QUANTITATIVE TECHNIQUE ASSIGNMENT

SAURABH CHALAK MNP20241095

IRISH JAIN MNP20242143
VEDANT KALRA MNP20241128
 AVERAGE 12 15 Average Ret
=
STANDARD DEVIATION 13 26 mean =
CORELATION w =
sd =

Plot the Risk and Return curve for the two stock portfolio having Mean Return and Standard deviation of
Calculate
What combination of stock weights in the portfolio will give minimum risk
What combination of stock weights in the portfolio will give maximun return
What combination of stock weights will have maximum sharpe ratio

Note-Use Correlation coeff as -1, 0, 1 and any value between 0 and 1

Thus you will have 4 different graphs (one for each value of the correlation coeffecient) and 4 different s
 ( w1 * mea+ ( w2 * mean2 )
average return of stock
weightage of stock
sqrt of [(w1^2 * sd1^2) + (w2^2 * sd2^2) + (2*w1*w2*sd1*sd2 * SCC12)]

and Standard deviation of return as shown above

effecient) and 4 different sets of answers for the 3 questions mentioned above
PARTICULAR Stock 1 Stock 2 weightage of stock 1 weightage of stock 2
AVERAGE 12 15 1 0
STANDARD DEVIATION 13 26 0.99 0.01
CORELATION 1 0.98 0.02
0.97 0.03
MINIMUM RISK 13.13 0.96 0.04
MAXIMUM RETURN 15 0.95 0.05
MAXIMUM SHARPE RATIO 0.916222 0.94 0.06
0.93 0.07
0.92 0.08
0.91 0.09
0.9 0.1
0.89 0.11
0.88 0.12
0.87 0.13
0.86 0.14
0.85 0.15
0.84 0.16
0.83 0.17
0.82 0.18
0.81 0.19
0.8 0.2
0.79 0.21
0.78 0.22
0.77 0.23
0.76 0.24
0.75 0.25
0.74 0.26
0.73 0.27
0.72 0.28
0.71 0.29
0.7 0.3
0.69 0.31
0.68 0.32
0.67 0.33
0.66 0.34
0.65 0.35
0.64 0.36
0.63 0.37
0.62 0.38
0.61 0.39
0.6 0.4
0.59 0.41
0.58 0.42
0.57 0.43
0.56 0.44
0.55 0.45
 0.54 0.46
0.53 0.47
0.52 0.48
0.51 0.49
0.5 0.5
0.49 0.51
0.48 0.52
0.47 0.53
0.46 0.54
0.45 0.55
0.44 0.56
0.43 0.57
0.42 0.58
0.41 0.59
0.399999999999999 0.6
0.389999999999999 0.61
0.379999999999999 0.62
0.369999999999999 0.63
0.359999999999999 0.64
0.349999999999999 0.65
0.339999999999999 0.66
0.329999999999999 0.67
0.319999999999999 0.68
0.309999999999999 0.69
0.299999999999999 0.7
0.289999999999999 0.71
0.279999999999999 0.72
0.269999999999999 0.73
0.259999999999999 0.74
0.249999999999999 0.75
0.239999999999999 0.760000000000001
0.229999999999999 0.770000000000001
0.219999999999999 0.780000000000001
0.209999999999999 0.790000000000001
0.199999999999999 0.800000000000001
0.189999999999999 0.810000000000001
0.179999999999999 0.820000000000001
0.169999999999999 0.830000000000001
0.159999999999999 0.840000000000001
0.149999999999999 0.850000000000001
0.139999999999999 0.860000000000001
0.129999999999999 0.870000000000001
0.119999999999999 0.880000000000001
0.109999999999999 0.890000000000001
0.099999999999999 0.900000000000001
0.089999999999999 0.910000000000001
0.079999999999999 0.920000000000001
0.069999999999999 0.930000000000001
0.059999999999999 0.940000000000001
0.049999999999999 0.950000000000001
0.039999999999999 0.960000000000001
0.029999999999999 0.970000000000001
0.019999999999999 0.980000000000001
0.009999999999999 0.990000000000001
0 1
Risk(sd) Return SHARPE RATIO

