstract
Risk and return plays an important role in making any investment decisions. Decisions that range from ‘Should the investment be done?’ and if yes, then ‘which security should comprise portfolio?’ In the present study 10 companies listed at National Stock Exchange (NSE) and CNX Bank Price Index was selected taking Jan 2009 to Dec 2013 as period of study. The monthly closing prices of the selected securities were used for the above mentioned period. Application of Single Index Model for the empirical analysis identified a portfolio of two companies based on the cut-off point.
Keywords: Risk & Return, Efficient Portfolio, Sharpe Index Model, CNX Bank, Cutoff Point
How to cite this paper: Singh, S., & Gautam, J. (2014). The single index model & the construction of optimal portfolio: A case of banks listed on NSE India. Risk governance & control: financial markets & institutions, 4(2-1), 110-115. https://doi.org/10.22495/rgcv4i2c1art3
