Portfolio Management

Assignment

Submitted to:
Dr. Mukesh Kumar Mehlawat

Submitted by:
Harshini
Examination Roll no.: 21291761017

Master of Operational Research

South Campus
Semester 4
Session 2021-2023
Table of Contents
INTRODUCTION TO PORTFOLIO MANAGEMENT .............................................. 3
Risk Management ........................................................................................... 3
Monthly Stock Price Data ............................................................................ 4
Measures of Risk ............................................................................................... 6
Semi Variance ................................................................................................. 6
Mathematical Model ...................................................................................... 6
LINGO Code .................................................................................................... 7
Result .............................................................................................................. 9
Absolute Deviation .......................................................................................... 10
Mathematical Model .................................................................................... 10
LINGO Code .................................................................................................. 11
Result ............................................................................................................ 14
Value at Risk (VaR) .......................................................................................... 15
Mathematical Model .................................................................................... 15
LINGO Code .................................................................................................. 16
Result ............................................................................................................ 16
Conditional Value at Risk (CVaR) .................................................................... 17
Mathematical Model .................................................................................... 17
LINGO Code .................................................................................................. 18
Result ............................................................................................................ 18
CONCLUSION ................................................................................................... 19
INTRODUCTION TO PORTFOLIO MANAGEMENT
Portfolio management is the art and science of selecting and overseeing a group of investments
that meet the long-term financial objectives and risk tolerance of a client, a company, or an
institution. Investment portfolio management involves building and overseeing a selection of
assets such as stocks, bonds, and cash that meet the long-term financial goals and risk tolerance of
an investor.
Some individuals do their own investment portfolio management. That requires a basic
understanding of the key elements of portfolio building and maintenance that make for success,
including asset allocation, diversification, and rebalancing.
The objective of portfolio management is to create and maintain a personalized plan for investing
over the long term in order to meet an individual's key financial goals. This means selecting a mix
of investments that matches the person's responsibilities, objectives, and appetite for risk.
Further, it means re-evaluating the actual performance of the portfolio over time to make sure it is
on track and to revise it as needed.
The only certainty in investing is that it is impossible to consistently predict winners and losers.
The prudent approach is to create a basket of investments that provides broad exposure within an
asset class.
Diversification involves spreading the risk and reward of individual securities within an asset class,
or between asset classes. Because it is difficult to know which subset of an asset class or sector is
likely to outperform another, diversification seeks to capture the returns of all of the sectors over
time while reducing volatility at any given time.
Real diversification is made across various classes of securities, sectors of the economy, and
geographical regions.

Risk Management
Risk is the probability that actual investment returns are less than those that are projected.
Portfolio risk management is the collection and analysis of risks across individual portfolio
investments, such as stocks, bonds, money market funds, and cash.
Monthly Stock Price Data

The objective of this report is to study the volatility and suitability of the 10 NSE stocks ranging
from Automobile sector, IT and Consulting, Pharmaceuticals & Personal Care, Infrastructure,
Electronic Goods and Appliances and Communications Sector.
The prices used in this report for analysis is the LTP (Last Traded Price) registered on the NSE,
which were gathered from 1st March – 31st March.
1. TECHM – Tech Mahindra Ltd.
2. PGHL – Procter & Gamble Health Ltd.
3. ADANIGREEN – Adani Green Ltd.
4. TATACOMM – Tata Communications Ltd.
5. HINDUNILVR – Hindustan Unilever Ltd.
6. HAVELLS – Havells India Ltd.
7. DIXON – DIXON Technologies (India) Ltd.
8. HGINFRA – HG Infra Engineering Ltd.
9. MARUTI – Maruti Suzuki India Ltd.
10. CIPLA – Cipla Pharmaceutical Ltd.

We will use this data to calculate the different measures of risk for the portfolio and determine
the optimal asset allocation to maximize returns while minimizing risk. Our analysis will help
investors make informed investment decisions and manage their portfolio risks effectively.

Price Data
Date TECHM PGHL ADANIGREEN TATACOMM HINDUNILVR HAVELLS DIXON HGINFRA MARUTI CIPLA
01-Mar-23 1,126.50 4,913.95 509.55 1,209.85 2,464.00 1,216.00 2,923.20 729 8,754.95 899.9
02-Mar-23 1,108.50 5,034.80 535 1,202.45 2,459.95 1,195.75 2,961.00 718.05 8,536.00 887
03-Mar-23 1,086.65 4,966.00 561.75 1,197.00 2,470.50 1,207.35 2,988.90 736 8,610.00 878.75
06-Mar-23 1,088.25 5,070.05 589.8 1,210.40 2,486.00 1,224.35 2,980.60 765 8,640.00 880
08-Mar-23 1,078.90 5,077.95 619.25 1,214.50 2,480.00 1,220.00 2,919.00 771.5 8,694.00 877
09-Mar-23 1,059.90 5,106.40 650.2 1,218.00 2,460.80 1,209.00 2,829.00 785 8,554.00 882.5
10-Mar-23 1,061.45 5,111.15 682.7 1,202.00 2,461.65 1,218.55 2,895.00 790 8,600.00 881.6
13-Mar-23 1,134.00 5,090.30 716.8 1,177.15 2,454.90 1,202.00 2,906.00 761.1 8,528.00 877.35
14-Mar-23 1,116.10 4,925.00 712 1,177.40 2,444.00 1,178.00 2,841.00 784.45 8,515.00 873
15-Mar-23 1,115.85 4,840.00 741.4 1,178.50 2,406.95 1,186.55 2,827.95 800 8,449.65 879

