Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange

This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, an...
Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Imroz Mahmud [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2019

Schlagwörter:	Single-Index Model Sharpe Optimal Portfolio Dhaka Stock Exchange

Übergeordnetes Werk:	In: Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen - Universitas Islam Malang, 2018, 16(2019), 1, Seite 60-92
Übergeordnetes Werk:	volume:16 ; year:2019 ; number:1 ; pages:60-92

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc Journal toc

DOI / URN:	10.31106/jema.v16i1.1736

Katalog-ID:	DOAJ046634304

Internformat


LEADER	01000caa a22002652 4500
001	DOAJ046634304
003	DE-627
005	20230503024542.0
007	cr uuu---uuuuu
008	230227s2019 xx \|\|\|\|\|o 00\| \|\|eng c
024	7		\|a 10.31106/jema.v16i1.1736 \|2 doi
035			\|a (DE-627)DOAJ046634304
035			\|a (DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9
040			\|a DE-627 \|b ger \|c DE-627 \|e rakwb
041			\|a eng
050		0	\|a HF5001-6182
050		0	\|a HG1-9999
100	0		\|a Imroz Mahmud \|e verfasserin \|4 aut
245	1	0	\|a Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange
264		1	\|c 2019
336			\|a Text \|b txt \|2 rdacontent
337			\|a Computermedien \|b c \|2 rdamedia
338			\|a Online-Ressource \|b cr \|2 rdacarrier
520			\|a This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.
650		4	\|a Single-Index Model
650		4	\|a Sharpe
650		4	\|a Optimal Portfolio
650		4	\|a Dhaka Stock Exchange
653		0	\|a Business
653		0	\|a Finance
773	0	8	\|i In \|t Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen \|d Universitas Islam Malang, 2018 \|g 16(2019), 1, Seite 60-92 \|w (DE-627)1670707857 \|x 25974017 \|7 nnns
773	1	8	\|g volume:16 \|g year:2019 \|g number:1 \|g pages:60-92
856	4	0	\|u https://doi.org/10.31106/jema.v16i1.1736 \|z kostenfrei
856	4	0	\|u https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9 \|z kostenfrei
856	4	0	\|u http://riset.unisma.ac.id/index.php/jema/article/view/1736 \|z kostenfrei
856	4	2	\|u https://doaj.org/toc/1693-7864 \|y Journal toc \|z kostenfrei
856	4	2	\|u https://doaj.org/toc/2597-4017 \|y Journal toc \|z kostenfrei
912			\|a GBV_USEFLAG_A
912			\|a SYSFLAG_A
912			\|a GBV_DOAJ
912			\|a SSG-OLC-PHA
912			\|a GBV_ILN_20
912			\|a GBV_ILN_22
912			\|a GBV_ILN_23
912			\|a GBV_ILN_24
912			\|a GBV_ILN_31
912			\|a GBV_ILN_39
912			\|a GBV_ILN_40
912			\|a GBV_ILN_60
912			\|a GBV_ILN_62
912			\|a GBV_ILN_63
912			\|a GBV_ILN_65
912			\|a GBV_ILN_69
912			\|a GBV_ILN_70
912			\|a GBV_ILN_73
912			\|a GBV_ILN_95
912			\|a GBV_ILN_105
912			\|a GBV_ILN_110
912			\|a GBV_ILN_151
912			\|a GBV_ILN_161
912			\|a GBV_ILN_170
912			\|a GBV_ILN_206
912			\|a GBV_ILN_213
912			\|a GBV_ILN_230
912			\|a GBV_ILN_285
912			\|a GBV_ILN_293
912			\|a GBV_ILN_370
912			\|a GBV_ILN_602
912			\|a GBV_ILN_2014
912			\|a GBV_ILN_4012
912			\|a GBV_ILN_4037
912			\|a GBV_ILN_4112
912			\|a GBV_ILN_4125
912			\|a GBV_ILN_4126
912			\|a GBV_ILN_4249
912			\|a GBV_ILN_4305
912			\|a GBV_ILN_4306
912			\|a GBV_ILN_4307
912			\|a GBV_ILN_4313
912			\|a GBV_ILN_4322
912			\|a GBV_ILN_4323
912			\|a GBV_ILN_4324
912			\|a GBV_ILN_4325
912			\|a GBV_ILN_4326
912			\|a GBV_ILN_4335
912			\|a GBV_ILN_4338
912			\|a GBV_ILN_4367
912			\|a GBV_ILN_4700
951			\|a AR
952			\|d 16 \|j 2019 \|e 1 \|h 60-92