13.13 12.03 0.916222391469916 Portf oilio at Corelati on coeffi c

13.26 12.06 0.909502262443439
16
13.39 12.09 0.902912621359223
13.52 12.12 0.896449704142012 14
13.65 12.15 0.89010989010989 12
13.78 12.18 0.88388969521045
10
13.91 12.21 0.877785765636233

RETURNKe
14.04 12.24 0.871794871794872 8
14.17 12.27 0.86591390261115 6
14.3 12.3 0.86013986013986
4
14.43 12.33 0.854469854469855
14.56 12.36 0.848901098901099 2
14.69 12.39 0.843430905377808 0
14.82 12.42 0.838056680161943 12 14 16 18 20 22
14.95 12.45 0.832775919732442 RISK
15.08 12.48 0.827586206896552
15.21 12.51 0.822485207100592
15.34 12.54 0.817470664928292
15.47 12.57 0.812540400775695
15.6 12.6 0.807692307692308
15.73 12.63 0.802924348378894
15.86 12.66 0.798234552332913
15.99 12.69 0.793621013133208
16.12 12.72 0.789081885856079
16.25 12.75 0.784615384615384
16.38 12.78 0.78021978021978
16.51 12.81 0.775893397940642
16.64 12.84 0.771634615384615
16.77 12.87 0.767441860465116
16.9 12.9 0.763313609467455
17.03 12.93 0.759248385202584
17.16 12.96 0.755244755244755
17.29 12.99 0.751301330248699
17.42 13.02 0.747416762342135
17.55 13.05 0.743589743589744
17.68 13.08 0.739819004524887
17.81 13.11 0.736103312745649
17.94 13.14 0.732441471571906
18.07 13.17 0.728832318760376
18.2 13.2 0.725274725274725
18.33 13.23 0.72176759410802
18.46 13.26 0.718309859154929
18.59 13.29 0.714900484131253
18.72 13.32 0.711538461538462
18.85 13.35 0.708222811671087
18.98 13.38 0.70495258166491
19.11 13.41 0.701726844583987
19.24 13.44 0.698544698544698
19.37 13.47 0.695405265875065
19.5 13.5 0.692307692307692
19.63 13.53 0.689251146204789
19.76 13.56 0.686234817813765
19.89 13.59 0.683257918552036
20.02 13.62 0.68031968031968
20.15 13.65 0.67741935483871
20.28 13.68 0.674556213017751
20.41 13.71 0.671729544341009
20.54 13.74 0.668938656280428
20.67 13.77 0.666182873730044
20.8 13.8 0.663461538461538
20.93 13.83 0.660774008600095
21.06 13.86 0.658119658119658
21.19 13.89 0.655497876356772
21.32 13.92 0.652908067542214
21.45 13.95 0.65034965034965
21.58 13.98 0.647822057460612
21.71 14.01 0.645324735145094
21.84 14.04 0.642857142857143
21.97 14.07 0.640418752844788
22.1 14.1 0.638009049773756
22.23 14.13 0.635627530364372
22.36 14.16 0.633273703041145
22.49 14.19 0.630947087594486
22.62 14.22 0.628647214854111
22.75 14.25 0.626373626373626
22.88 14.28 0.624125874125874
23.01 14.31 0.621903520208605
23.14 14.34 0.619706136560069
23.27 14.37 0.617533304684143
23.4 14.4 0.615384615384615
23.53 14.43 0.613259668508287
23.66 14.46 0.611158072696534
23.79 14.49 0.609079445145019
23.92 14.52 0.607023411371237
24.05 14.55 0.604989604989605
24.18 14.58 0.602977667493796
24.31 14.61 0.600987248046072
24.44 14.64 0.599018003273322
24.57 14.67 0.597069597069597
24.7 14.7 0.595141700404858
24.83 14.73 0.59323399113975
24.96 14.76 0.591346153846154
25.09 14.79 0.58947787963332
25.22 14.82 0.587628865979381
25.35 14.85 0.585798816568047
25.48 14.88 0.583987441130298
25.61 14.91 0.582194455290902
25.74 14.94 0.58041958041958
25.87 14.97 0.578662543486664
26 15 0.576923076923077
orelati on coeffi cient +1

