1Research Scholar, Department of Business Administration, Mangalore University, Mangalagangothri, Konaje, Mangalore, 574199, Karnataka
2Professor, Department of Business Administration, Mangalore University, Mangalagangothri, Konaje, Mangalore, 574199, Karnataka
The Modern portfolio theory of Markowitz (1952) proposed maximisation of expected utility and minimisation of the risk of the optimal portfolio for the risk-averse investors. We used the linear programming technique to estimate the optimal portfolio weights for the mean-variance efficient optimal portfolio using rebalanced and non-rebalanced portfolios and compared the performances against the 1/N heuristic portfolio. We found that the minimum-variance optimal portfolio performed better than the 1/N heuristic portfolio.
Portfolio Optimisation, Markowitz portfolio, Portfolio rebalancing, portfolio return-risk, NSE
