Developments in Mean-Variance Efficient Portfolio Selection [electronic resource] /
Agarwal, M.author.
This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Description based upon print version of record.
Cover; Half-Title; Title; Copyright; Conetnts; List of Figures; List of Tables; Foreword; Preface; Acknowledgements; 1 Introduction; 1.1 Introduction; 1.2 Review of trends in the Indian economy and Indian capital markets; 1.3 Research gaps; 1.4 Raison d'être of the book; 1.5 Problem statement; 1.6 Research objectives; 1.7 Research hypotheses; 1.8 Research methodology; 1.9 Sources of data; 1.10 Chapter plan; 1.11 Limitations of the study; 2 Advances in Theories and Empirical Studies on Portfolio Management; 2.1 Literature on mean-variance efficient portfolio
2.2 Literature on asset pricing theories2.3 Literature on diversification of portfolios; 2.4 Literature on portfolio optimisation and variance-covariance matrix; 2.5 Literature on the impact of behavioural and systemic factors on an investor's portfolio choice; 2.6 Literature on the lead-lag relationship between the stock and futures market; 2.7 Summary and conclusions; 3 Contributions to the Portfolio Theory; 3.1 The standard mean-variance portfolio selection model; 3.2 Advances in portfolio selection theories; 3.3 Emerging issues and challenges in Indian equity markets
3.3.1 Risk management3.3.2 Disclosures and accounting standards; 3.3.3 Investor protection and education; 3.3.4 Wireless trading and co-location; 3.3.5 Algorithmic trading and high frequency trading; 3.3.6 Smart order routing; 3.3.7 Minimum public shareholding; 4 Mean-Variance Efficient Portfolio Selection: Model Development; 4.1 Multi-objective quadratic programming; 4.2 Model building and application; 4.2.1 The objective function; 4.2.2 Calculation of risk/variance of portfolio; 4.2.3 Evaluation criteria and constraint set; 4.2.4 Modelling constraints for an investor
4.3 Multivariate regression: model formulation4.3.1 Multiple regression model 1; 4.3.2 Multiple regression model 2; 4.4 Granger causality tests; 4.5 A utility approach; 4.6 Performance measures for portfolios; 4.7 Tests for equality; 4.7.1 Mean equality test; 4.7.2 Variance equality tests; 4.8 To sum up; 5 Mean-Variance Quadratic Programming Portfolio Selection Model: An Empirical Investigation of India's National Stock Exchange; 5.1 Sample size and data collection; 5.2 Software used; 5.3 Mean-variance portfolio selection model: empirical testing; 5.4 Descriptive statistics - returns
5.5 Data inputs5.6 Model formulations; 5.7 Mean-variance efficient portfolio selection model formulations: analysis and interpretations; 5.7.1 Diversifier's portfolio; 5.7.2 Satisficer's portfolio; 5.7.3 Plunger's portfolio; 5.7.4 Market trend portfolio; 5.7.5 Capital gain bias portfolio; 5.7.6 Dividend gain bias portfolio; 5.7.7 Equal priority portfolio; 5.7.8 Ideal portfolio; 5.7.9 Markowitz's portfolio selection model; 5.8 Comparison of alternate portfolio selection models; 5.9 Markowitz's efficient frontier and mean-variance efficient portfolios
5.10 Multivariate regression analysis: estimating equations
Includes bibliographical references and index.
This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Operations research.
Decision making.
Finance.
Investment banking.
Securities.
Management.
Risk management.
Operations Research/Decision Theory.
Finance, general.
Investments and Securities.
Management.
Risk Management.