Session 11 Portfolio Optimization
Session 11 Portfolio Optimization
Session 11 Portfolio Optimization
Sharpe Ratio: The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk.
Greater the Value of Sharpe Ratio, more attractive risk adjusted returns
Variance-CoVariance
Variance: Statistical measure of how much a set of observations differ from each other
Dispersion of a set of data points around their mean value
High Variance: Greater variability in the data therefore is indicative of risk
Sum of Weights 1
Portfolio Expected Return 0.0029
TCS Axis Bank Britannia Portfolio SD 0.069183
0.25 0.25 0.25 Expected Sharpe Ratio 0.034695
0.0030359 0.007131 0.003159
0.0038616 0.003343 0.000823 Optimal Weights
0.0033434 0.015576 0.004657 Sec 1 1
0.0008231 0.004657 0.004755 Sec 2 0
Sec 3 0
0.0006915 0.001919 0.000837 Sec 4 0
Returns
Weights A B C D
A 0.32 0.001 0.002 0.008 0.1
B 0.15
C 0.12
D 0.41
=MMULT(B6:B9,E6:H6)