Portfolio Construction
Autor: Kamrulislam16 • February 6, 2014 • Essay • 543 Words (3 Pages) • 892 Views
Efficient Portfolio:
Efficient Portfolio is a portfolio offering higher return in a given risk level or lower risk at a given Return level. A Graph is Shown Below where we can see a curve. The point Minimum Variance Portfolio is a portfolio with lowest risk. Above part of Minimum Variance Portfolio is Called Efficient Frontier. Rf is the risk free rate. A line starting from the origin at risk free rate tends upward by touching the efficient frontier is known as CML (Capital market line). The point of tangency is known as optimum or efficient portfolio.
The objective of this report is to find the efficient portfolio with a portfolio of 10 securities which are of A category listed in DSE.
Industry Company Category
Bank Islami Bank A
Tannery Apex Adelcihi Footwear A
Financial Institution IDLC A
Lanka Bangla Finance A
Textile Mithun Knitting A
Cement Heidelberg Cement A
Engineering Aftab Auto A
Cement Megha Cement A
Fuel & Power Jamuna Oil A
Meghan petroleum A
Selection Criteria:
1. Must be listed in DSE before January, 2008
2. Must be “A” category stock
3. Must be the industry leader or closest competitor to the industry leader
4. The asset classes are chosen with diversification so that the unsystematic risk can be diversified away.
5. We have chosen companies from each Industry based on Market Capitalization
Efficient Portfolio:
Efficient Portfolio is a portfolio offering higher return in a given risk level or lower risk at a given Return level. A Graph is Shown Below where we can see a curve. The point Minimum Variance Portfolio is a portfolio with lowest risk. Above part of Minimum Variance Portfolio is Called Efficient Frontier. Rf is the risk free rate. A line starting from the origin at risk free rate tends upward by touching the efficient frontier is known as CML (Capital market line). The point of tangency is known as optimum or efficient portfolio.
The objective of this report is to find the efficient portfolio with a portfolio of 10 securities which are of A category listed in DSE.
...