16-Mar-23 1,116.50 4,850.00 777.4 1,176.45 2,465.00 1,187.00 2,869.00 789.9 8,455.00 884
17-Mar-23 1,127.00 4,917.00 816.25 1,188.30 2,454.95 1,195.00 2,881.00 775 8,310.00 873
20-Mar-23 1,108.10 4,920.00 845.55 1,179.50 2,508.90 1,178.00 2,920.00 775 8,230.00 867
21-Mar-23 1,096.00 4,810.00 891.05 1,215.00 2,464.00 1,203.00 2,901.00 768.6 8,224.50 863
22-Mar-23 1,096.50 4,940.00 935.6 1,204.00 2,475.05 1,195.00 2,882.10 768.6 8,263.00 865.5
23-Mar-23 1,097.00 4,879.90 982.35 1,221.00 2,488.00 1,191.50 2,900.55 813.65 8,359.00 868.6
24-Mar-23 1,103.00 4,903.00 1,031.45 1,215.45 2,483.00 1,176.00 2,887.00 782.4 8,260.00 878.4
27-Mar-23 1,101.00 4,865.50 977.9 1,215.00 2,490.80 1,165.00 2,800.00 770 8,315.00 889.55
28-Mar-23 1,073.90 4,840.00 935.65 1,213.00 2,476.00 1,144.40 2,820.80 754.05 8,210.00 889.3
29-Mar-23 1,083.00 4,579.00 897.9 1,230.00 2,532.15 1,182.05 2,830.00 774 8,275.00 888.5
31-Mar-23 1,102.80 4,700.00 890 1,246.45 2,560.00 1,190.80 2,860.00 782 8,302.00 900.5
Price Return Data
T µ1t µ2t µ3t µ4t µ5t µ6t µ7t µ8t µ9t µ10t
1 -0.015979 0.024593 0.049946 -0.006116 -0.001644 -0.016653 0.012931 -0.015021 -0.025009 -0.014335
2 -0.019711 -0.013665 0.050000 -0.004532 0.004289 0.009701 0.009422 0.024998 0.008669 -0.009301
3 0.001472 0.020952 0.049933 0.011195 0.006274 0.014080 -0.002777 0.039402 0.003484 0.001422
4 -0.008592 0.001558 0.049932 0.003387 -0.002414 -0.003553 -0.020667 0.008497 0.006250 -0.003409
5 -0.017611 0.005603 0.049980 0.002882 -0.007742 -0.009016 -0.030832 0.017498 -0.016103 0.006271
6 0.001462 0.000930 0.049985 -0.013136 0.000345 0.007899 0.023330 0.006369 0.005378 -0.001020
7 0.068350 -0.004079 0.049949 -0.020674 -0.002742 -0.013582 0.003800 -0.036582 -0.008372 -0.004821
8 -0.015785 -0.032474 -0.006696 0.000212 -0.004440 -0.019967 -0.022368 0.030679 -0.001524 -0.004958
9 -0.000224 -0.017259 0.041292 0.000934 -0.015160 0.007258 -0.004593 0.019823 -0.007675 0.006873
10 0.000583 0.002066 0.048557 -0.001739 0.024118 0.000379 0.014516 -0.012625 0.000633 0.005688
11 0.009404 0.013814 0.049974 0.010073 -0.004077 0.006740 0.004183 -0.018863 -0.017150 -0.012443
12 -0.016770 0.000610 0.035896 -0.007406 0.021976 -0.014226 0.013537 0.000000 -0.009627 -0.006873
13 -0.010920 -0.022358 0.053811 0.030097 -0.017896 0.021222 -0.006507 -0.008258 -0.000668 -0.004614
14 0.000456 0.027027 0.049997 -0.009053 0.004485 -0.006650 -0.006515 0.000000 0.004681 0.002897
15 0.000456 -0.012166 0.049968 0.014120 0.005232 -0.002929 0.006402 0.058613 0.011618 0.003582
16 0.005469 0.004734 0.049982 -0.004545 -0.002010 -0.013009 -0.004672 -0.038407 -0.011844 0.011283
17 -0.001813 -0.007648 -0.051917 -0.000370 0.003141 -0.009354 -0.030135 -0.015849 0.006659 0.012694
18 -0.024614 -0.005241 -0.043205 -0.001646 -0.005942 -0.017682 0.007429 -0.020714 -0.012628 -0.000281
19 0.008474 -0.053926 -0.040346 0.014015 0.022678 0.032899 0.003261 0.026457 0.007917 -0.000900
20 0.018283 0.026425 -0.008798 0.013374 0.010999 0.007402 0.010601 0.010336 0.003263 0.013506

µi -0.000880 -0.002025 0.028912 0.001553 0.001974 -0.000952 -0.000983 0.003818 -0.002602 0.000063