8 20 22 24 26 28
RISK
 weightage of stock 1
PARTICULAR Stock 1 Stock 2 1
AVERAGE 12 15 0.99
STANDARD DEVIATION 13 26 0.98
CORELATION -1 0.97
0.96
MINIMUM RISK 0.13 0.95
MAXIMUM RETURN 15 0.94
MAXIMUM SHARPE RATIO 99.92308 0.93
0.92
0.91
0.9
0.89
0.88
0.87
0.86
0.85
0.84
0.83
0.82
0.81
0.8
0.79
0.78
0.77
0.76
0.75
0.74
0.73
0.72
0.71
0.7
0.69
0.68
0.67
0.66
0.65
0.64
0.63
0.62
0.61
0.6
0.59
0.58
0.57
0.56
 0.55
0.54
0.53
0.52
0.51
0.5
0.49
0.48
0.47
0.46
0.45
0.44
0.43
0.42
0.41
0.399999999999999
0.389999999999999
0.379999999999999
0.369999999999999
0.359999999999999
0.349999999999999
0.339999999999999
0.329999999999999
0.319999999999999
0.309999999999999
0.299999999999999
0.289999999999999
0.279999999999999
0.269999999999999
0.259999999999999
0.249999999999999
0.239999999999999
0.229999999999999
0.219999999999999
0.209999999999999
0.199999999999999
0.189999999999999
0.179999999999999
0.169999999999999
0.159999999999999
0.149999999999999
0.139999999999999
0.129999999999999
0.119999999999999
0.109999999999999
0.0999999999999992
0.0899999999999993
0.0799999999999993
0.0699999999999993
0.0599999999999993
0.0499999999999993
0.0399999999999993
0.0299999999999993
0.0199999999999992
0.0099999999999992
0
weightage of stock 2 Risk(sd) Return SHARPE RATIO
0
0.01 12.61 12.03 0.95400475813 Portfoilio at Corelation c
0.02 12.22 12.06 0.98690671031 16
0.03 11.83 12.09 1.02197802198
14
0.04 11.44 12.12 1.05944055944
0.05 11.05 12.15 1.09954751131 12
0.06 10.66 12.18 1.1425891182 10
0.07 10.27 12.21 1.18889970789

