This study examines the efficacy of Sharpe's single-index model for portfolio optimization in the Indian mid-cap sector. An optimal portfolio of Indian mid-cap companies was constructed using the model, and its performance was compared to the benchmark Nifty mid-cap 100 index. The optimal portfolio yielded significantly higher returns and lower risk than the benchmark over the five-year study period, demonstrating the model's effectiveness even in the riskier mid-cap market. While the model's reliance on historical data is a limitation, its simplicity and superior performance make it a valuable tool for investors and portfolio managers.
Publisher
Humanities and Social Sciences Communications
Published On
Apr 26, 2023
Authors
Janki Mistry, Ritesh Ashok Khatwani
Tags
Sharpe's single-index model
portfolio optimization
Indian mid-cap sector
benchmark comparison
risk management
investment strategy
historical data
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