Covariance Matrix
ADANIGR TATACOM HINDUNIL
TECHM PGHL EEN M VR HAVELLS DIXON HGINFRA MARUTI CIPLA
0.0003736
TECHM 16
2.82624E- 0.0003920
PGHL 05 35
ADANIGR 6.77921E- 0.0002811 0.0012652
EEN 05 93 85
TATACO -5.06807E- -5.45624E- -5.0238E- 0.0001250
MM 05 05 05 49
HINDUNIL 1.79595E- 6.23473E- -8.29335E- -1.31178E- 0.0001219
VR 05 07 05 05 47
2.63083E- -8.82537E- 7.16327E- 9.34292E- 2.32639E- 0.0001900
HAVELLS 05 05 06 05 05 69
4.5709E- 4.79694E- 0.0001059 -2.98733E- 6.54041E- 4.20147E- 0.0002173
DIXON 05 05 34 05 05 05 82
- -
0.0001407 0.0001361 1.15544E- 0.0001106 4.14632E- 0.0001246 -3.05036E- 0.0006092
HGINFRA 3 75 05 25 05 44 05 01
1.27653E- -6.24082E- -6.09577E- 2.64496E- 3.81463E- 6.47979E- -4.77818E- 0.0001348 9.98907
MARUTI 05 05 05 05 05 05 06 7 E-05
2.09983E- 1.17287E- -8.30151E- 9.12025E- 8.93361E- 1.4915E- -3.43458E- 8.34296E- 2.43155 5.94825
CIPLA 05 05 05 06 06 06 05 06 E-05 E-05
Measures of Risk
Risk Management involves identifying and analyzing risk in an investment and deciding whether or
not to accept that risk given the expected returns for the investment. Some common
measurements of risk include Semi Variance, Absolute Variance, Value at Risk (VaR) and
Conditional Value at risk (CVaR). These measures are calculated in this report.

Semi Variance
Semi variance is a measurement of data that can be used to estimate the potential downside risk
of an investment portfolio. Semi variance is calculated by measuring the dispersion of all
observations that fall below the mean or target value of a set of data. Semi variance is an average
of the squared deviations of values that are less than the mean.
Semi variance is similar to variance, but it only considers observations that are below the mean.
Semi variance is a useful tool in portfolio or asset analysis because it provides a measure
for downside risk.
𝑛
1
𝑆𝑒𝑚𝑖 𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 = ∑(𝑟𝑖 − 𝑟̅ )2
𝑛
𝑖=1

where 𝑟𝑖 is the return for the 𝑖 𝑡ℎ observation, 𝑟̅ is the average return, and 𝑛 is the total number of
observations.

