Developments in Mean-Variance Efficient Portfolio Selection - Hardcover

'Prof. Dr. Megha Agarwal's book, Developments in Mean-Variance Efficient Portfolio Selection, reviews the modern portfolio theory and discusses how to apply it in practice given recent research findings. Indian stock markets are used as an example throughout the book and I am sure that Prof. Agarwal's book is an excellent source of knowledge for both academia and practitioners interested in the Indian stock markets.'

(Mika Vaihekoski, Professor of Finance, University of Turku, Finland)

'The mean-variance model formulated and applied in this research work provides a meaningful contribution to the ever evolving subject matter of optimal portfolio construction based upon the trade-off between risk and return comfort levels for a given investor. The research work is relevant to both the professional portfolio manager providing investment counsel to multiple clients, and to the individual investor who wishes to make informed decisions on the construction of a personal portfolio. The work is well researched and presented in a clear and convincing manner.'

(Dr Hamsa Thota, Board Member at International Network for Small and Medium Enterprises (INSME))

Mean-variance efficient portfolio selection was originally identified by Nobel Laureate Harry Markowitz (1952) and to this day remains one of the most popular approaches to portfolio selection. However the turmoil suffered by stock exchanges as a result of the financial crises in the United States and later in Europe has evoked new interest across the globe for better portfolio management within the existing mean variance framework. Substantial improvements in the availability of large data sets, real time information and software capable of performing complex computations contributes towards improved research work in portfolio selection. Better understanding of the markets and evolving economic models provide the means to add further to modern portfolio theory.

This book discusses a variety of new determinants for optimal portfolio selection. It reviews the existing modelling framework for portfolio selection developed by Markowitz, Sharpe, Fama and French and Ross and creates mean-variance efficient portfolios from the available pool of securities companies listed on the National Stock Exchange (NSE). The crucial role of portfolio attributes such as expected return, variance, the responsiveness of stock's index returns, market capitalisation, book-to-equity ratio and other such factors are identified in the creation of efficient portfolios. The resulting portfolios created using alternate portfolio selection model formulations are compared using the Sharpe and Treynor ratios. Quantitative and qualitative comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market. The mean-variance analysis undertaken in this book will be of immense use to individual and institutional investors, brokerage houses, mutual fund managers, banks, high net worth individuals, portfolio management service providers, financial advisors, regulators, stock exchanges and research scholars in the area of portfolio selection.