VOLUME - 6, ISSUE – 2, JULY.TO DEC,2020 ISSN NO. : 2455-4642 (ONLINE)
IDEES –International Multidisciplinary Research Journal
(Peer Reviewed)
A Research Paper
On
A Study on Construct of Optimum Portfolio using Sharpe’s Single Index
Model with Reference to Selected Script of BSE SENSEX
By
Darshan Bankwala
Assistant Professor
D.R.Patel & R.B.Patel Commerce College & B.C.Patel BBA College
and
Dr.Jaydip Chaudhari
Professor
Department of Business & Industrial Management
Veer Narmad South Gujarat University, Surat
Abstract:
Investors are always seeking to invest their savings in such a way that which turns into
profitable one with minimum risk and maximum return. As such they have face challenges
regarding stock option selection because markets are volatile in nature. So, there are different
techniques and model which help to find out securities measures with many aspects including
risk and return. Here an effort is made here to get an insight into the idea embedded in
Sharpe’s single index model and to construct an optimal portfolio empirically using this
model. Taking BSE SENSEX as market performance index and considering daily indices
data along with prices of sampled stocks for the period of April 2010 to March 2020, the
anticipated methods formulate a unique cut-off rate and select those securities to construct
optimal portfolio whose excess return to beta ratio is greater than the cut-off rate. Then,
proportion of investment in each of the selected securities is computed on the basis of beta
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