Modelling the Efficient Frontier: An Empirical Study in the Indian Stock Market
Mihir Dash ()
Journal of Applied Management and Investments, 2018, vol. 7, issue 2, 83-94
The objective of the study was to understand the nature and shape of the efficient frontier for the Indian stock market over time, and to empirically examine Merton’s model for the efficient frontier in the context of the Indian stock market. The study was performed using a sample of fifty stocks that were part of the National Stock Exchange’s Nifty 50 index as of March 31, 2011. The study period was 2000-2011. The main finding of the study is that Merton’s model does not entirely explain the relationship between variance of returns and mean returns on the efficient frontier. Thus, a higher-order polynomial function may be more appropriate for modelling the efficient frontier. Also, the factors affecting the efficient frontier need to be studied in future studies.
Keywords: efficient frontier; Indian stock market; Merton’s model; polynomial function (search for similar items in EconPapers)
JEL-codes: G11 C22 C61 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ods:journl:v:7:y:2018:i:2:p:83-94
Access Statistics for this article
Journal of Applied Management and Investments is currently edited by Anatoliy G. Goncharuk
More articles in Journal of Applied Management and Investments from Department of Business Administration and Corporate Security, International Humanitarian University Contact information at EDIRC.
Bibliographic data for series maintained by Anatoliy G. Goncharuk ().