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PORTFOLIO ASSIGNMENT

AAMIR IQBAL | ROLL NO: 20/1657 | SOUTH CAMPUS

10 ASSETS AND CLOSING PRICE

Date TATASTEEL ONGC TITAN TCS WHIRPOOL BRITANNIA BIOCON CIPLA HAVELLS DABUR
04-02-2022 1176.3 169.6 2,471.15 3,779.00 1799.55 3562 391.65 946.10 1209.55 569
07-02-2022 1183 172.1 2,409.20 3,743.45 1788.35 3448.6 399.30 933.30 1194.95 566.7
08-02-2022 1219.6 166.95 2,443.65 3,760.55 1796 3473.45 404.60 948.05 1186.8 562.25
09-02-2022 1222.35 163.95 2,484.80 3,770.35 1775.55 3517.35 407.25 968.25 1223.9 570.5
10-02-2022 1248.35 169.1 2,491.85 3,694.95 1797.55 3534.55 403.7 975.05 1219.3 564.6
11-02-2022 1254.45 168.15 2,442.25 3,733.75 1758.9 3480.55 402.9 958.50 1174.75 560.85
14-02-2022 1186.85 166.2 2,398.00 3,817.80 1707.3 3398 393.55 954.90 1156.05 553.1
15-02-2022 1207.75 164.15 2,495.90 3,813.10 1728.25 3477.9 403.9 921.85 1189.8 562.45
16-02-2022 1191.8 168.55 2,488.05 3,784.20 1725.1 3462 401.85 933.10 1206.4 561.85
17-02-2022 1190.95 171.75 2,493.20 3,793.90 1721.35 3464.1 395.7 928.20 1206.95 554.4
18-02-2022 1190.8 167.9 2,488.95 3,719.40 1704.5 3481.65 392.7 909.10 1201.3 547.8
21-02-2022 1181.85 163.4 2,454.35 3,586.40 1694.75 3475.25 387.5 907.25 1201.15 553.6
22-02-2022 1138.7 164.95 2,450.10 3,563.80 1660.35 3489.75 384.3 913.40 1203.45 550.05
23-02-2022 1139 160.75 2,495.70 3,401.65 1650.35 3511.15 395.45 914.90 1201.25 543.25
24-02-2022 1074 156.65 2,406.60 3,520.75 1624.1 3446 374.15 895.80 1147.4 533.7
25-02-2022 1145.35 159.5 2,468.45 3,554.20 1674.65 3422.75 394.55 923.65 1168.4 544.85
28-02-2022 1220.75 160.65 2,546.55 3,546.15 1672.75 3427.45 348.85 925.05 1185.7 563.35
02-03-2022 1289.35 162.95 2,592.65 3,544.40 1660.6 3391.75 344.85 923.10 1148.85 565.25
03-03-2022 1303.3 170.3 2,574.25 3,524.35 1650.5 3366.4 340.05 934.90 1104.35 562.9
RETURN OF 10 ASSETS
TATASTEEL ONGC TITAN TCS WHIRPOOL BRITANNIA BIOCON CIPLA HAVELLS DABUR
0.005696 0.014741 -0.02507 -0.00941 -0.00622 -0.03184 0.019533 -0.01353 -0.01207 -0.00404
0.030938 -0.02992 0.014299 0.004568 0.004278 0.007206 0.013273 0.015804 -0.00682 -0.00785
0.002255 -0.01797 0.01684 0.002606 -0.01139 0.012639 0.00655 0.021307 0.031261 0.014673
0.021271 0.031412 0.002837 -0.02 0.012391 0.00489 -0.00872 0.007023 -0.00376 -0.01034
0.004886 -0.00562 -0.0199 0.010501 -0.0215 -0.01528 -0.00198 -0.01697 -0.03654 -0.00664
-0.05389 -0.0116 -0.01812 0.022511 -0.02934 -0.02372 -0.02321 -0.00376 -0.01592 -0.01382
0.01761 -0.01233 0.040826 -0.00123 0.012271 0.023514 0.026299 -0.03461 0.029194 0.016905
-0.01321 0.026805 -0.00315 -0.00758 -0.00182 -0.00457 -0.00508 0.012204 0.013952 -0.00107
-0.00071 0.018985 0.00207 0.002563 -0.00217 0.000607 -0.0153 -0.00525 0.000456 -0.01326
-0.00013 -0.02242 -0.0017 -0.01964 -0.00979 0.005066 -0.00758 -0.02058 -0.00468 -0.0119
-0.00752 -0.0268 -0.0139 -0.03576 -0.00572 -0.00184 -0.01324 -0.00203 -0.00012 0.010588
-0.03651 0.009486 -0.00173 -0.0063 -0.0203 0.004172 -0.00826 0.006779 0.001915 -0.00641
0.000264 -0.02546 0.018611 -0.0455 -0.00602 0.006132 0.029014 0.001642 -0.00183 -0.01236
-0.05707 -0.02551 -0.0357 0.035012 -0.01591 -0.01856 -0.05386 -0.02088 -0.04483 -0.01758
0.066434 0.018193 0.0257 0.009501 0.031125 -0.00675 0.054524 0.03109 0.018302 0.020892
0.065831 0.00721 0.031639 -0.00226 -0.00113 0.001373 -0.11583 0.001516 0.014807 0.033954
0.056195 0.014317 0.018103 -0.00049 -0.00726 -0.01042 -0.01147 -0.00211 -0.03108 0.003373
0.010819 0.045106 -0.0071 -0.00566 -0.00608 -0.00747 -0.01392 0.012783 -0.03873 -0.00416
RET 0.006287 0.000479 0.002475 -0.0037 -0.0047 -0.00305 -0.00718 -0.00053 -0.00481 -0.0005
VAR 0.001225 0.000532 0.000428 0.000358 0.000195 0.000182 0.001294 0.000274 0.000498 0.000204
VARIANCE COVARIANCE MATRIX
TATASTEEL ONGC TITAN TCS WHIRPOOL BRITANNIA BIOCON CIPLA HAVELLS DABUR
-
TATASTEEL 0.00122 0.00024 0.00051 0.00012 0.00034 0.00012 0.00010 0.00019 0.00022 0.00033
- -
ONGC 0.00024 0.00053 0.00001 0.00001 0.00009 -0.00006 0.00003 0.00013 0.00004 0.00003
-
TITAN 0.00051 0.00001 0.00043 0.00009 0.00018 0.00021 0.00011 0.00009 0.00031 0.00019
- - - - -
TCS -0.00012 0.00001 0.00009 0.00036 -0.00005 -0.00010 0.00016 0.00002 0.00012 0.00001
-
WHIRPOOL 0.00034 0.00009 0.00018 0.00005 0.00019 0.00007 0.00019 0.00008 0.00015 0.00009
- -
BRITANNIA 0.00012 0.00006 0.00021 0.00010 0.00007 0.00018 0.00007 0.00002 0.00020 0.00006
- - -
BIOCON 0.00010 0.00003 0.00011 0.00016 0.00019 0.00007 0.00129 0.00011 0.00018 0.00007
-
CIPLA 0.00019 0.00013 0.00009 0.00002 0.00008 0.00002 0.00011 0.00027 0.00010 0.00006
- -
HAVELLS 0.00022 0.00004 0.00031 0.00012 0.00015 0.00020 0.00018 0.00010 0.00050 0.00019
- -
DABUR 0.00033 0.00003 0.00019 0.00001 0.00009 0.00006 0.00007 0.00006 0.00019 0.00020
EFFICIENT FRONTIER FOR VARIANCE
[W1 W2 W3 -------- W10] * VAR COVAR MATRIX * TRANSPOSE [W1 W2 W3----W10]

