Computational Approach to Portfolio Optimization of Selected Scripts from Nifty50 using R Technology

Keerti. S.Mahajan; Dr. R .V. Kulkarni

Volume : V, Issue : X, October - 2016

Computational Approach to Portfolio Optimization of Selected Scripts from Nifty50 using R Technology

Keerti. S. Mahajan, Dr. R . V. Kulkarni

Abstract :

The main objective of this paper is to develop a user friendly method for investors and okers to understand statistical finance to apply the idea of efficient portfolio onto real life data. The proposed Portfolio optimization approach of stock portfolio management, is all about maximizing return and minimizing risk of portfolio through diversification and correct investment decision towards each script under uncertainty. To assess the performance of optimization, monthly closing prices from 2011 to 2015 of five scripts such as, Reliance Industries Ltd, Tata Steel Ltd, Lupin Ltd, HDFCBank Ltd, Dabur India Ltd from different sectors of Nifty–50 sensex has been considered as benchmarks to measure efficient portfolio model when short selling is allowed. This is made possible by statistical software R using stockPortfolio and quadprog packages and different functions of R. The result shows that the proposed portfolio optimization using R produces better results.