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Investment Opportunities in International Markets: An Optimum Portfolio Analysis for the Tokyo Stock Exchange

Vol 9 , Issue 1 , January - June 2022 | Pages: 46-62 | Research Paper  

 
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https://doi.org/10.17492/jpi.focus.v9i1.912203


Author Details ( * ) denotes Corresponding author

1. * Shubham Sah, Ph. D Scholar, Commerce, CBPBU, Cooch Behar, West Bengal, India (shubhamsah8759@gmail.com)
2. Amit Kundu, Associate Professor, Commerce, CBPBU, Cooch Behar, West Bengal, India (prof.amitkundu@gmail.com)

The article aims to find out the opportunity for investors to reduce the risk of their portfolio by diversifying their investment in Japan’s stock market. In this regard, fifteen securities from Tokyo Stock Exchange (TSE) have been selected from 2016-2021. To conduct the research, a selection of the most integrated portfolio has been proposed in this paper. In terms of statistics, co-variance, correlation, expected return, risk and Sharpe ratio of these securities, across different portfolios are evaluated and the optimum one is selected, which ultimately maximizes the returns for investors and minimizes the risk of their portfolio. The results indicate that the optimum portfolio gives the highest expected return of 31.97 with taking the minimum risk of 15.61, along with the highest Sharpe ratio of 2.04. So, a rational investor should invest his money in such a portfolio to avail the benefits of global portfolio diversification.

Keywords

Tokyo stock exchange; Modern portfolio theory; Portfolio diversification; Efficient frontier; CML

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