Return
0.08 9.88 12.24 1.23886639676 8

0.09 9.49 12.27 1.29293993678 6

0.1 9.1 12.3 1.35164835165
4
0.11 8.71 12.33 1.41561423651
0.12 8.32 12.36 1.48557692308 2
0.13 7.93 12.39 1.56242118537
0
0.14 7.54 12.42 1.64721485411 -1.00 4.00 9.00 14.00
0.15 7.15 12.45 1.74125874126 Risk
0.16 6.76 12.48 1.84615384615
0.17 6.37 12.51 1.96389324961
0.18 5.98 12.54 2.09698996656
0.19 5.59 12.57 2.24865831843
0.2 5.2 12.6 2.42307692308
0.21 4.81 12.63 2.62577962578
0.22 4.42 12.66 2.86425339367
0.23 4.03 12.69 3.14888337469
0.24 3.64 12.72 3.49450549451
0.25 3.25 12.75 3.92307692308
0.26 2.86 12.78 4.46853146853
0.27 2.47 12.81 5.18623481781
0.28 2.08 12.84 6.17307692308
0.29 1.69 12.87 7.61538461538
0.3 1.3 12.9 9.92307692308
0.31 0.91 12.93 14.2087912088
0.32 0.52 12.96 24.9230769231
0.33 0.13 12.99 99.923076923
0.34 0.26 13.02 50.0769230769
0.35 0.65 13.05 20.0769230769
0.36 1.04 13.08 12.5769230769
0.37 1.43 13.11 9.16783216783
0.38 1.82 13.14 7.21978021978
0.39 2.21 13.17 5.9592760181
0.4 2.6 13.2 5.07692307692
0.41 2.99 13.23 4.42474916388
0.42 3.38 13.26 3.92307692308
0.43 3.77 13.29 3.52519893899
0.44 4.16 13.32 3.20192307692
 0.45 4.55 13.35 2.93406593407
0.46 4.94 13.38 2.70850202429
0.47 5.33 13.41 2.51594746717
0.48 5.72 13.44 2.34965034965
0.49 6.11 13.47 2.20458265139
0.5 6.5 13.5 2.07692307692
0.51 6.89 13.53 1.96371552975
0.52 7.28 13.56 1.86263736264
0.53 7.67 13.59 1.77183833116
0.54 8.06 13.62 1.68982630273
0.55 8.45 13.65 1.61538461538
0.56 8.84 13.68 1.54751131222
0.57 9.23 13.71 1.48537378115
0.58 9.62 13.74 1.42827442827
0.59 10.01 13.77 1.37562437562
0.6 10.4 13.8 1.32692307692
0.61 10.79 13.83 1.28174235403
0.62 11.18 13.86 1.2397137746
0.63 11.57 13.89 1.20051858254
0.64 11.96 13.92 1.16387959866
0.65 12.35 13.95 1.12955465587
0.66 12.74 13.98 1.09733124019
0.67 13.13 14.01 1.06702208682
0.68 13.52 14.04 1.03846153846
0.69 13.91 14.07 1.01150251618
0.7 14.3 14.1 0.98601398601
0.71 14.69 14.13 0.96187882914
0.72 15.08 14.16 0.93899204244
0.73 15.47 14.19 0.91725921138
0.74 15.86 14.22 0.89659520807
0.75 16.25 14.25 0.87692307692
0.760000000000001 16.64 14.28 0.85817307692
0.770000000000001 17.03 14.31 0.84028185555
0.780000000000001 17.42 14.34 0.82319173364
0.790000000000001 17.81 14.37 0.80685008422
0.800000000000001 18.2 14.4 0.79120879121
0.810000000000001 18.59 14.43 0.77622377622
0.820000000000001 18.98 14.46 0.76185458377
0.830000000000001 19.37 14.49 0.74806401652
0.840000000000001 19.76 14.52 0.73481781377
0.850000000000001 20.15 14.55 0.72208436725
0.860000000000001 20.54 14.58 0.70983446933
0.870000000000001 20.93 14.61 0.69804108935
0.880000000000001 21.32 14.64 0.68667917448
0.890000000000001 21.71 14.67 0.67572547213
0.900000000000001 22.1 14.7 0.66515837104
0.910000000000001 22.49 14.73 0.654957759
0.920000000000001 22.88 14.76 0.6451048951
0.930000000000001 23.27 14.79 0.6355822948
0.940000000000001 23.66 14.82 0.62637362637
0.950000000000001 24.05 14.85 0.61746361746
0.960000000000001 24.44 14.88 0.60883797054
0.970000000000001 24.83 14.91 0.60048328635
0.980000000000001 25.22 14.94 0.59238699445
0.990000000000001 25.61 14.97 0.58453729012
1 26 15 0.57692307692
Portfoilio at Corelation coefficient -1

