A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks

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Dr. Anupam Mitra
Mr. Punneet Khanna

Abstract

Introductory investments courses revolve around Harry Markowitz’s modern portfolio theory and William Sharpe’s Index for the performance measurement of those portfolios. This paper presents a simplified perspective of Markowitz’s contributions to Modern Portfolio Theory. It is to see the effect of duration of historical data on the risk and return of the portfolio and to see the applicability of risk-reward logic. The empirical results also show that short selling may increase the risk of the portfolio when the investor is instability preferred.

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References

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