Mathematical Model
𝑛
1
Minimize SV = ∑ 𝑦𝑖2
T
𝑖=1

Subject to ∶
𝑛

𝑦𝑗 ≥ 𝜇0 − ∑ 𝑢𝑖𝑗 𝑤𝑖
𝑖=1
𝑛

∑ μ𝑖 w𝑖 ≥ u𝑜
𝑖=1
𝑛

∑ 𝑤𝑖 = 1
𝑖=1

wi ≥ 0 ∀i = 1,2,3, ⋯ , n
yj ≥ 0 ∀j = 1,2,3, ⋯ , T

where,
𝑇: Number of periods of time (20 in our case)
μ𝑖𝑗: return of the 𝑖𝑡ℎ asset in the 𝑗𝑡ℎ period
μ𝑖: average return of the 𝑖𝑡ℎ asset
𝑤𝑖: weight of the 𝑖𝑡ℎ asset
μ0: desired minimum return (0.5% in our case)
𝑦𝑗 = 𝜇0 − ∑𝑛𝑖=1 𝑢𝑖𝑗 𝑤𝑖 : deviation of the portfolio from the desired return in the 𝑗𝑡ℎ period
LINGO Code
MIN = (Y1*Y1 + Y2*Y2 + Y3*Y3 + Y4*Y4 + Y5*Y5 + Y6*Y6 + Y7*Y7 + Y8*Y8 + Y9*Y9 + Y10*Y10 +
Y11*Y11 + Y12*Y12 + Y13*Y13 + Y14*Y14 + Y15*Y15 + Y16*Y16 + Y17*Y17 + Y18*Y18 + Y19*Y19
+ Y20*Y20)/Y20 ;
Y1 >= 0.005 - (-0.0159786950732357*w1 + 0.0245932498295669*w2 + 0.0499460308115003*w3 -
0.00611646071827075*w4 - 0.00164366883116891*w5 - 0.0166529605263158*w6 +
0.0129310344827587*w7 - 0.0150205761316873*w8 - 0.0250087093587057*w9 -
0.0143349261029003*w10) ;
Y2 >= 0.005- (-0.0197113216057735*w1 - 0.0136648923492493*w2 + 0.05*w3 -
0.00453241299014516*w4 + 0.00428870505498087*w5 + 0.00970102446163488*w6 +
0.00942249240121584*w7 + 0.0249982591741523*w8 + 0.00866916588566073*w9 -
0.00930101465614431*w10) ;
Y3 >= 0.005 - (0.00147241522109226*w1 + 0.0209524768425292*w2 + 0.0499332443257676*w3 +
0.0111946532999165*w4 + 0.00627403359643797*w5 + 0.0140804240692426*w6 -
0.00277694134966047*w7 + 0.0394021739130435*w8 + 0.00348432055749129*w9 +
0.00142247510668563*w10) ;
Y4 >= 0.005 - (-0.00859177578681361*w1 + 0.00155817003777076*w2 + 0.0499321804001357*w3 +
0.00338730998017177*w4 - 0.00241351568785197*w5 - 0.00355290562339193*w6 -
0.0206669798027243*w7 + 0.00849673202614379*w8 + 0.00625*w9 - 0.00340909090909091*w10) ;
Y5 >= 0.005 - (-0.0176105292427472*w1 + 0.00560265461455899*w2 + 0.0499798142914817*w3 +
0.00288184438040346*w4 - 0.00774193548387089*w5 - 0.00901639344262295*w6 -
0.0308324768756423*w7 + 0.01749837977965*w8 - 0.0161030595813204*w9 +
0.00627137970353478*w10) ;
Y6 >= 0.005 - (0.00146240211340688*w1 + 0.000930205232649225*w2 + 0.0499846201168871*w3
- 0.013136288998358*w4 + 0.000345416124837414*w5 + 0.00789909015715464*w6 +
0.0233297985153765*w7 + 0.00636942675159236*w8 + 0.00537760112228197*w9 -
0.00101983002832859*w10) ;
Y7 >= 0.005 - (0.0683498987234443*w1 - 0.00407931678780694*w2 + 0.0499487329720227*w3 -
0.0206738768718801*w4 - 0.00274206325025897*w5 - 0.0135817159739034*w6 +
0.00379965457685665*w7 - 0.0365822784810126*w8 - 0.00837209302325581*w9 -
0.00482078039927405*w10) ;
Y8 >= 0.005 - (-0.0157848324514992*w1 - 0.0324735280828242*w2 - 0.00669642857142851*w3 +
0.000212377352079174*w4 - 0.00444009939305067*w5 - 0.0199667221297837*w6 -
0.022367515485203*w7 + 0.0306792799894889*w8 - 0.00152439024390244*w9 -
0.00495811249786291*w10) ;
Y9 >= 0.005 - (-0.000223994265746797*w1 - 0.017258883248731*w2 + 0.0412921348314606*w3+
0.000934261933072795*w4 - 0.0151595744680852*w5 + 0.00725806451612899*w6 -
0.00459345300950376*w7 + 0.0198228057874944*w8 - 0.00767469172049329*w9 +
0.00687285223367698*w10) ;
Y10 >= 0.005 - (0.000582515571089386*w1 + 0.00206611570247934*w2 + 0.048556784461829*w3
- 0.00173949936359776*w4 + 0.0241176592783399*w5 + 0.00037925076903632*w6 +
0.0145158153432699*w7 - 0.012625*w8 + 0.000633162320332838*w9 + 0.00568828213879408*w10)
;
Y11 >= 0.005 - (0.00940438871473354*w1 + 0.0138144329896907*w2 + 0.0499742732184204*w3 +
0.0100726762718347*w4 - 0.00407707910750514*w5 + 0.0067396798652064*w6 +
0.00418264203555246*w7 - 0.018863147233827*w8 - 0.0171496156120639*w9 -
0.0124434389140271*w10) ;
Y12 >= 0.005 - (-0.0167701863354038*w1 + 0.00061012812690665*w2 + 0.0358958652373659*w3 -
0.00740553732222499*w4 + 0.0219760076579972*w5 - 0.0142259414225941*w6 +
0.013536966331135*w7 + 0*w8 - 0.00962695547533093*w9 - 0.00687285223367698*w10) ;
Y13 >= 0.005 - (-0.0109195920945762*w1 - 0.0223577235772358*w2 + 0.0538111288510437*w3 +
0.0300974989402289*w4 - 0.017896289210411*w5 + 0.0212224108658744*w6 -
0.00650684931506849*w7 - 0.008258064516129*w8 - 0.000668286755771567*w9 -
0.00461361014994233*w10) ;
Y14 >= 0.005 - (0.000456204379562044*w1 + 0.027027027027027*w2 + 0.0499971943213064*w3 -
0.00905349794238683*w4 + 0.004484577922078*w5 - 0.00665004156275977*w6 -
0.00651499482936921*w7 + 0*w8 + 0.00468113563134537*w9 + 0.00289687137891078*w10) ;
Y15 >= 0.005 - (0.000455996352029184*w1 - 0.0121659919028341*w2 + 0.0499679350149637*w3
+ 0.0141196013289037*w4 + 0.0052322175309589*w5 - 0.00292887029288703*w6 +
0.00640158217966076*w7 + 0.0586130627114233*w8 + 0.0116180563959821*w9 +
0.00358174465626808*w10) ;
Y16 >= 0.005 - (0.00546946216955333*w1 + 0.00473370355949925*w2 + 0.0499821855754059*w3
- 0.00454545454545451*w4 - 0.0020096463022508*w5 - 0.0130088124213177*w6 -
0.00467152781369057*w7 - 0.0384071775333374*w8 - 0.0118435219523866*w9 +
0.0112825236011973*w10) ;
Y17 >= 0.005 - (-0.00181323662737987*w1 - 0.00764837854374873*w2 -0.0519172039362064*w3
- 0.000370233246945613*w4 + 0.00314136125654458*w5 - 0.00935374149659864*w6 -
0.030135088326983*w7 - 0.0158486707566462*w8 + 0.00665859564164649*w9 +
0.012693533697632*w10) ;
Y18 >= 0.005 - (-0.0246139872842869*w1 - 0.00524098242729421*w2 - 0.0432048266693936*w3 -
0.00164609053497942*w4 - 0.0059418660671271*w5 - 0.0176824034334763*w6 +
0.00742857142857149*w7 - 0.0207142857142858*w8 - 0.0126277811184606*w9 -
0.000281040975774268*w10) ;
Y19 >= 0.005 - (0.0084737871310177*w1 - 0.0539256198347107*w2 - 0.0403462833324427*w3 +
0.0140148392415499*w4 + 0.0226777059773829*w5 + 0.0328993358965396*w6 +
0.00326148610323306*w7 + 0.0264571314899543*w8 + 0.00791717417783191*w9 -
0.000899583942426577*w10) ;
Y20 >= 0.005 - (0.0182825484764543*w1 + 0.0264249836208779*w2 - 0.00879830716115378*w3 +
0.0133739837398374*w4 + 0.0109985585372114*w5 + 0.00740239414576372*w6 +
0.0106007067137809*w7 + 0.0103359173126615*w8 + 0.00326283987915408*w9 +
0.0135059088351154*w10) ;

