On portfolio optimization: a case study based on the NSE
Date
2017
Authors
Kungu, Michael Ndichu
Journal Title
Journal ISSN
Volume Title
Publisher
Strathmore University
Abstract
Diversification and active portfolio management have been suggested as means to enable investors obtain an optimal portfolio return with reduced risk exposure. Factor diversification has been proposed as a means to help explain this portfolio return. Both of this will help form the basis of this research. The aim of this study is to form an optimal portfolio whose return is expected to beat the market index, NSE All Share Index. The study will use the Carhart 4 factor model to classify securities into asset categories from which an optimal portfolio mix will be obtained. The risk-adjusted return to be used will be the Sharpe ratio and the Treynor ratio. This study will use data from the 48 listed securities at the NSE that were tradable during the period of 2007-2015. The study aims to build the knowledge of the portfolio investment in the NSE being a frontier market securities exchange and offer an investment strategy on the same.
Description
A Research project Submitted in partial fulfillment of the requirements for the degree of Bachelor of Business Science in Financial Economics at Strathmore University
Keywords
Portfolio management, Portfolio optimization, Nairobi Securities Exchange (NSE), Carhart 4 factor model