THE SINGLE INDEX MODEL AND THE CONSTRUCTION OF OPTIMAL PORTFOLIO WITH CNXPHARMA SCRIP

Risk and return plays an important role in making any investment decisions. Decision include Investment should be done or not and which securities should be included in portfolio. Determining efficient portfolios within an asset class (e.g., s tocks) can be achieved with the Single index (beta) model proposed by Sharpe. Sharpe's single-index model was applied by using the monthly closing prices of 10 companies listed in NSE and CNX PHARMA price index for the period from September 2010 to September 2014. From the empirical analysis it can be concluded that out of 10 companies only one company is selected for investment purpose on the basis of Cut-off point which is -0.11182.