0.005 <= -0.000880*w1 - 0.002025*w2 + 0.028912*w3 + 0.001553*w4 + 0.001974*w5 -

0.000952*w6 - 0.000983*w7 + 0.003818*w8 - 0.002602*w9 + 0.000063*w10 ;
1 = w1 + w2 + w3 + w4 + w5 + w6 + w7 + w8 + w9 + w10 ;

0 <= Y1 ;
0 <= Y2 ;
0 <= Y3 ;
0 <= Y4 ;
0 <= Y5 ;
0 <= Y6 ;
0 <= Y7 ;
0 <= Y8 ;
0 <= Y9 ;
0 <= Y10 ;
0 <= Y11 ;
0 <= Y12 ;
0 <= Y13 ;
0 <= Y14 ;
0 <= Y15 ;
0 <= Y16 ;
0 <= Y17 ;
0 <= Y18 ;
0 <= Y19 ;
0 <= Y20 ;
0 <= W1 ;
0 <= W2 ;
0 <= W3 ;
0 <= W4 ;
0 <= W5 ;
0 <= W6 ;
0 <= W7 ;
0 <= W8 ;
0 <= W9 ;
0 <= W10 ;

END

Result
Objective Value 0.1784342E-04
w1 0.4853889E-07 Y6 0.3952186E-03
w2 0.2669863E-07 Y7 0.4066534E-02
w3 0.1417800 Y8 0.9175205E-02
w4 0.1677983 Y9 0.1123991E-02
w5 0.3122813 Y10 0.2685960E-05
w6 0.1938783E-07 Y11 0.2203029E-02
w7 0.7466249E-07 Y12 0.2683207E-05
w8 0.6283026E-07 Y13 0.2672512E-05
w9 0.3541546E-07 Y14 0.2680661E-05
w10 0.3781400 Y15 0.2685087E-05
Y1 0.4878880E-02 Y16 0.2680653E-05
Y2 0.8493417E-03 Y17 0.6642028E-02
Y3 0.2685708E-05 Y18 0.1336360E-01
Y4 0.2669943E-05 Y19 0.1626976E-02
Y5 0.2677388E-05 Y20 0.2684622E-05
Absolute Deviation
Absolute deviation is a measure of risk that considers both positive and negative deviations from
the mean. It is calculated by taking the absolute value of the difference between each return and
the mean, summing them up, and dividing by the number of observations. This measure is useful
for investors who are concerned about minimizing overall variability in returns. The formula for
absolute deviation is:
𝑛
1
𝐴𝑏𝑠𝑜𝑙𝑢𝑡𝑒 𝐷𝑒𝑣𝑖𝑎𝑡𝑖𝑜𝑛 = ∑ |𝑟𝑖 − 𝑟̅ |
𝑛
𝑖=1

where 𝑟𝑖 is the return for the 𝑖 𝑡ℎ observation, 𝑟̅ is the average return, and 𝑛 is the total number of
observations.

Mathematical Model

𝑛
1
Minimize AD = ∑ 𝑦𝑖
T
𝑖=1

Subject to ∶
𝑛

𝑦𝑗 ≥ 𝜇0 − ∑ 𝑢𝑖𝑗 𝑤𝑖
𝑖=1
𝑛

𝑦𝑗 ≥ ∑ μ𝑖 w𝑖 − µ0
𝑖=1
𝑛

∑ μ𝑖 w𝑖 ≥ u𝑜
𝑖=1
𝑛

∑ 𝑤𝑖 = 1
𝑖=1

wi ≥ 0 ∀i = 1,2,3, ⋯ , n
yj ≥ 0 ∀j = 1,2,3, ⋯ , T

where,
𝑇: Number of periods of time (20 in our case)
μ𝑖𝑗: return of the 𝑖𝑡ℎ asset in the 𝑗𝑡ℎ period
μ𝑖: average return of the 𝑖𝑡ℎ asset
𝑤𝑖: weight of the 𝑖𝑡ℎ asset
μ0: desired minimum return (0.5% in our case)
𝑦𝑗 = 𝜇0 − ∑𝑛𝑖=1 𝑢𝑖𝑗 𝑤𝑖 : deviation of the portfolio from the desired return in the 𝑗𝑡ℎ period
LINGO Code
MIN = (Y1 + Y2 + Y3 + Y4 + Y5 + Y6 + Y7 + Y8 + Y9 + Y10 + Y11 + Y12 + Y13 + Y14 + Y15 + Y16
+ Y17 + Y18 + Y19 + Y20)/20 ;

Y1 >= 0.005 - (-0.0159786950732357*w1 + 0.0245932498295669*w2 + 0.0499460308115003*w3 -

0.00611646071827075*w4 - 0.00164366883116891*w5 - 0.0166529605263158*w6 +
0.0129310344827587*w7 - 0.0150205761316873*w8 - 0.0250087093587057*w9 -
0.0143349261029003*w10) ;

