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.

MoreLess

Year of publication:	2012-07-07
Authors:	Sinha, Pankaj ; Goyal, Lavleen
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Portfolio Construction \| Treynor's ratio \| algorithm for portfolio selection \| Capital Asset Pricing Model

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; C00 - Mathematical and Quantitative Methods. General ; C63 - Computational Techniques ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011258412