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Building Sharpe Optimization Stock Portfolios and Performance Analysis

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Introduction:
This project presents an empirical examination of the Sharpe’s Index model. The Sharpe ratio or Sharpe index or Sharpe measure or reward-to-variability ratio is a measure of the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk (and is a deviation risk measure), named after William Forsyth Sharpe. A portfolio of assets involves the selection of securities. A combination of assets or securities is called a portfolio. Each individual investor puts his wealth in a combination of assets depending on his wealth, income and his preferences. The traditional theory of portfolio postulates that selection of assets should be based on lowest risk, as measured by its standard deviation from the mean of expected returns .

The process of selecting a portfolio may be divided into two stages . The first stage starts with observation and experience and ends with beliefs about the future performances of available securities. The second stage starts with the relevant beliefs about future performances and ends with the choice of portfolio. This project is concerned with the second stage.

Investment are made to secure future and for fulfillment of objectives. First step in investment process is to set the investment policy which involves determining the investor objective and the amount of wealth available for investing . Second step is security analysis involving examining several individual securities or group of securities within the broad categories of financial assets. Portfolio construction is the third step where investor has to consider several issues of selectivity, timing and diversification. In the final phase of investment process the portfolio constructed is revised and evaluated.
Portfolio management is the process of selecting securities in a manner that helps to reduce risk for the same level of return or increase return for same level of risk. Return is gain or loss of an investment over a specific period, expressed as a percentage increase over the initial investment. Risk can be of various types. Business risk is that risk when a company does not have adequate cash flow to meet its operating expenses, further it will not be able to meets its obligation towards shareholders and creditors then it is knows as financial risk. Other categories of risk are interest rate risk, liquidity risk, political risk, credit risk, inflation risk and exchange rate risk.
Traditional Portfolio Theory depends upon subjective approaches to the portfolio analysis . This theory recognizes the key importance of risk and return to the investors but do not necessarily hold in every portfolio management exercise.

Number of Pages of Project Report: 70
Package Includes: Synopsis/Project Proposal + Project Report
Project Format: Document (.doc)

Table of Contents of Project Report:
Executive Summary     

Chapter 1: Introduction
1.1 Performance Evaluation     
Performance Evaluation Measures        
Comparing Performance Measures      
1.2 Investment Risk Management         
1.3 Measurement Of Return On An Individual Stock    
1.4 Measurement Of Portfolio Return   
1.5 Measurement Of Individual Stock Risk      
1.6 Portfolio Risk Diversification          
1.7 Measurement Of Return On An Individual Stock Using Regression Equation           
1.8 Objectives Of The Study   
1.9 Need Of The Study           
1.10 Scope Of The Study        

Chapter 2: Review Of Literature & Conceptual Review
Conceptual Review      
Calculation Of The Optimal Portfolio    
Multi-Index Models     

Chapter 3: Research Methodology       
Research Design          
Limitations Of The Study         

Chapter 4: Data Analysis         
Chapter 5: Conclusion & Findings        

Chapter 6: Recommendations  

References      
Journals/ Working Papers        
Websites         
Books 


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