Indexfelder

author_variant	i m im
matchkey_str	article:25974017:2019----::piaprfloosrcinplctoosapsigenemd
hierarchy_sort_str	2019
callnumber-subject-code	HF
publishDate	2019
allfields	10.31106/jema.v16i1.1736 doi (DE-627)DOAJ046634304 (DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9 DE-627 ger DE-627 rakwb eng HF5001-6182 HG1-9999 Imroz Mahmud verfasserin aut Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner. Single-Index Model Sharpe Optimal Portfolio Dhaka Stock Exchange Business Finance In Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen Universitas Islam Malang, 2018 16(2019), 1, Seite 60-92 (DE-627)1670707857 25974017 nnns volume:16 year:2019 number:1 pages:60-92 https://doi.org/10.31106/jema.v16i1.1736 kostenfrei https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9 kostenfrei http://riset.unisma.ac.id/index.php/jema/article/view/1736 kostenfrei https://doaj.org/toc/1693-7864 Journal toc kostenfrei https://doaj.org/toc/2597-4017 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ SSG-OLC-PHA GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 16 2019 1 60-92
spelling	10.31106/jema.v16i1.1736 doi (DE-627)DOAJ046634304 (DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9 DE-627 ger DE-627 rakwb eng HF5001-6182 HG1-9999 Imroz Mahmud verfasserin aut Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner. Single-Index Model Sharpe Optimal Portfolio Dhaka Stock Exchange Business Finance In Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen Universitas Islam Malang, 2018 16(2019), 1, Seite 60-92 (DE-627)1670707857 25974017 nnns volume:16 year:2019 number:1 pages:60-92 https://doi.org/10.31106/jema.v16i1.1736 kostenfrei https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9 kostenfrei http://riset.unisma.ac.id/index.php/jema/article/view/1736 kostenfrei https://doaj.org/toc/1693-7864 Journal toc kostenfrei https://doaj.org/toc/2597-4017 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ SSG-OLC-PHA GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 16 2019 1 60-92
allfields_unstemmed	10.31106/jema.v16i1.1736 doi (DE-627)DOAJ046634304 (DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9 DE-627 ger DE-627 rakwb eng HF5001-6182 HG1-9999 Imroz Mahmud verfasserin aut Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner. Single-Index Model Sharpe Optimal Portfolio Dhaka Stock Exchange Business Finance In Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen Universitas Islam Malang, 2018 16(2019), 1, Seite 60-92 (DE-627)1670707857 25974017 nnns volume:16 year:2019 number:1 pages:60-92 https://doi.org/10.31106/jema.v16i1.1736 kostenfrei https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9 kostenfrei http://riset.unisma.ac.id/index.php/jema/article/view/1736 kostenfrei https://doaj.org/toc/1693-7864 Journal toc kostenfrei https://doaj.org/toc/2597-4017 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ SSG-OLC-PHA GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 16 2019 1 60-92
allfieldsGer	10.31106/jema.v16i1.1736 doi (DE-627)DOAJ046634304 (DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9 DE-627 ger DE-627 rakwb eng HF5001-6182 HG1-9999 Imroz Mahmud verfasserin aut Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner. Single-Index Model Sharpe Optimal Portfolio Dhaka Stock Exchange Business Finance In Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen Universitas Islam Malang, 2018 16(2019), 1, Seite 60-92 (DE-627)1670707857 25974017 nnns volume:16 year:2019 number:1 pages:60-92 https://doi.org/10.31106/jema.v16i1.1736 kostenfrei https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9 kostenfrei http://riset.unisma.ac.id/index.php/jema/article/view/1736 kostenfrei https://doaj.org/toc/1693-7864 Journal toc kostenfrei https://doaj.org/toc/2597-4017 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ SSG-OLC-PHA GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 16 2019 1 60-92
allfieldsSound	10.31106/jema.v16i1.1736 doi (DE-627)DOAJ046634304 (DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9 DE-627 ger DE-627 rakwb eng HF5001-6182 HG1-9999 Imroz Mahmud verfasserin aut Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange 2019 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner. Single-Index Model Sharpe Optimal Portfolio Dhaka Stock Exchange Business Finance In Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen Universitas Islam Malang, 2018 16(2019), 1, Seite 60-92 (DE-627)1670707857 25974017 nnns volume:16 year:2019 number:1 pages:60-92 https://doi.org/10.31106/jema.v16i1.1736 kostenfrei https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9 kostenfrei http://riset.unisma.ac.id/index.php/jema/article/view/1736 kostenfrei https://doaj.org/toc/1693-7864 Journal toc kostenfrei https://doaj.org/toc/2597-4017 Journal toc kostenfrei GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ SSG-OLC-PHA GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 16 2019 1 60-92
language	English
source	In Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen 16(2019), 1, Seite 60-92 volume:16 year:2019 number:1 pages:60-92
sourceStr	In Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen 16(2019), 1, Seite 60-92 volume:16 year:2019 number:1 pages:60-92
format_phy_str_mv	Article
institution	findex.gbv.de
topic_facet	Single-Index Model Sharpe Optimal Portfolio Dhaka Stock Exchange Business Finance
isfreeaccess_bool	true
container_title	Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen
authorswithroles_txt_mv	Imroz Mahmud @@aut@@
publishDateDaySort_date	2019-01-01T00:00:00Z
hierarchy_top_id	1670707857
id	DOAJ046634304
language_de	englisch
