Quadratic Programming Approach to Portfolio Selection

J.K. Sharma and A.K. Bhargava

Paradigm, 2002, vol. 6, issue 1, 50-67

Abstract: In this paper, an attempt has been made to evaluate the various diversification techniques to reduce the risk of loss by using quadratic programming concepts. Selecting the Markowitz diversification and Sharpe’s diagonal model, an attempt is made to arrive at the optimal portfolio. Seven companies have been selected representing different industrial sectors to arrive at an optimal portfolio. Selection of these is based on their active trading and availability of historic data for the past five years. The data pertaining to their dividends, prices, etc. has been taken from the Bombay Stock Exchange Directory. The return on market has been calculated on the basis of RBI share price index.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:6:y:2002:i:1:p:50-67

DOI: 10.1177/0971890720020104

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