On portfolio optimization: a case study based on the NSE

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dc.contributor.authorKungu, Michael Ndichu
dc.date.accessioned2017-09-04T10:41:59Z
dc.date.available2017-09-04T10:41:59Z
dc.date.issued2017
dc.descriptionA Research project Submitted in partial fulfillment of the requirements for the degree of Bachelor of Business Science in Financial Economics at Strathmore Universityen_US
dc.description.abstractDiversification 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.en_US
dc.identifier.urihttp://hdl.handle.net/11071/5383
dc.language.isoenen_US
dc.publisherStrathmore Universityen_US
dc.subjectPortfolio managementen_US
dc.subjectPortfolio optimizationen_US
dc.subjectNairobi Securities Exchange (NSE)en_US
dc.subjectCarhart 4 factor modelen_US
dc.titleOn portfolio optimization: a case study based on the NSEen_US
dc.typeProjecten_US
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