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">DOAJ046634304</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230503024542.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">230227s2019 xx \|\|\|\|\|o 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.31106/jema.v16i1.1736</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)DOAJ046634304</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HF5001-6182</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG1-9999</subfield></datafield><datafield tag="100" ind1="0" ind2=" "><subfield code="a">Imroz Mahmud</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2019</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Single-Index Model</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Sharpe</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Optimal Portfolio</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Dhaka Stock Exchange</subfield></datafield><datafield tag="653" ind1=" " ind2="0"><subfield code="a">Business</subfield></datafield><datafield tag="653" ind1=" " ind2="0"><subfield code="a">Finance</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">In</subfield><subfield code="t">Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen</subfield><subfield code="d">Universitas Islam Malang, 2018</subfield><subfield code="g">16(2019), 1, Seite 60-92</subfield><subfield code="w">(DE-627)1670707857</subfield><subfield code="x">25974017</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:16</subfield><subfield code="g">year:2019</subfield><subfield code="g">number:1</subfield><subfield code="g">pages:60-92</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.31106/jema.v16i1.1736</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://riset.unisma.ac.id/index.php/jema/article/view/1736</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="u">https://doaj.org/toc/1693-7864</subfield><subfield code="y">Journal toc</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="u">https://doaj.org/toc/2597-4017</subfield><subfield code="y">Journal toc</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_DOAJ</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-PHA</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_20</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_22</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_23</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_24</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_31</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_39</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_40</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_60</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_62</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_63</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_65</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_69</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_70</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_73</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_95</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_105</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_110</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_151</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_161</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_170</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_206</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_213</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_230</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_285</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_293</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_370</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_602</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2014</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4012</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4037</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4112</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4125</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4126</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4249</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4305</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4306</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4307</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4313</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4322</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4323</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4324</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4325</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4326</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4335</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4338</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4367</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4700</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">16</subfield><subfield code="j">2019</subfield><subfield code="e">1</subfield><subfield code="h">60-92</subfield></datafield></record></collection>
callnumber-first	H - Social Science
author	Imroz Mahmud
spellingShingle	Imroz Mahmud misc HF5001-6182 misc HG1-9999 misc Single-Index Model misc Sharpe misc Optimal Portfolio misc Dhaka Stock Exchange misc Business misc Finance Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange
authorStr	Imroz Mahmud
ppnlink_with_tag_str_mv	@@773@@(DE-627)1670707857
format	electronic Article
delete_txt_mv	keep
author_role	aut
collection	DOAJ
remote_str	true
callnumber-label	HF5001-6182
illustrated	Not Illustrated
issn	25974017
topic_title	HF5001-6182 HG1-9999 Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange Single-Index Model Sharpe Optimal Portfolio Dhaka Stock Exchange
topic	misc HF5001-6182 misc HG1-9999 misc Single-Index Model misc Sharpe misc Optimal Portfolio misc Dhaka Stock Exchange misc Business misc Finance
topic_unstemmed	misc HF5001-6182 misc HG1-9999 misc Single-Index Model misc Sharpe misc Optimal Portfolio misc Dhaka Stock Exchange misc Business misc Finance
topic_browse	misc HF5001-6182 misc HG1-9999 misc Single-Index Model misc Sharpe misc Optimal Portfolio misc Dhaka Stock Exchange misc Business misc Finance
format_facet	Elektronische Aufsätze Aufsätze Elektronische Ressource
format_main_str_mv	Text Zeitschrift/Artikel
carriertype_str_mv	cr
hierarchy_parent_title	Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen
hierarchy_parent_id	1670707857
hierarchy_top_title	Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen
isfreeaccess_txt	true
familylinks_str_mv	(DE-627)1670707857
title	Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange
ctrlnum	(DE-627)DOAJ046634304 (DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9
title_full	Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange
author_sort	Imroz Mahmud
journal	Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen
journalStr	Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen
callnumber-first-code	H
lang_code	eng
isOA_bool	true
recordtype	marc
publishDateSort	2019
contenttype_str_mv	txt
container_start_page	60
author_browse	Imroz Mahmud
container_volume	16
class	HF5001-6182 HG1-9999
format_se	Elektronische Aufsätze
author-letter	Imroz Mahmud
doi_str_mv	10.31106/jema.v16i1.1736
title_sort	optimal portfolio construction: application of sharpe's single-index model on dhaka stock exchange
callnumber	HF5001-6182
title_auth	Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange
