The CNX Bank Index is an index comprised of the most liquid and large capitalized Indian Banking stocks. It provides investors and market intermediaries with a benchmark that captures the capital market performance of the Indian banks. The Index has following 8 stocks from the banking sector that are listed on NSE : Stock Mean Return (Ri) (%) Beta Unsystematic Risk (% 2 ) 1 25 0.5 35 2 20 1.2 25 3 14 0.8 20 4 15 1 15 5 18 1.8 25 6 12 1.5 30 7 15 2.5 40 8 10 2.2 20 The risk free rate in the economy is 6%. Market Return as 15 % and Market Variance as 20 percent square. Construct the Optimal Portfolio using Sharpe optimization model
The CNX Bank Index is an index comprised of the most liquid and large capitalized Indian Banking stocks. It provides investors and market intermediaries with a benchmark that captures the capital market performance of the Indian banks. The Index has following 8 stocks from the banking sector that are listed on NSE : Stock Mean Return (Ri) (%) Beta Unsystematic Risk (% 2 ) 1 25 0.5 35 2 20 1.2 25 3 14 0.8 20 4 15 1 15 5 18 1.8 25 6 12 1.5 30 7 15 2.5 40 8 10 2.2 20 The risk free rate in the economy is 6%. Market Return as 15 % and Market Variance as 20 percent square. Construct the Optimal Portfolio using Sharpe optimization model
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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The CNX Bank Index is an index comprised of the most liquid and large capitalized Indian Banking stocks. It provides investors and market intermediaries with a benchmark that captures the capital market performance of the Indian banks. The Index has following 8 stocks from the banking sector that are listed on NSE :
|
Stock |
Mean Return (Ri) (%) |
Beta |
Unsystematic Risk (% 2 ) |
|
1 |
25 |
0.5 |
35 |
|
2 |
20 |
1.2 |
25 |
|
3 |
14 |
0.8 |
20 |
|
4 |
15 |
1 |
15 |
|
5 |
18 |
1.8 |
25 |
|
6 |
12 |
1.5 |
30 |
|
7 |
15 |
2.5 |
40 |
|
8 |
10 |
2.2 |
20 |
The risk free rate in the economy is 6%. Market Return as 15 % and Market Variance as 20 percent square. Construct the Optimal Portfolio using Sharpe optimization model
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