Developments in Mean-Variance Efficient Portfolio Selection
This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers t
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Developments in Mean-Variance Efficient Portfolio Selection Megha Agarwal Assistant Professor, University of Delhi, India
© Megha Agarwal 2015 Softcover reprint of the hardcover 1st edition 2015 978-1-137-35991-9 All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6–10 Kirby Street, London EC1N 8TS. Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The author has asserted her right to be identified as the author of this work in accordance with the Copyright, Designs and Patents Act 1988. First published 2015 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries ISBN 978-1-349-47176-8 ISBN 978-1-137-35992-6 (eBook) DOI 10.1057/9781137359926 This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record for this book is available from the British Library. Library of Congress Cataloging-in-Publication Data Agarwal, Megha, 1982– Developments in mean-variance efficient portfolio selection / Megha Agarwal. pages cm ISBN 978-1-349-47176-8 (hardback) 1. Portfolio management – Mathematical models. 2. Finance – Mathematical models. I. Title. HG4529.5.A36 2014 332.6392042—dc23
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Contents List of Figures
ix
List of Tables
x
Foreword
xii
Preface
xiv
Acknowledgements
xvi
1
2
3
Introduction 1.1 Introduction 1.2 Review of trends in the Indian economy and Indian capital markets 1.3 Research gaps 1.4 Raison d’être of the book 1.5 Problem statement 1.6 Research objectives 1.7 Research hypotheses 1.8 Research methodology 1.9 Sources of data 1.10 Chapter plan 1.11 Limitations of the study Advances in Theories and Empirical Studies on Portfolio Management 2.1 Literature on mean-variance efficient portfolio 2.2 Literature on asset pricing theories 2.3 Literature on diversification of portfolios 2.4 Literature on portfolio optimisation and variance-covariance matrix 2.5 Literature on the impact of behavioural and systemic factors on an invest
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