Munich Personal RePEc Archive

Algorithm for construction of portfolio of stocks using Treynor’s ratio

Sinha, Pankaj and Goyal, Lavleen (2012): Algorithm for construction of portfolio of stocks using Treynor’s ratio.

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Abstract

The aim of the paper is to implement the algorithm for selecting stocks from a pool of stocks listed in a single market index like S&P CNX 500(say) and finding the corresponding weights of the stocks in the optimized portfolio using Treynor’s ratio, on the basis of historical data of Indian stock market when the short selling is not allowed. The effectiveness of this algorithm has been demonstrated with an example.

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