Y2 >= 0.005 - (-0.0197113216057735*w1 - 0.0136648923492493*w2 + 0.05*w3 -

0.00453241299014516*w4 + 0.00428870505498087*w5 + 0.00970102446163488*w6 +
0.00942249240121584*w7 + 0.0249982591741523*w8 + 0.00866916588566073*w9 -
0.00930101465614431*w10) ;

Y3 >= 0.005 - (0.00147241522109226*w1 + 0.0209524768425292*w2 + 0.0499332443257676*w3 +

0.0111946532999165*w4 + 0.00627403359643797*w5 + 0.0140804240692426*w6 -
0.00277694134966047*w7 + 0.0394021739130435*w8 + 0.00348432055749129*w9 +
0.00142247510668563*w10) ;

Y4 >= 0.005 - (-0.00859177578681361*w1 + 0.00155817003777076*w2 + 0.0499321804001357*w3 +

0.00338730998017177*w4 - 0.00241351568785197*w5 - 0.00355290562339193*w6 -
0.0206669798027243*w7 + 0.00849673202614379*w8 + 0.00625*w9 - 0.00340909090909091*w10) ;

Y5 >= 0.005 - (-0.0176105292427472*w1 + 0.00560265461455899*w2 + 0.0499798142914817*w3 +

0.00288184438040346*w4 - 0.00774193548387089*w5 - 0.00901639344262295*w6 -
0.0308324768756423*w7 + 0.01749837977965*w8 - 0.0161030595813204*w9 +
0.00627137970353478*w10) ;

Y6 >= 0.005 - (0.00146240211340688*w1 + 0.000930205232649225*w2 + 0.0499846201168871*w3

- 0.013136288998358*w4 + 0.000345416124837414*w5 + 0.00789909015715464*w6 +
0.0233297985153765*w7 + 0.00636942675159236*w8 + 0.00537760112228197*w9 -
0.00101983002832859*w10) ;

Y7 >= 0.005 - (0.0683498987234443*w1 - 0.00407931678780694*w2 + 0.0499487329720227*w3 -

0.0206738768718801*w4 - 0.00274206325025897*w5 - 0.0135817159739034*w6 +
0.00379965457685665*w7 - 0.0365822784810126*w8 - 0.00837209302325581*w9 -
0.00482078039927405*w10) ;

Y8 >= 0.005 - (-0.0157848324514992*w1 - 0.0324735280828242*w2 - 0.00669642857142851*w3 +

0.000212377352079174*w4 - 0.00444009939305067*w5 - 0.0199667221297837*w6 -
0.022367515485203*w7 + 0.0306792799894889*w8 - 0.00152439024390244*w9 -
0.00495811249786291*w10) ;

Y9 >= 0.005 - (-0.000223994265746797*w1 - 0.017258883248731*w2 + 0.0412921348314606*w3+

0.000934261933072795*w4 - 0.0151595744680852*w5 + 0.00725806451612899*w6 -
0.00459345300950376*w7 + 0.0198228057874944*w8 - 0.00767469172049329*w9 +
0.00687285223367698*w10) ;

Y10 >= 0.005 - (0.000582515571089386*w1 + 0.00206611570247934*w2 + 0.048556784461829*w3

- 0.00173949936359776*w4 + 0.0241176592783399*w5 + 0.00037925076903632*w6 +
0.0145158153432699*w7 - 0.012625*w8 + 0.000633162320332838*w9 + 0.00568828213879408*w10)
;

Y11 >= 0.005 - (0.00940438871473354*w1 + 0.0138144329896907*w2 + 0.0499742732184204*w3 +

0.0100726762718347*w4 - 0.00407707910750514*w5 + 0.0067396798652064*w6 +
0.00418264203555246*w7 - 0.018863147233827*w8 - 0.0171496156120639*w9 -
0.0124434389140271*w10) ;

Y12 >= 0.005 - (-0.0167701863354038*w1 + 0.00061012812690665*w2 + 0.0358958652373659*w3 -

0.00740553732222499*w4 + 0.0219760076579972*w5 - 0.0142259414225941*w6 +
0.013536966331135*w7 + 0*w8 - 0.00962695547533093*w9 - 0.00687285223367698*w10) ;
Y13 >= 0.005 - (-0.0109195920945762*w1 - 0.0223577235772358*w2 + 0.0538111288510437*w3 +
0.0300974989402289*w4 - 0.017896289210411*w5 + 0.0212224108658744*w6 -
0.00650684931506849*w7 - 0.008258064516129*w8 - 0.000668286755771567*w9 -
0.00461361014994233*w10) ;

Y14 >= 0.005 - (0.000456204379562044*w1 + 0.027027027027027*w2 + 0.0499971943213064*w3 -

0.00905349794238683*w4 + 0.004484577922078*w5 - 0.00665004156275977*w6 -
0.00651499482936921*w7 + 0*w8 + 0.00468113563134537*w9 + 0.00289687137891078*w10) ;

Y15 >= 0.005 - (0.000455996352029184*w1 - 0.0121659919028341*w2 + 0.0499679350149637*w3

+ 0.0141196013289037*w4 + 0.0052322175309589*w5 - 0.00292887029288703*w6 +
0.00640158217966076*w7 + 0.0586130627114233*w8 + 0.0116180563959821*w9 +
0.00358174465626808*w10) ;

