Algorithm for Construction of Portfolio of Stocks using Treynor's Ratio

The aim of the paper is to implement the algorithm for selecting stocks from a pool of stocks listed in a single market index like S&P CNX 500(say) and finding the corresponding weights of the stocks in the optimized portfolio using Treynor's ratio, on the basis of historical data of Indian stock market when the short selling is not allowed. The effectiveness of this algorithm has been demonstrated with an example.

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Year of publication:	2012
Authors:	SINHA, Pankaj ; GOYAL, Lavleen
Published in:	Journal of Applied Research in Finance Bi-Annually. - ASERS Publishing. - Vol. IV.2012, 1, p. 56-62
Publisher:	ASERS Publishing
Subject:	stock \| Treynor's ratio \| single market index \| portfolio of stocks

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Extent:	text/html
Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G15 - International Financial Markets ; C43 - Index Numbers and Aggregation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010851964