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Asian Journal of Management
Year : 2019, Volume : 10, Issue : 3
First page : ( 248) Last page : ( 254)
Print ISSN : 0976-495X. Online ISSN : 2321-5763.
Article DOI : 10.5958/2321-5763.2019.00039.8

Optimal Vs 1/N Diversification and Portfolio Evaluation: A study on Indian Stock Market

Moulya V. Harshitha1,*, Mohammadi Abuzar1,**, Dr Mallikarjunappa T.2

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

*Corresponding Author E-mail: harshuwhitetiger@gmail.com

**abuzar.mohammadi@gcc.edu.in

Online published on 3 January, 2020.

Abstract

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.

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Keywords

Portfolio Optimisation, Markowitz portfolio, Portfolio rebalancing, portfolio return-risk, NSE.

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