4.00 9.00 14.00 19.00 24.00 29.00

Risk
 weightage of stock 1
PARTICULAR Stock 1 Stock 2 1
AVERAGE 12 15 0.99
STANDARD DEVIATION 13 26 0.98
CORELATION 0.06 0.97
0.96
MINIMUM RISK 11.90 0.95
MAXIMUM RETURN 15 0.94
MAXIMUM SHARPE RATIO 1.061 0.93
0.92
0.91
0.9
0.89
0.88
0.87
0.86
0.85
0.84
0.83
0.82
0.81
0.8
0.79
0.78
0.77
0.76
0.75
0.74
0.73
0.72
0.71
0.7
0.69
0.68
0.67
0.66
0.65
0.64
0.63
0.62
0.61
0.6
0.59
0.58
0.57
0.56
 0.55
0.54
0.53
0.52
0.51
0.5
0.49
0.48
0.47
0.46
0.45
0.44
0.43
0.42
0.41
0.399999999999999
0.389999999999999
0.379999999999999
0.369999999999999
0.359999999999999
0.349999999999999
0.339999999999999
0.329999999999999
0.319999999999999
0.309999999999999
0.299999999999999
0.289999999999999
0.279999999999999
0.269999999999999
0.259999999999999
0.249999999999999
0.239999999999999
0.229999999999999
0.219999999999999
0.209999999999999
0.199999999999999
0.189999999999999
0.179999999999999
0.169999999999999
0.159999999999999
0.149999999999999
0.139999999999999
0.129999999999999
0.119999999999999
0.109999999999999
0.0999999999999992
0.0899999999999993
0.0799999999999993
0.0699999999999993
0.0599999999999993
0.0499999999999993
0.0399999999999993
0.0299999999999993
0.0199999999999992
0.0099999999999992
0
weightage of stock 2 Risk(sd) Return SHARPE RATIO
0
Portfoilio at Corelation coeffi
0.01 12.88821 12.03 0.93341098956
0.02 12.78174 12.06 0.94353322488 16
0.03 12.68073 12.09 0.95341549035
15
0.04 12.58529 12.12 0.96302912209
0.05 12.49556 12.15 0.97234512709 14
0.06 12.41167 12.18 0.9813344008
13
0.07 12.33373 12.21 0.98996796432

RETURN
0.08 12.26186 12.24 0.99821721848 12
0.09 12.19616 12.27 1.00605421161
11
0.1 12.13674 12.3 1.01345191661
0.11 12.08368 12.33 1.02038451283 10
0.12 12.03707 12.36 1.02682766739
9
0.13 11.99699 12.39 1.03275881023
0.14 11.9635 12.42 1.03815739701 8
0.15 11.93666 12.45 1.04300515395 10 12 14 16 18 20

0.16 11.91651 12.48 1.04728629881 RISK

0.17 11.90309 12.51 1.05098773254
0.18 11.89641 12.54 1.05409919709
0.19 11.8965 12.57 1.05661339508
0.2 11.90334 12.6 1.05852606865
0.21 11.91694 12.63 1.05983603543
0.22 11.93726 12.66 1.060545181
0.23 11.96427 12.69 1.06065840826
0.24 11.99792 12.72 1.06018354544
0.25 12.03817 12.75 1.05913121558
0.26 12.08494 12.78 1.05751467097
0.27 12.13816 12.81 1.05534959736
0.28 12.19774 12.84 1.0526538928 THIS COMBINATION OF STOCKS WILL GIVE (STOCK 1 ,
0.29 12.2636 12.87 1.04944742686
0.3 12.33562 12.9 1.04575178566
0.31 12.41371 12.93 1.04159000868 THIS COMBINATION OF STOCKS WILL GIVE MAXIMUM
0.32 12.49775 12.96 1.03698632253
0.33 12.58763 12.99 1.03196587703
0.34 12.6832 13.02 1.02655448797
0.35 12.78436 13.05 1.02077839074
0.36 12.89097 13.08 1.01466400805
0.37 13.00289 13.11 1.00823773452
0.38 13.11998 13.14 1.00152574009
0.39 13.24212 13.17 0.99455379346
0.4 13.36916 13.2 0.98734710663
0.41 13.50096 13.23 0.97993020027
0.42 13.63739 13.26 0.97232679009
0.43 13.77831 13.29 0.96455969318
0.44 13.92358 13.32 0.95665075351
 0.45 14.07306 13.35 0.94862078527
0.46 14.22663 13.38 0.9404895327
0.47 14.38416 13.41 0.93227564477
0.48 14.54551 13.44 0.92399666322
0.49 14.71056 13.47 0.91566902233
0.5 14.87918 13.5 0.90730805884
0.51 15.05126 13.53 0.8989280306
0.52 15.22668 13.56 0.89054214239
0.53 15.40532 13.59 0.88216257773
0.54 15.58708 13.62 0.87380053536
0.55 15.77185 13.65 0.86546626946
0.56 15.95951 13.68 0.85716913241
0.57 16.14998 13.71 0.84891761944
0.58 16.34315 13.74 0.84071941431
0.59 16.53892 13.77 0.83258143542
0.6 16.73722 13.8 0.82450988181
0.61 16.93794 13.83 0.81651027856
0.62 17.141 13.86 0.80858752131
0.63 17.34633 13.89 0.80074591947
0.64 17.55383 13.92 0.79298923801
0.65 17.76344 13.95 0.78532073762
0.66 17.97508 13.98 0.77774321304
0.67 18.18869 14.01 0.77025902957
0.68 18.40418 14.04 0.7628701577
0.69 18.6215 14.07 0.75557820577
0.7 18.84058 14.1 0.74838445074
0.71 19.06137 14.13 0.74128986705
0.72 19.2838 14.16 0.73429515366
0.73 19.50782 14.19 0.72740075924
0.74 19.73337 14.22 0.72060690567
0.75 19.9604 14.25 0.71391360989
0.760000000000001 20.18886 14.28 0.70732070411
0.770000000000001 20.41871 14.31 0.70082785455
0.780000000000001 20.64989 14.34 0.69443457873
0.790000000000001 20.88237 14.37 0.68814026148
0.800000000000001 21.1161 14.4 0.68194416957
0.810000000000001 21.35103 14.43 0.67584546525
0.820000000000001 21.58714 14.46 0.66984321864
0.830000000000001 21.82438 14.49 0.66393641907
0.840000000000001 22.06271 14.52 0.65812398549
0.850000000000001 22.30211 14.55 0.65240477597
0.860000000000001 22.54252 14.58 0.64677759632
0.870000000000001 22.78394 14.61 0.64124120802
0.880000000000001 23.02631 14.64 0.63579433538
0.890000000000001 23.26962 14.67 0.63043567203
0.900000000000001 23.51383 14.7 0.62516388688
0.910000000000001 23.75892 14.73 0.61997762939
0.920000000000001 24.00486 14.76 0.61487553446
0.930000000000001 24.25162 14.79 0.60985622677
0.940000000000001 24.49918 14.82 0.60491832469
0.950000000000001 24.74751 14.85 0.60006044378
0.960000000000001 24.99659 14.88 0.59528119999
0.970000000000001 25.2464 14.91 0.59057921243
0.980000000000001 25.49692 14.94 0.58595310593
0.990000000000001 25.74813 14.97 0.58140151321
1 26 15 0.57692307692
o at Corelation coefficient +0.06

