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Sensitivity analysis of risk free interest rate to optimize portfolio gain with reference to Colombo stock exchange

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dc.contributor.advisor Ranasinghe, L
dc.contributor.advisor Denzil, M
dc.contributor.author Amarasinghe, APGTS
dc.date.accessioned 2024-08-08T06:03:17Z
dc.date.available 2024-08-08T06:03:17Z
dc.date.issued 2023
dc.identifier.citation Amarasinghe, A.P.G.T.S. (2023). Sensitivity analysis of risk free interest rate to optimize portfolio gain with reference to Colombo stock exchange [Master’s theses, University of Moratuwa]. Institutional Repository University of Moratuwa. http://dl.lib.uom.lk/handle/123/22634
dc.identifier.uri http://dl.lib.uom.lk/handle/123/22634
dc.description.abstract Historically, investors made their investments based on the gain that they can earn out of it. Although there had been high risk involved in high return gaining investment activities, it was the habit of people to expect more gain from an investment. In modern world, investment strategies and investment evaluating methods are rapidly used to create optimal portfolios. These methods were mainly used to optimize investments on financial assets such as stocks, bonds, deposits, treasury bills etc. The application of Markowitz model is of rare use in Sri Lankan context and on Colombo Stock Exchange. Main objective of this study is to explore a range of optimal portfolios an investor can approach with changes in risk free rate and identify a safe range of risk free rate for optimal portfolio investment. In order to conduct this study monthly closing stock prices of 18 companies listed under ASPI were used as the data sample. Mainly secondary data was used in this study and the data were collected from Bloomberg official web site. Data was analyzed using simple mathematical equations, statistical methods with MS excel and MATLAB software. Findings of the study reveal that there is safe risks free rate range 6.72% - 8.64% where investor can diversify investment between Ceylon Cold Stores PLC and Teejay Lanka PLC, 83% and 17% respectively. en_US
dc.language.iso en en_US
dc.subject OPTIMAL RISKY PORTFOLIO en_US
dc.subject RISK FREE RATE en_US
dc.subject SAFE RANGE en_US
dc.subject MATHEMATICS- Dissertation en_US
dc.subject FINANCIAL MATHEMATICS - Dissertation en_US
dc.title Sensitivity analysis of risk free interest rate to optimize portfolio gain with reference to Colombo stock exchange en_US
dc.type Thesis-Abstract en_US
dc.identifier.faculty Engineering en_US
dc.identifier.degree MSc in Financial Mathematics en_US
dc.identifier.department Department of Mathematics en_US
dc.date.accept 2023
dc.identifier.accno TH5220 en_US


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