Y16 >= 0.005 - (0.00546946216955333*w1 + 0.00473370355949925*w2 + 0.0499821855754059*w3

- 0.00454545454545451*w4 - 0.0020096463022508*w5 - 0.0130088124213177*w6 -
0.00467152781369057*w7 - 0.0384071775333374*w8 - 0.0118435219523866*w9 +
0.0112825236011973*w10) ;

Y17 >= 0.005 - (-0.00181323662737987*w1 - 0.00764837854374873*w2 -0.0519172039362064*w3

- 0.000370233246945613*w4 + 0.00314136125654458*w5 - 0.00935374149659864*w6 -
0.030135088326983*w7 - 0.0158486707566462*w8 + 0.00665859564164649*w9 +
0.012693533697632*w10) ;

Y18 >= 0.005 - (-0.0246139872842869*w1 - 0.00524098242729421*w2 - 0.0432048266693936*w3 -

0.00164609053497942*w4 - 0.0059418660671271*w5 - 0.0176824034334763*w6 +
0.00742857142857149*w7 - 0.0207142857142858*w8 - 0.0126277811184606*w9 -
0.000281040975774268*w10) ;

Y19 >= 0.005 - (0.0084737871310177*w1 - 0.0539256198347107*w2 - 0.0403462833324427*w3 +

0.0140148392415499*w4 + 0.0226777059773829*w5 + 0.0328993358965396*w6 +
0.00326148610323306*w7 + 0.0264571314899543*w8 + 0.00791717417783191*w9 -
0.000899583942426577*w10) ;

Y20 >= 0.005 - (0.0182825484764543*w1 + 0.0264249836208779*w2 - 0.00879830716115378*w3 +

0.0133739837398374*w4 + 0.0109985585372114*w5 + 0.00740239414576372*w6 +
0.0106007067137809*w7 + 0.0103359173126615*w8 + 0.00326283987915408*w9 +
0.0135059088351154*w10) ;

-Y1 <= 0.005 - (-0.0159786950732357*w1 + 0.0245932498295669*w2 + 0.0499460308115003*w3 -

0.00611646071827075*w4 - 0.00164366883116891*w5 - 0.0166529605263158*w6 +
0.0129310344827587*w7 - 0.0150205761316873*w8 - 0.0250087093587057*w9 -
0.0143349261029003*w10) ;

-Y2 <= 0.005 - (-0.0197113216057735*w1 - 0.0136648923492493*w2 + 0.05*w3 -

0.00453241299014516*w4 + 0.00428870505498087*w5 + 0.00970102446163488*w6 +
0.00942249240121584*w7 + 0.0249982591741523*w8 + 0.00866916588566073*w9 -
0.00930101465614431*w10) ;

-Y3 <= 0.005 - (0.00147241522109226*w1 + 0.0209524768425292*w2 + 0.0499332443257676*w3 +

0.0111946532999165*w4 + 0.00627403359643797*w5 + 0.0140804240692426*w6 -
0.00277694134966047*w7 + 0.0394021739130435*w8 + 0.00348432055749129*w9 +
0.00142247510668563*w10) ;

-Y4 <= 0.005 - (-0.00859177578681361*w1 + 0.00155817003777076*w2 + 0.0499321804001357*w3

+ 0.00338730998017177*w4 - 0.00241351568785197*w5 - 0.00355290562339193*w6 -
0.0206669798027243*w7 + 0.00849673202614379*w8 + 0.00625*w9 - 0.00340909090909091*w10) ;

-Y5 <= 0.005 - (-0.0176105292427472*w1 + 0.00560265461455899*w2 + 0.0499798142914817*w3 +

0.00288184438040346*w4 - 0.00774193548387089*w5 - 0.00901639344262295*w6 -
0.0308324768756423*w7 + 0.01749837977965*w8 - 0.0161030595813204*w9 +
0.00627137970353478*w10) ;
-Y6 <= 0.005 - (0.00146240211340688*w1 + 0.000930205232649225*w2 + 0.0499846201168871*w3
- 0.013136288998358*w4 + 0.000345416124837414*w5 + 0.00789909015715464*w6 +
0.0233297985153765*w7 + 0.00636942675159236*w8 + 0.00537760112228197*w9 -
0.00101983002832859*w10) ;

-Y7 <= 0.005 - (0.0683498987234443*w1 - 0.00407931678780694*w2 + 0.0499487329720227*w3 -

0.0206738768718801*w4 - 0.00274206325025897*w5 - 0.0135817159739034*w6 +
0.00379965457685665*w7 - 0.0365822784810126*w8 - 0.00837209302325581*w9 -
0.00482078039927405*w10) ;

-Y8 <= 0.005 - (-0.0157848324514992*w1 - 0.0324735280828242*w2 - 0.00669642857142851*w3 +

0.000212377352079174*w4 - 0.00444009939305067*w5 - 0.0199667221297837*w6 -
0.022367515485203*w7 + 0.0306792799894889*w8 - 0.00152439024390244*w9 -
0.00495811249786291*w10) ;

-Y9 <= 0.005 - (-0.000223994265746797*w1 - 0.017258883248731*w2 + 0.0412921348314606*w3+

0.000934261933072795*w4 - 0.0151595744680852*w5 + 0.00725806451612899*w6 -
0.00459345300950376*w7 + 0.0198228057874944*w8 - 0.00767469172049329*w9 +
0.00687285223367698*w10) ;

