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- Title
Optimum Portfolio and Capital Asset Pricing Model for Equity Market.
- Authors
IRFAN, SHAIK MOHAMMAD; GRACY, C. P.; GANAPATHY, M. S.; SIDDAYYA; GADDI, G. M.; SHARIF, AND MAHIN
- Abstract
Risk and return play an important role in making any investment decision. Risk is the chance that an investment’s actual return will be less than its expected return. This risk of loss is linked to the expected variability in the investment’s return (Neeraj and Anurag, 2014). The study aims at making strategic decisions for the opportunity that is available for investors as per as returns are concerned and the investment of risk thereof while investing in the equity of firms listed in National Stock Exchange (NSE). Diversification of investment helps to spread risk over many securities. Portfolio construction is a widely used concept on how investors can construct investment portfolios to maximise returns and minimise risk. The study comprised of fifteen Nifty FMCG stocks along with Nifty FMCG index and Nifty Fifty index for the period January, 2011 through December, 2021. The optimum portfolio for the sample study investment is P & G Hygiene and Health Care Limited (25.02 per cent), Dabur India Limited (15.20 per cent), Marico Limited (13.72 per cent), Nifty FMCG Index (10.47 per cent), Colgate-Palmolive India Limited (9.16 per cent), ITC Limited (7.58 per cent), Hindustan Unilever Limited (6.74 per cent), Nifty Fifty Index (6.09 per cent), Nestle India Limited (3.04 per cent), Radico Khaitan Limited (2.98 per cent), which has a portfolio mean return of 1.37 per cent per month and with a portfolio beta (βp ) of 0.43 and with a portfolio Treynor ratio of –1.75, with a portfolio Sharpe ratio –22.80 and with a portfolio standard deviation (σp ) of 3.32 and portfolio variance (σ ²p ) of 0.11. The study has captured Security Market Line (SML) and Security Characteristic Line (SCL) for portfolio allocation decisions.
- Subjects
CAPITAL assets pricing model; STOCK exchanges; NATIONAL Stock Exchange of India Ltd.; COLGATE-Palmolive Co.; ITC Ltd.; INVESTORS; PORTFOLIO diversification; DECISION making in investments
- Publication
Mysore Journal of Agricultural Sciences, 2023, Vol 57, Issue 1, p318
- ISSN
0047-8539
- Publication type
Article