You have joined PMS division of Motilal Oswal broking firm as a manager. Your job profile includes the manging portfolios of valuable clients. One of the clients is having four companies in his portfolio as per weights given below Company Weights alpha Systematic Risk (%2) Unsystematic Risk (%2) HUL 0.15 0.47 18.49 35 Axis Bank 0.30 2.48 46.93 20 TCS 0.25 1.02 27.56 40 Tata Motors 0.30 1.27 56.25 50 Expected return from Nifty is 20 % and variance of its return is 25 percent square. Calculate the expected portfolio return and the portfolio risk using Sharpe’s Single Index Model
You have joined PMS division of Motilal Oswal broking firm as a manager. Your job profile includes the manging portfolios of valuable clients. One of the clients is having four companies in his portfolio as per weights given below Company Weights alpha Systematic Risk (%2) Unsystematic Risk (%2) HUL 0.15 0.47 18.49 35 Axis Bank 0.30 2.48 46.93 20 TCS 0.25 1.02 27.56 40 Tata Motors 0.30 1.27 56.25 50 Expected return from Nifty is 20 % and variance of its return is 25 percent square. Calculate the expected portfolio return and the portfolio risk using Sharpe’s Single Index 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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You have joined PMS division of Motilal Oswal broking firm as a manager. Your job profile includes the manging portfolios of valuable clients. One of the clients is having four companies in his portfolio as per weights given below
Company |
Weights |
alpha |
Systematic Risk (%2) |
Unsystematic Risk (%2) |
HUL |
0.15 |
0.47 |
18.49 |
35 |
Axis Bank |
0.30 |
2.48 |
46.93 |
20 |
TCS |
0.25 |
1.02 |
27.56 |
40 |
Tata Motors |
0.30 |
1.27 |
56.25 |
50 |
Expected return from Nifty is 20 % and variance of its return is 25 percent square. Calculate the expected portfolio return and the portfolio risk using Sharpe’s Single Index Model
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