[W1 W2 W3 -------- W10] * VAR COVAR MATRIX


0.000129 -1.4E-05 0.000165 -6.1E-05 6.95E-05 0.000132 6.94E-05 8E-05 0.00016 5.77E-05
THEN
TRANSPOSE [W1 W2 W3----W10]
0
0
0
0.038275
0
0.718567
0
0.243157
7.53E-07
0

OBJECTIVE FUNCTION MIN : 0.000112


STC
- - - - - - -
0.00663 0.00483 0.0037 0.00716 -0.00267 0.003171 0.00353 0.000392 0.01512 0.01065 >= 0.0021
SUM OF WI 1

W1 W2 W3 W4 W5 W6 W7 W8 W9 W10
7.53E-
0 0 0 0.038275 0 0.718567 0 0.243157 07 0
Now we plot the frontier for different risk values:
VALUES USING EXCEL SOLVER
VARIANCE RETURN RISK W1 W2 W3 W4 W5 W6 W7 W8 W9 W10
7.53E-
5.43E-05 -0.0005 0.007371 0 0.093823 0 0.229567 0 0.511915 0.023093 0.141601 07 0
7.53E-
6.76E-05 0.0005 0.00822 0 0.059226 0 0.162496 0 0.591826 0 0.186451 07 0
7.53E-
7.58E-05 0.0009 0.008708 0 0.043181 0 0.132177 0 0.623185 0 0.201457 07 0
7.53E-
8.6E-05 0.0013 0.009272 0 0.027135 0 0.101858 0 0.654544 0 0.216463 07 0
7.53E-
9.8E-05 0.0017 0.009898 0 0.011089 0 0.071539 0 0.685903 0 0.231469 07 0
7.53E-
0.000112 0.0021 0.010578 0 0 0 0.038275 0 0.718567 0 0.243157 07 0
7.53E-
4.82E-05 -0.00273 0.006944 0 0.110282 0 0.265334 0 0.373426 0.052852 0.073563 07 0.124542
Global Min Var
EFFICIENT FRONTIER FOR SEMI VARIANCE:
We follow the same method as above but will include the deviation table as well

