Mean–Variance Approach and Portfolio Selection

Raj S. Dhankar ()
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Raj S. Dhankar: University of Delhi

Chapter Chapter 16 in Risk-Return Relationship and Portfolio Management, 2019, pp 249-263 from Springer

Abstract: Abstract We make an attempt to examine the performance of portfolios formulated on the basis of Mean–Variance approachMean–Variance approach . For the analysis, monthly adjusted opening and closing prices of composite portfolioPortfolio of BSE 100BSE 100 companies have been taken for the period ranging from June 1996 to May 2005. The study has wide-ranging implications for finance professionals and policy makers. Ten portfolios have, first, been formulated and then evaluated by using Sharpe’s excess return to betaBeta approach. Nine portfolios’ expected returns out of ten are significant at 5% level of significance. A cross-sectional analysis of the same set of ten portfolios carried out for three non-overlapping sub-periods (June 1996–December 1999, Jan 2000–December 2002, and Jan 2003–May 2005). The three sub-periods exhibit successive different economic conditions in the Indian economy, viz. declineDecline , recessionRecession and growthGrowth , respectively. The results so obtained exhibit that portfolioPortfolio -expected return of all ten portfolios, in three different economic conditions, are optimal.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isbchp:978-81-322-3950-5_16

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DOI: 10.1007/978-81-322-3950-5_16

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