Optimal Portfolio Construction of Pharmaceutical Companies-A Study on CNX Pharma Index

Stock markets are one of the primary indicators of Indian economy. The index values like NIFTY, SENSEX, BANK NIFTY, CNX PHARMA to name a few; not only gives a first-hand impression of the health of the economy but also directs the government and the regulatory authorities to formulate policies for the better of the Indian growing middleclass. This study focuses mainly on the CNX PHARMA index which consists of 10 pharmaceutical stocks and develops anapproach to construct an optimal portfolio using the Sharpe Index Model. The model uses the regression technique toanalyze the effect of market on the return of individual stocks. Finally, this study advises the risk-averse investors to makea portfolio of Glenmark Pharma, Lupin, Cadila HealthCare and Sun Pharmaceuticals.