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

Entrepreneurial Finance

6th Edition

ISBN:9781337635653

Author:Leach

Publisher:Leach

Chapter7: Types And Costs Of Financial Capital

Section: Chapter Questions

Problem 15DQ

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