16 18 20 22 24 26 28
RISK

CKS WILL GIVE (STOCK 1 , THAT IS 82 % & STOCK 2 IS 18% ) WILL GIVE MINIMUM RISK

CKS WILL GIVE MAXIMUM RETURN (STOCK 1 I.E 0% , & STOCK 2 , IS 100 % )
 weightage of stock 1 weightage of stock 2
PARTICULAR Stock 1 Stock 2 1 0
AVERAGE 12 15 0.99 0.01
STANDARD DEVIATION 13 26 0.98 0.02
CORELATION 0 0.97 0.03
0.96 0.04
MINIMUM RISK 11.62755 0.95 0.05
MAXIMUM RETURN 15 0.94 0.06
MAXIMUM SHARPE RATIO 1.088524 0.93 0.07
0.92 0.08
0.91 0.09
0.9 0.1
0.89 0.11
0.88 0.12
0.87 0.13
0.86 0.14
0.85 0.15
0.84 0.16
0.83 0.17
0.82 0.18
0.81 0.19
0.8 0.2
0.79 0.21
0.78 0.22
0.77 0.23
0.76 0.24
0.75 0.25
0.74 0.26
0.73 0.27
0.72 0.28
0.71 0.29
0.7 0.3
0.69 0.31
0.68 0.32
0.67 0.33
0.66 0.34
0.65 0.35
0.64 0.36
0.63 0.37
0.62 0.38
0.61 0.39
0.6 0.4
0.59 0.41
0.58 0.42
0.57 0.43
0.56 0.44
0.55 0.45
 0.54 0.46
0.53 0.47
0.52 0.48
0.51 0.49
0.5 0.5
0.49 0.51
0.48 0.52
0.47 0.53
0.46 0.54
0.45 0.55
0.44 0.56
0.43 0.57
0.42 0.58
0.41 0.59
0.399999999999999 0.6
0.389999999999999 0.61
0.379999999999999 0.62
0.369999999999999 0.63
0.359999999999999 0.64
0.349999999999999 0.65
0.339999999999999 0.66
0.329999999999999 0.67
0.319999999999999 0.68
0.309999999999999 0.69
0.299999999999999 0.7
0.289999999999999 0.71
0.279999999999999 0.72
0.269999999999999 0.73
0.259999999999999 0.74
0.249999999999999 0.75
0.239999999999999 0.760000000000001
0.229999999999999 0.770000000000001
0.219999999999999 0.780000000000001
0.209999999999999 0.790000000000001
0.199999999999999 0.800000000000001
0.189999999999999 0.810000000000001
0.179999999999999 0.820000000000001
0.169999999999999 0.830000000000001
0.159999999999999 0.840000000000001
0.149999999999999 0.850000000000001
0.139999999999999 0.860000000000001
0.129999999999999 0.870000000000001
0.119999999999999 0.880000000000001
0.109999999999999 0.890000000000001
0.0999999999999992 0.900000000000001
0.0899999999999993 0.910000000000001
0.0799999999999993 0.920000000000001
0.0699999999999993 0.930000000000001
0.0599999999999993 0.940000000000001
0.0499999999999993 0.950000000000001
0.0399999999999993 0.960000000000001
0.0299999999999993 0.970000000000001
0.0199999999999992 0.980000000000001
0.0099999999999992 0.990000000000001
0 1
Risk(sd) Return SHARPE RATIO

