Optimal Portfolio Construction Using Sharpe’s Single Index Model-A Study of Selected Stocks from NGSE

10 Pages Posted: 3 Jun 2021

See all articles by Ibraheem Abiodun Yahayah

Ibraheem Abiodun Yahayah

Wroclaw University of Science and Technology; WorldQuant University

Kingsley Success Ikani

Wroclaw University of Science and Technology

Date Written: January 12, 2020

Abstract

This study uses Sharpe Single Index Model (SSIM) to construct an optimal portfolio. The sample for
this study was based on the large listed Nigerian companies listed on NGSE. Monthly closing stock
price of the companies was obtained from www.investing.com over the period of October 2019 to
November 2019. The findings are highly encouraging as results show the cut-off rate and stocks with higher excess return to beta ratio which form the optimal portfolio. This study is highly useful for investors and companies.

Keywords: Sharpe’s single index model, cut-off rate, Optimal portfolio, beta, diversification market return and Variance.

JEL Classification: G11

Suggested Citation

Yahayah, Ibraheem Abiodun and Ikani, Kingsley Success, Optimal Portfolio Construction Using Sharpe’s Single Index Model-A Study of Selected Stocks from NGSE (January 12, 2020). Available at SSRN: https://ssrn.com/abstract=3852369 or http://dx.doi.org/10.2139/ssrn.3852369

Ibraheem Abiodun Yahayah (Contact Author)

Wroclaw University of Science and Technology ( email )

wybrzeże Stanisława Wyspiańskiego 27, 50-370
Wrocław, 50-370
Poland
713202905 (Phone)
50-370 (Fax)

WorldQuant University ( email )

Place St Charles
201 St Charles Ave #2500
New Orleans, LA 70170
United States

Kingsley Success Ikani

Wroclaw University of Science and Technology ( email )

wybrzeże Stanisława Wyspiańskiego 27, 50-370
Wrocław, 50-370
Poland
713202905 (Phone)
53-023 (Fax)

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