Abstract
The paper makes an attempt to examine the performance of portfolios, formulated on the basis of Mean-Variance approach. For the analysis, monthly adjusted opening and closing prices of composite portfolio of BSE 100 companies have been taken for the period ranging from June 1996 to May 2005. The study has wide ranging implications for finance professionals and policy makers. Ten portfolios have, firstly, been formulated and then evaluated by using Sharpe's excess return to beta approach. Nine portfolios’ expected returns out of ten are significant at 5 percent level of significance. A cross section analysis of same set of ten portfolios is carried out for three non over lapping sub periods (June 1996-Dec. 1999, Jan. 2000-Dec. 2002, and Jan. 2003-May 2005). The three sub periods exhibit successive different economic conditions in Indian economy, viz. decline, recession and growth respectively. The results so obtained, exhibit that portfolio expected return of all ten portfolios, in three different economic conditions, are optimal.
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