12.87263 12.03 0.93454125094 Portfoilio at Corelation coefficient 0

12.75061 12.06 0.9458372622 16
12.6341 12.09 0.95693396039
12.52326 12.12 0.96779924599 14

12.41823 12.15 0.97840010146 12

12.31917 12.18 0.98870280815 10
12.22622 12.21 0.99867319434

RETURN
8
12.13952 12.24 1.00827691296
12.05921 12.27 1.01747974645 6
11.98541 12.3 1.02624793507 4
11.91824 12.33 1.03454852392
2
11.85782 12.36 1.04234972295
11.80426 12.39 1.04962127294 0
5 10 15 20 25 30
11.75764 12.42 1.05633481029
RISK
11.71804 12.45 1.062464222
11.68555 12.48 1.06798598278
11.66021 12.51 1.07287946557
11.64208 12.54 1.0771272175
11.63119 12.57 1.08071519376
11.62755 12.6 1.08363294294
11.63119 12.63 1.08587373884
11.64208 12.66 1.08743465499
11.66021 12.69 1.08831658018
11.68555 12.72 1.08852417475
11.71804 12.75 1.08806576952
11.75764 12.78 1.08695321059
11.80426 12.81 1.08520165508
11.85782 12.84 1.08282932384
11.91824 12.87 1.0798572184
11.98541 12.9 1.07630880995
12.05921 12.93 1.07220970836
12.13952 12.96 1.0675873196
12.22622 12.99 1.06247049914
12.31917 13.02 1.05688920871
12.41823 13.05 1.05087418305
12.52326 13.08 1.04445661201
12.6341 13.11 1.03766784291
12.75061 13.14 1.03053910657
12.87263 13.17 1.02310126973
13 13.2 1.01538461538
13.13257 13.23 1.00741865188
13.27019 13.26 0.99923195073
13.4127 13.29 0.99085201238
13.55994 13.32 0.98230515879
13.71177 13.35 0.97361645122
13.86802 13.38 0.96480963106
14.02856 13.41 0.95590708188
14.19324 13.44 0.94692981012
14.36191 13.47 0.93789744235
14.53444 13.5 0.92882823681
14.71069 13.53 0.9197391069
14.89053 13.56 0.91064565487
15.07383 13.59 0.90156221347
15.26047 13.62 0.89250189415
15.45032 13.65 0.88347664001
15.64327 13.68 0.8744972823
15.83921 13.71 0.86557359908
16.03802 13.74 0.85671437523
16.2396 13.77 0.84792746273
16.44384 13.8 0.83921984058
16.65066 13.83 0.83059767373
16.85995 13.86 0.82206637051
17.07163 13.89 0.81363063819
17.2856 13.92 0.80529453647
17.50179 13.95 0.79706152848
17.7201 13.98 0.78893452935
17.94047 14.01 0.78091595218
18.16282 14.04 0.77300775132
18.38707 14.07 0.76521146311
18.61317 14.1 0.75752824387
18.84103 14.13 0.74995890553
19.07061 14.16 0.7425039486
19.30183 14.19 0.73516359287
19.53464 14.22 0.72793780586
19.76898 14.25 0.72082632895
20.0048 14.28 0.71382870166
20.24205 14.31 0.70694428382
20.48067 14.34 0.70017227598
20.72063 14.37 0.69351173816
20.96187 14.4 0.68696160696
21.20435 14.43 0.68052071112
21.44803 14.46 0.67418778586
21.69287 14.49 0.66796148576
21.93882 14.52 0.66184039661
22.18586 14.55 0.65582304606
22.43395 14.58 0.64990791328
22.68304 14.61 0.64409343775
22.93312 14.64 0.63837802714
23.18414 14.67 0.6327600644
23.43608 14.7 0.62723791419
23.68891 14.73 0.62180992859
23.9426 14.76 0.61647445223
24.19712 14.79 0.61122982689
24.45244 14.82 0.60607439558
24.70855 14.85 0.60100650617
24.96542 14.88 0.59602451459
25.22302 14.91 0.59112678767
25.48133 14.94 0.58631170564
25.74033 14.97 0.58157766431
26 15 0.57692307692
ent 0

