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Algorithm for construction of portfolio of stocks using Treynor’s ratio

Author

Listed:
  • Sinha, Pankaj
  • Goyal, Lavleen

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.

Suggested Citation

  • Sinha, Pankaj & Goyal, Lavleen, 2012. "Algorithm for construction of portfolio of stocks using Treynor’s ratio," MPRA Paper 40134, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:40134
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    File URL: https://mpra.ub.uni-muenchen.de/40134/1/MPRA_paper_40134.pdf
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    Cited by:

    1. Sinha, Pankaj & Chandwani, Abhishek & Sinha, Tanmay, 2013. "Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm," MPRA Paper 48204, University Library of Munich, Germany.

    More about this item

    Keywords

    Portfolio Construction; Treynor's ratio; algorithm for portfolio selection; Capital Asset Pricing Model;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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