Abstract
This research paper aims to build an optimal portfolio using Sharpe’s Index Model. The study has been done on Bombay Stock Exchange Sensex 30 constituent companies. The monthly stock prices between August 2017 to August 2021 have been considered for this study. Various measures such as mean return, Beta coefficient, Excess return, Standard deviation, Variance, Cut Off Rate, Proportion of Investment and Portfolio Return are computed. The final results showed that, twenty-six stocks were bullish during the study period and delivered positive returns and four stocks showed negative returns out of the thirty stocks in BSE Sensex. Therefore, the study is continued on those 26 stocks which generated positive returns to determine the cut off rate. Further, application of Sharpe’s Index model highlighted the stocks to be used for constructing the optimal portfolio. The prices of the stocks have been largely fluctuated between February 2020 and March 2021 due to the pandemic induced lockdowns and shut downs and followed by a sharp rise in the prices of the stocks facilitated by the monetary easing by the Indian Government and the Reserve Bank of India to maintain liquidity.
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