Srinivas K. R, Research Scholar, Dr. B. Shivaraj, Professor (Retd)
Department of Studies in Business Administration, B.N Bahadur Institute of Management Sciences, Manasa gangothri, University of Mysore, Mysuru, India.
Construction of Optimal Portfolio-Treynor-Black Model: A study With Reference to Selected Exchange Traded Funds
Authors
Abstract
This study empirically examines the construction of the optimal portfolio by using Treynor-Black model of selected Exchange Traded Funds listed on national stock exchange in India. A sample of twelve ETFs consisting of equity, gold and indices exchange traded funds listed on the National Stock Exchange in India. The study has been analyzed on construction of optimal portfolio (active portfolio) of selected ETFs with the help of excess return, standard deviation, beta, alpha and unsystematic risk, over a period of six years from January 2014 to December 2019.