(Assuming: It is total return series)

SN Date Wipro Kotak Bank TechMahindr

1 9/1/2014 5.47% -2.18% 5.32%
2 10/1/2014 -5.52% 10.42% 0.97%
3 11/1/2014 3.91% 7.43% 5.18%
4 12/1/2014 -5.41% 5.07% -1.90%
5 1/1/2015 9.48% 4.57% 11.06%
6 2/1/2015 8.73% 5.80% -0.46%
7 3/1/2015 -4.77% -6.03% -78.03%
8 4/1/2015 -14.22% 1.58% -0.98%
9 5/1/2015 4.28% 4.97% -11.05%
10 6/1/2015 -3.11% -0.89% -13.75%
11 7/1/2015 4.59% -49.87% 10.75%
12 8/1/2015 0.40% -6.43% -2.64%
13 9/1/2015 4.50% -0.32% 8.23%
14 10/1/2015 -3.99% 6.13% -3.43%
15 11/1/2015 -0.10% 0.52% -1.02%
16 12/1/2015 -2.25% 3.81% -2.21%
17 1/1/2016 0.25% -5.03% -3.84%
18 2/1/2016 -7.36% -7.64% -17.25%
19 3/1/2016 8.36% 8.05% 14.55%
20 4/1/2016 -1.71% 5.08% 2.47%
21 5/1/2016 -1.35% 4.35% 10.51%
22 6/1/2016 2.22% 2.20% -5.94%
23 7/1/2016 -2.34% -0.16% -3.89%
24 8/1/2016 -10.05% 5.89% -3.70%
25 9/1/2016 -2.62% -3.46% -10.41%
26 10/1/2016 -2.65% 5.35% 4.67%
27 11/1/2016 0.02% -7.83% 10.44%
28 12/1/2016 1.91% -4.91% 0.68%
29 1/1/2017 -3.57% 7.44% -7.56%
30 2/1/2017 6.87% 3.68% 10.65%
31 3/1/2017 5.50% 8.88% -8.05%
32 4/1/2017 -4.12% 3.38% -9.28%
33 5/1/2017 8.71% 6.98% -6.49%
34 6/1/2017 -51.83% -0.94% -2.19%
35 7/1/2017 11.69% 6.73% 1.02%
36 8/1/2017 3.48% -4.30% 11.11%
37 9/1/2017 -6.05% 2.66% 6.82%
38 10/1/2017 4.64% 2.26% 5.27%
39 11/1/2017 -0.75% -2.38% 1.65%
40 12/1/2017 7.40% 0.89% 2.97%
41 1/1/2018 -2.79% 9.97% 21.24%
42 2/1/2018 -3.89% -1.89% 0.28%
43 3/1/2018 -3.88% -3.69% 4.20%
44 4/1/2018 -0.96% 15.43% 5.21%
45 5/1/2018 -6.04% 10.46% 6.02%
46 6/1/2018 -0.19% 0.36% -7.80%
47 7/1/2018 5.89% -2.42% 3.63%
48 8/1/2018 8.98% -1.83% 12.39%
49 9/1/2018 7.48% -11.04% -2.57%
50 10/1/2018 2.25% -2.23% -0.11%
51 11/1/2018 -2.01% 10.23% -5.19%
52 12/1/2018 1.66% 1.82% 2.21%
53 1/1/2019 11.82% -0.12% 1.63%
54 2/1/2019 0.19% -3.26% 13.53%
55 3/1/2019 -31.15% 10.17% -6.71%
56 4/1/2019 17.13% 3.84% 7.54%
57 5/1/2019 -3.97% 9.56% -8.90%
58 6/1/2019 -2.15% -2.84% -7.12%
59 7/1/2019 -5.37% 2.88% -9.87%
60 8/1/2019 -4.15% -5.75% 9.28%
61 9/1/2019 -3.99% 1.22% 3.03%
Asian Paints Reliance Stock Expected Return
0.84% -5.39% Wipro -9.14%
4.25% 5.70% KotakBank 12.32%
13.34% -0.84% TechMahindra -5.47%
1.08% -10.06% Asian Paints 20.16%
14.06% 2.72% Reliance 11.16%
-4.56% -5.36%
-1.17% -4.80% Riskfree rate 5%
-5.67% 4.63%
3.16% 1.66%
-4.14% 14.06% Variance-Covariance Matrix
16.83% 0.12% Wipro
-3.73% -14.46% Wipro 0.1118362833
-0.88% 0.43% KotakBank -0.0081588765
-1.47% 10.15% TechMahindra 0.0025043554
1.42% 2.13% Asian Paints 0.0077282917
5.16% 4.61% Reliance 0.0110200846
-1.70% 2.22%
-2.34% -6.62%
2.37% 8.14% a) when short selling is not allowed
-0.07% -6.00% weight matrix
13.36% -2.40% Wipro 0
1.99% 1.09% KotakBank 0.1896488998
11.06% 4.75% TechMahindra 0
4.00% 4.19% Asian Paints 0.8103511002
0.25% 2.28% Reliance 0
-7.46% -2.86% sum 1
-9.81% -5.56%
-8.09% 8.80% Return Matrix
8.91% -3.40% Wipro -0.0913979625
5.53% 18.67% KotakBank 0.1231868852
4.56% 6.54% TechMahindra -0.054747541
4.52% 5.73% Asian Paints 0.2015803279
2.95% -3.89% Reliance 0.1116
-4.20% 2.96%
5.01% 16.92% Equally weighted matrix
0.75% -1.26% Wipro 0.2
-4.37% -50.92% KotakBank 0.2
5.70% 20.28% TechMahindra 0.2
-2.79% -1.93% Asian Paints 0.2
0.88% -0.17% Reliance 0.2
-2.32% 4.35% sum 1
-1.08% -0.91%
0.17% -7.31%
7.09% 9.10%
8.79% -4.34%
-3.18% 5.61%
14.57% 21.88%
-5.33% 4.65%
-5.62% 1.39%
-5.16% -15.64%
9.59% 10.06%
2.14% -4.04%
2.84% 9.46%
-0.54% 0.36%
6.18% 10.68%
-1.94% 2.11%
-3.85% -4.46%
-3.49% -5.85%
12.05% -6.87%
6.18% 7.06%
-4.15% -3.42%
 Volatility
33.72%
29.86%
44.07%
21.29%
35.35%

KotakBank TechMahindra Asian Paints Reliance

-0.008158876 0.0025043554 0.0077282917 0.011020085
0.087717871 0.0025394477 0.0011284813 0.011327599
0.0025394477 0.1910110865 0.008746244 0.008600191
0.0011284813 0.008746244 0.0445913331 0.022052984
0.0113275987 0.0086001915 0.0220529843 0.122886771

not allowed

Portfolio Optimization using Return and Sigma Matrices

Portfolio Return 18.67%
Portfolio Risk 18.11%
Sharpe Ratio 0.75506
(Assuming Risk-free rate of 5%)

Portfolio Optimization using Return and Sigma Matrices

Portfolio Return 5.80%
Portfolio Risk 16.65%
Sharpe Ratio 0.04832
 b) when short-selling is allowed
weighted matrix
Wipro -0.28825099 Portfolio Optimization using Return
KotakBank 0.346770877
TechMahindra-0.13575423
Asian Paints 1
Reliance 0.077234341 (Assuming Risk-free rate of 5%)
sum 1

(Assuming Risk-free rate of 5%)

rtfolio Optimization using Return and Sigma Matrices
Portfolio Return 28.67%
Portfolio Risk 25.99%
Sharpe Ratio 0.91058
ssuming Risk-free rate of 5%)