DEVIATION
TATASTEEL ONGC TITAN TCS WHIRPOOL BRITANNIA BIOCON CIPLA HAVELLS DABUR
0 0 -0.02807 -0.01241 -0.00922 -0.03484 0 -0.01653 -0.01507 -0.00704
0 -0.03292 0 0 0 0 0 0 -0.00982 -0.01085
-0.00075 -0.02097 0 -0.00039 -0.01439 0 0 0 0 0
0 0 -0.00016 -0.023 0 0 -0.01172 0 -0.00676 -0.01334
0 -0.00862 -0.0229 0 -0.0245 -0.01828 -0.00498 -0.01997 -0.03954 -0.00964
-0.05689 -0.0146 -0.02112 0 -0.03234 -0.02672 -0.02621 -0.00676 -0.01892 -0.01682
0 -0.01533 0 -0.00423 0 0 0 -0.03761 0 0
-0.01621 0 -0.00615 -0.01058 -0.00482 -0.00757 -0.00808 0 0 -0.00407
-0.00371 0 -0.00093 -0.00044 -0.00517 -0.00239 -0.0183 -0.00825 -0.00254 -0.01626
-0.00313 -0.02542 -0.0047 -0.02264 -0.01279 0 -0.01058 -0.02358 -0.00768 -0.0149
-0.01052 -0.0298 -0.0169 -0.03876 -0.00872 -0.00484 -0.01624 -0.00503 -0.00312 0
-0.03951 0 -0.00473 -0.0093 -0.0233 0 -0.01126 0 -0.00109 -0.00941
-0.00274 -0.02846 0 -0.0485 -0.00902 0 0 -0.00136 -0.00483 -0.01536
-0.06007 -0.02851 -0.0387 0 -0.01891 -0.02156 -0.05686 -0.02388 -0.04783 -0.02058
0 0 0 0 0 -0.00975 0 0 0 0
0 0 0 -0.00526 -0.00413 -0.00163 -0.11883 -0.00148 0 0
0 0 0 -0.00349 -0.01026 -0.01342 -0.01447 -0.00511 -0.03408 0
0 0 -0.0101 -0.00866 -0.00908 -0.01047 -0.01692 0 -0.04173 -0.00716

SEMI VAR COVAR MATRIX


TATASTEEL ONGC TITAN TCS WHIRPOOL BRITANNIA BIOCON CIPLA HAVELLS DABUR
TATASTEEL 0.000489 0.000168 0.000223 6.4E-05 0.000231 0.000167 0.00032 0.00011 0.000226 0.000154
ONGC 0.000168 0.000289 0.000124 0.000177 0.000131 7.26E-05 0.000156 0.000129 0.000152 0.000116
TITAN 0.000223 0.000124 0.000207 7.28E-05 0.000149 0.000168 0.000194 0.000122 0.000228 1E-04
TCS 6.4E-05 0.000177 7.28E-05 0.000299 8.84E-05 4.71E-05 0.00012 6.6E-05 7.57E-05 9.31E-05
WHIRPOOL 0.000231 0.000131 0.000149 8.84E-05 0.00019 0.000132 0.000195 9.84E-05 0.000198 0.000108
BRITANNIA 0.000167 7.26E-05 0.000168 4.71E-05 0.000132 0.000178 0.000154 9.73E-05 0.000206 8.11E-05
BIOCON 0.00032 0.000156 0.000194 0.00012 0.000195 0.000154 0.001089 0.000131 0.000271 0.000141
CIPLA 0.00011 0.000129 0.000122 6.6E-05 9.84E-05 9.73E-05 0.000131 0.000188 0.00015 7.89E-05
HAVELLS 0.000226 0.000152 0.000228 7.57E-05 0.000198 0.000206 0.000271 0.00015 0.000421 0.00014
DABUR 0.000154 0.000116 1E-04 9.31E-05 0.000108 8.11E-05 0.000141 7.89E-05 0.00014 0.000112
Now we plot the efficient frontier for semi variance:
VALUES USING EXCEL SOLVER
VARIANCE RETURN RISK W1 W2 W3 W4 W5 W6 W7 W8 W9 W10
7.54E-05 -0.0005 0.008684 0 0 0 0.143126 0.00138 0.466468 0 0.289103 0 0.099923
9.11E-05 0.0005 0.009545 0 0 0 0.154232 0.030489 0.500796 0 0.312197 0 0.002285
9.82E-05 0.0009 0.009907 0 0 0 0.134544 0 0.548504 0 0.316952 0 0
0.000107 0.0013 0.010324 0 0 0 0.09647 0 0.588926 0 0.314604 0 0
0.000116 0.0017 0.010792 0 0 0 0.058273 0 0.629012 0 0.312715 0 0
0.000128 0.0021 0.011308 0 0 0 0.019859 0 0.668509 0 0.311632 0 0
0.000142 -0.001 0.011897 0 0 0 0 0 0.758439 0 0.241561 0 0
9.91E-05 -0.00586 0.009955 0 0 0 0.093593 0 0.19193 0 0.164003 0 0.550474
Global min var
COMPARISON OF THE TWO FRONTIERS

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