Algorithm for Construction of Portfolio of Stocks using Treynor’s Ratio
Algorithm for Construction of Portfolio of Stocks using Treynor’s Ratio
Author(s): Pankaj Sinha, Lavleen GoyalSubject(s): Economy
Published by: Reprograph
Keywords: stock; Treynor’s ratio; single market index; portfolio of stocks
Summary/Abstract: The aim of the paper is to implement the algorithm for selecting stocks from a pool of stocks listed in a single market index like S&P CNX 500(say) and finding the corresponding weights of the stocks in the optimized portfolio using Treynor’s ratio, on the basis of historical data of Indian stock market when the short selling is not allowed. The effectiveness of this algorithm has been demonstrated with an example.
Journal: Journal of Applied Research in Finance (JARF)
- Issue Year: IV/2012
- Issue No: 07
- Page Range: 56-60
- Page Count: 1
- Language: English