A study on portfolio selection using min max approach sectors of bse 100

Abstract

Markowitz introduced the world with Modern portfolio theory. He gave the concept of the Mean-Variance portfolio. In his research, he defined risk as to the deviation from its mean return hence it is called mean Variance portfolio as well. newlineOver a while, a different approach has been proposed for portfolio construction by a large body in finance Literature. To start with the first strategy is Equal allocation or a naive Portfolio strategy where the investor simply divides its whole wealth equally to each asset class. It is also called the 1/N allocation rule. With this simple rule of thumb, one can earn a good return and can outperform the market too as proved by many of the researches. It is still after four-decade very difficult to bit this simple rule of thumb and simple strategy. DeMiguel et al. (2009) state and show that there are still miles to go to beat the 1/N strategy. newline