This project was a part of my elective - Security Analysis and Portfolio Management at BITS Hyd, as a part of my 5th Semester. This repository consists of the problem statement, final report and the code that I wrote for completing the allotted task.
Overview:
- I was allotted 8 publicly listed firms and was asked to create an Efficient Frontier using the Markowitz Portfolio Theory and a Tangency Portfolio for the same.
- I obtained the risk-free rates using historical data of a market index (NIFTY 50) and annualizing the returns.
- The risk-adjusted portfolios were created by maximizing the Sharpe Ratio.
- The notebook contains markdowns explaining every section of the code.
- Further, I added 1 cryptocurrency and 1 international security to check the overall on impact on the risk-adjusted returns due to diversification.
I used Yahoo Finance to get the daily adjusted prices of the securities. The yfinance tickers are mentioned beside the name of each security.
List of Domestic Securities:
- AEGIS Logistics Ltd. (AEGISLOG)
- Canara Bank Ltd. (CANBK)
- Star Health and Allied Insurance Company Ltd. (STARHEALTH)
- Piramal Pharma Ltd. (PPLPHARMA)
- Kajaria Ceramics Ltd. (KAJARIACER)
- Birlasoft Ltd. (BSOFT)
- 360 One Wam Ltd. (360ONE)
- Gujarat Narmada Valley Fertilizers and Chemicals Ltd. (GNFC)
List of International Securities:
- NVIDIA Corp. (NVDA)
- SOLANA Labs (SOL-USD)