abstract	This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.
abstractGer	This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.
abstract_unstemmed	This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.
collection_details	GBV_USEFLAG_A SYSFLAG_A GBV_DOAJ SSG-OLC-PHA GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700
container_issue	1
title_short	Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange
url	https://doi.org/10.31106/jema.v16i1.1736 https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9 http://riset.unisma.ac.id/index.php/jema/article/view/1736 https://doaj.org/toc/1693-7864 https://doaj.org/toc/2597-4017
remote_bool	true
ppnlink	1670707857
callnumber-subject	HF - Commerce
mediatype_str_mv	c
isOA_txt	true
hochschulschrift_bool	false
doi_str	10.31106/jema.v16i1.1736
callnumber-a	HF5001-6182
up_date	2024-07-03T21:44:48.481Z
_version_	1803595901548101632
fullrecord_marcxml	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">DOAJ046634304</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20230503024542.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">230227s2019 xx \|\|\|\|\|o 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.31106/jema.v16i1.1736</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)DOAJ046634304</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DOAJ5374d0f979a943e5a88ea7aed9ee42b9</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HF5001-6182</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG1-9999</subfield></datafield><datafield tag="100" ind1="0" ind2=" "><subfield code="a">Imroz Mahmud</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2019</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Single-Index Model</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Sharpe</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Optimal Portfolio</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Dhaka Stock Exchange</subfield></datafield><datafield tag="653" ind1=" " ind2="0"><subfield code="a">Business</subfield></datafield><datafield tag="653" ind1=" " ind2="0"><subfield code="a">Finance</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">In</subfield><subfield code="t">Jema: Jurnal Ilmiah Bidang Akuntansi dan Manajemen</subfield><subfield code="d">Universitas Islam Malang, 2018</subfield><subfield code="g">16(2019), 1, Seite 60-92</subfield><subfield code="w">(DE-627)1670707857</subfield><subfield code="x">25974017</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:16</subfield><subfield code="g">year:2019</subfield><subfield code="g">number:1</subfield><subfield code="g">pages:60-92</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.31106/jema.v16i1.1736</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doaj.org/article/5374d0f979a943e5a88ea7aed9ee42b9</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://riset.unisma.ac.id/index.php/jema/article/view/1736</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="u">https://doaj.org/toc/1693-7864</subfield><subfield code="y">Journal toc</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="u">https://doaj.org/toc/2597-4017</subfield><subfield code="y">Journal toc</subfield><subfield code="z">kostenfrei</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_A</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_DOAJ</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SSG-OLC-PHA</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_20</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_22</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_23</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_24</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_31</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_39</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_40</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_60</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_62</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_63</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_65</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_69</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_70</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_73</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_95</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_105</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_110</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_151</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_161</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_170</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_206</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_213</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_230</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_285</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_293</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_370</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_602</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2014</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4012</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4037</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4112</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4125</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4126</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4249</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4305</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4306</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4307</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4313</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4322</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4323</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4324</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4325</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4326</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4335</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4338</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4367</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4700</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">16</subfield><subfield code="j">2019</subfield><subfield code="e">1</subfield><subfield code="h">60-92</subfield></datafield></record></collection>
score	7.4017506

Nicht das Richtige dabei?

Schreiben Sie uns!

Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange

Nicht das Richtige dabei?

Zugang & Verfügbarkeit

Vorhandene Bände

Nicht das Richtige dabei?