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Myopic investment view of the Indian mutual fund industry

Manjrekar, Rajesh; Sinha, Pankaj - Volkswirtschaftliche Fakultät, … - 2010

This paper examines the investment behavior of Indian mutual fund industry. Since the majority of investors who invest … term investment horizon. However, the data from all mutual funds for the periods December 2007 to May 2008 and December … to set up investment norms with regard to the holding period for stocks owned by the Indian mutual fund industry …

Persistent link: https://www.econbiz.de/10008516562

Hedging Greeks for a portfolio of options using linear and quadratic programming

Sinha, Pankaj; Johar, Archit - Volkswirtschaftliche Fakultät, … - 2010

The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is...

Persistent link: https://www.econbiz.de/10008619201

Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing

Sinha, Pankaj; Gupta, Akshay; Mudgal, Hemant - Volkswirtschaftliche Fakultät, … - 2010

This paper proposes a methodology for active hedging Greeks of an option portfolio integrating churning and minimization of cost of hedging. In the first section, hedging strategy is implemented by taking positions in other available options, while simultaneously minimizing the net premium paid...

Persistent link: https://www.econbiz.de/10008685557

Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm

Sinha, Pankaj; Chandwani, Abhishek; Sinha, Tanmay - Volkswirtschaftliche Fakultät, … - 2013

selected stocks by finding a genetically suitable combination of return and risk on the basis of historical data. The effect of …

Persistent link: https://www.econbiz.de/10011113591

Algorithm for construction of portfolio of stocks using Treynor’s ratio

Sinha, Pankaj; Goyal, Lavleen - Volkswirtschaftliche Fakultät, … - 2012

The aim of the paper is to implement the algorithm for selecting stocks from a pool of stocks listed in a single market index like S&P CNX 500(say) and finding the corresponding weights of the stocks in the optimized portfolio using Treynor’s ratio, on the basis of historical data of Indian...

Persistent link: https://www.econbiz.de/10011258412

Securities transaction tax and the stock market– an Indian experience

Sinha, Pankaj; Mathur, Kritika - Volkswirtschaftliche Fakultät, … - 2012

change in tax level and thus investors switch from large and medium sized stocks to small sized stocks to mitigate the risk. …

Persistent link: https://www.econbiz.de/10011259967