25 30
 Stock Summary
Stock 1 Stock 2 Average Return of Portfolio
Average 12 15 Mean
Standard Deviation 13 26 w
Combined Standard Deviation

Interpretation and Overview

Q1. What combination of stock weights in the portfolio will give minimum risk?
Weightage Combination of Stocks
Correlation Coefficient W1 W2 Minimum Risk Return
-1 0.67 0.33 0.13 12.99
0 0.80 0.20 11.63 12.60
1 0.99 0.01 13.13 12.03
0.06 0.82 0.18 11.89 15.00
As correlation becomes more negative, diversification has a more pronounced impact on reducing risk,
portfolios with negatively correlated stocks optimal for minimizing portfolio risk.

Q2. What combination of stock weights in the portfolio will give maximun return?
Weightage Combination of Stocks
Correlation Coefficient W1 W2 Risk Maximum Return
-1 0.00 1.00 26.00 15.00
0 0.00 1.00 26.00 15.00
1 0.00 1.00 26.00 15.00
0.06 0.00 1.00 26.00 15.00
The portfolio’s maximum return is solely determined by investing in the higher-returning asset (Stock 2
independent of correlation coefficients.

Q3. What combination of stock weights will have maximum sharpe ratio?
Weightage Combination of Stocks
Correlation Coefficient W1 W2 Risk Return
-1 0.67 0.33 0.13 12.99
0 0.76 0.24 11.69 12.72
1 0.99 0.01 13.13 12.03
0.06
The Sharpe 0.67 to
ratio is highly sensitive 0.33 4.06 correlations substantially
correlation. Negative 12.99
enhance the portfol
adjusted return by lowering risk, leading to significantly higher Sharpe ratios compared to portfolios with
positive correlations.
 Formulae
= ( w1 * mean1 ) + ( w2 * mean2 )
= average return of stock
= weightage of stock
= sqrt of [(w1^2 * sd1^2) + (w2^2 * sd2^2) + (2*w1*w2*sd1*sd2 * SCC12)]

ill give minimum risk?

f Stocks
Sharpe Ratio
99.92
1.08
0.92
1.06
d impact on reducing risk, making
izing portfolio risk.

l give maximun return?

f Stocks
Sharpe Ratio
0.58
0.58
0.58
0.58
er-returning asset (Stock 2) and is

mum sharpe ratio?

f Stocks
Maximum Sharpe Ratio
99.92
1.09
0.92
3.20
ntially enhance the portfolio’s risk-
ompared to portfolios with zero or