Risk Optimisation Analytics: A Case Study on Brown Research Associates India (BRAI)

Puneet Kumar, Amalanathan Paul and M. Anil Kumar
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Puneet Kumar: Xavier Institute of Management and Entrepreneurship (XIME), Bangalore, India
Amalanathan Paul: Faculty of Management, Sri Ramachandra Institute of Higher Education and Research (DU), Chennai, India
M. Anil Kumar: School of Management Studies, Chaitanya Bharathi Institute of Technology, Hyderabad, India

International Journal of Social Ecology and Sustainable Development (IJSESD), 2021, vol. 12, issue 2, 48-62

Abstract: Risk optimization using business analytics is gaining momentum in India over the last decade. In order to tap this huge opportunity, most of the startups are getting into the analytics field engaging in financial market survey to provide their customers with valid data. The objective of this study is to help “Sai Builders” in solving their portfolio investment problem as well as sinking funds problem using linear programming and to obtain the total optimum returns by satisfying all constraints. The authors solve the problem of minimizing portfolio risk measures. In addition, the expected return of the portfolio is maximized subject to the aforementioned risk measures. By using numerical experiments, they illustrate the impact of these risk measures on portfolio optimization. The analysis is done by using Excel Solver, and the optimum solution is achieved.

Date: 2021
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