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- W2959359679 abstract "Selection of weights of the selected securities in the portfolio is a cumbersome job for any investor. The famous nonlinear Sharpe's single index model has been simplified with a linear solution and the risk-taking propensity of the investors have been taken into consideration in the simplified formulation. The coefficient of optimism is included to observe the effect of risk-taking propensity in the portfolio selection. After the empirical analysis it is found that heuristically an investor can reach near to the optimum solution. For empirical analysis 126 months data have been considered of NSE Bank Index. To reduce the volatility of the data the whole period again has been divided into two parts each of 63 months duration, and separately the data pertaining to the three periods have been considered for calculation. The city block distance is used to calculate the nearness between the optimum solutions and the heuristic solutions." @default.
- W2959359679 created "2019-07-23" @default.
- W2959359679 creator A5016394063 @default.
- W2959359679 date "2019-01-01" @default.
- W2959359679 modified "2023-09-26" @default.
- W2959359679 title "Heuristic Optimization of Portfolio Considering Sharpe's Single Index Model" @default.
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- W2959359679 doi "https://doi.org/10.4018/978-1-5225-8103-1.ch008" @default.
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