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Published in:
Capital Asset Pricing Model: An Overview Read chapter Read first chapter

2019 | OriginalPaper | Chapter

15. Risk Diversification and Market Index Model

Author : Raj S. Dhankar

Published in: Risk-Return Relationship and Portfolio Management

Publisher: Springer India

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Abstract

The study attempts to measure the relationship between risk and return, and the effect of diversification on non-market risk in Indian stock market by applying Market Index Model. For the analysis, monthly adjusted opening and closing prices of composite portfolio of BSE 100 companies for the period June 1996 through May 2005 have been taken. We find a high positive correlation between portfolio return and risk. It also signifies that portfolio non-market risk declines with diversification. The results, so obtained, are fully coinciding with the generalization of market index model, and thereby hold it applicable in Indian stock market, in establishing the trade-off between risk and return.

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previous chapter Price Earning Ratio, Efficiency and Portfolio Performance
next chapter Mean–Variance Approach and Portfolio Selection
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Metadata
Title
Risk Diversification and Market Index Model
Author
Raj S. Dhankar
Copyright Year
2019
Publisher
Springer India
Book
Risk-Return Relationship and Portfolio Management

Print ISBN: 978-81-322-3948-2

Electronic ISBN: 978-81-322-3950-5

Copyright Year: 2019

DOI
https://doi.org/10.1007/978-81-322-3950-5_15