Author(s): Jyothi G, Shruti Ravikumar, Monica S, Vishnu Govindan
This study examines the construction of an optimal portfolio using risk-adjusted performance measures, focusing on the top 10 NSE large-cap stocks over the period 2021–2025. The research applies the Markowitz Mean–Variance framework to identify an efficient portfolio that balances risk and return. Key statistical tools such as standard deviation, beta, and correlation are used to evaluate risk characteristics, while performance is assessed using Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha. The findings reveal a positive relationship between risk and return, supporting the traditional risk-return trade-off. The optimized portfolio demonstrates superior performance compared to individual stocks and the Nifty 50 benchmark, with higher returns (1.92% vs 1.60%) and lower volatility (4.20% vs 4.80%). Additionally, higher risk-adjusted measures (Sharpe Ratio 0.70) confirm improved efficiency. The study highlights the effectiveness of diversification and quantitative techniques in achieving optimal portfolio performance in dynamic market conditions.