摘要：The objective of the research work undertaken is to examine the Risk Anomaly on the scrips traded in National Stock Exchange. It is an approach which attempts to build a portfolio which maximizes returns for scrips while keeping volatility at minimum. The volatility in the research undertaken is determined by the standard deviation of the stock returns. The study is limited to those stocks whose derivatives are traded in the National Stock Exchange (NSE). The rationale behind selecting such scrips is that they are traded in large volumes. The findings established high risk-high returns paradigm isa fallacy in capital markets. The analysis gave higher average monthly rate of returns for low volatility stocks when compared with high volatility and market portfolios. The probability distribution function was asymmetric and left skewed with a fat tail indicated by kurtosis of less than three. Thus standard deviation which underestimates the potential down side risks was done away with the computation of VaR and LPSD. The cumulative histogram of VaR also established increased downside risks with higher probability for HV and market portfolio when compared with LV portfolio.
