Algorithm for construction of portfolio of stocks using Treynor’s ratio

Pankaj Sinha and Lavleen Goyal

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Portfolio Construction; Treynor's ratio; algorithm for portfolio selection; Capital Asset Pricing Model (search for similar items in EconPapers)
JEL-codes: C00 C63 G10 G11 G12 (search for similar items in EconPapers)
Date: 2012-07-07
New Economics Papers: this item is included in nep-cmp
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