-Y10 <= 0.005 - (0.000582515571089386*w1 + 0.00206611570247934*w2 + 0.048556784461829*w3

- 0.00173949936359776*w4 + 0.0241176592783399*w5 + 0.00037925076903632*w6 +
0.0145158153432699*w7 - 0.012625*w8 + 0.000633162320332838*w9 + 0.00568828213879408*w10)
;

-Y11 <= 0.005 - (0.00940438871473354*w1 + 0.0138144329896907*w2 + 0.0499742732184204*w3 +

0.0100726762718347*w4 - 0.00407707910750514*w5 + 0.0067396798652064*w6 +
0.00418264203555246*w7 - 0.018863147233827*w8 - 0.0171496156120639*w9 -
0.0124434389140271*w10) ;

-Y12 <= 0.005 - (-0.0167701863354038*w1 + 0.00061012812690665*w2 + 0.0358958652373659*w3

- 0.00740553732222499*w4 + 0.0219760076579972*w5 - 0.0142259414225941*w6 +
0.013536966331135*w7 + 0*w8 - 0.00962695547533093*w9 - 0.00687285223367698*w10) ;
-Y13 <= 0.005 - (-0.0109195920945762*w1 - 0.0223577235772358*w2 + 0.0538111288510437*w3 +
0.0300974989402289*w4 - 0.017896289210411*w5 + 0.0212224108658744*w6 -
0.00650684931506849*w7 - 0.008258064516129*w8 - 0.000668286755771567*w9 -
0.00461361014994233*w10) ;

-Y14 <= 0.005 - (0.000456204379562044*w1 + 0.027027027027027*w2 + 0.0499971943213064*w3 -

0.00905349794238683*w4 + 0.004484577922078*w5 - 0.00665004156275977*w6 -
0.00651499482936921*w7 + 0*w8 + 0.00468113563134537*w9 + 0.00289687137891078*w10) ;

-Y15 <= 0.005 - (0.000455996352029184*w1 - 0.0121659919028341*w2 + 0.0499679350149637*w3

+ 0.0141196013289037*w4 + 0.0052322175309589*w5 - 0.00292887029288703*w6 +
0.00640158217966076*w7 + 0.0586130627114233*w8 + 0.0116180563959821*w9 +
0.00358174465626808*w10) ;

-Y16 <= 0.005 - (0.00546946216955333*w1 + 0.00473370355949925*w2 + 0.0499821855754059*w3

- 0.00454545454545451*w4 - 0.0020096463022508*w5 - 0.0130088124213177*w6 -
0.00467152781369057*w7 - 0.0384071775333374*w8 - 0.0118435219523866*w9 +
0.0112825236011973*w10) ;

-Y17 <= 0.005 - (-0.00181323662737987*w1 - 0.00764837854374873*w2 -0.0519172039362064*w3

- 0.000370233246945613*w4 + 0.00314136125654458*w5 - 0.00935374149659864*w6 -
0.030135088326983*w7 - 0.0158486707566462*w8 + 0.00665859564164649*w9 +
0.012693533697632*w10) ;

-Y18 <= 0.005 - (-0.0246139872842869*w1 - 0.00524098242729421*w2 - 0.0432048266693936*w3

- 0.00164609053497942*w4 - 0.0059418660671271*w5 - 0.0176824034334763*w6 +
0.00742857142857149*w7 - 0.0207142857142858*w8 - 0.0126277811184606*w9 -
0.000281040975774268*w10) ;

-Y19 <= 0.005 - (0.0084737871310177*w1 - 0.0539256198347107*w2 - 0.0403462833324427*w3 +

0.0140148392415499*w4 + 0.0226777059773829*w5 + 0.0328993358965396*w6 +
0.00326148610323306*w7 + 0.0264571314899543*w8 + 0.00791717417783191*w9 -
0.000899583942426577*w10) ;

-Y20 <= 0.005 - (0.0182825484764543*w1 + 0.0264249836208779*w2 - 0.00879830716115378*w3 +

0.0133739837398374*w4 + 0.0109985585372114*w5 + 0.00740239414576372*w6 +
0.0106007067137809*w7 + 0.0103359173126615*w8 + 0.00326283987915408*w9 +
0.0135059088351154*w10) ;

0.005 <= -0.000880*w1 - 0.002025*w2 + 0.028912*w3 + 0.001553*w4 + 0.001974*w5 -

0.000952*w6 - 0.000983*w7 + 0.003818*w8 - 0.002602*w9 + 0.000063*w10 ;
1 = w1 + w2 + w3 + w4 + w5 + w6 + w7 + w8 + w9 + w10 ;

0 <= Y1 ;
0 <= Y2 ;
0 <= Y3 ;
0 <= Y4 ;
0 <= Y5 ;
0 <= Y6 ;
0 <= Y7 ;
0 <= Y8 ;
0 <= Y9 ;
0 <= Y10 ;
0 <= Y11 ;
0 <= Y12 ;
0 <= Y13 ;
0 <= Y14 ;
0 <= Y15 ;
0 <= Y16 ;
0 <= Y17 ;
0 <= Y18 ;
0 <= Y19 ;
0 <= Y20 ;
0 <= W1 ;
0 <= W2 ;
0 <= W3 ;
0 <= W4 ;
0 <= W5 ;
0 <= W6 ;
0 <= W7 ;
0 <= W8 ;
0 <= W9 ;
0 <= W10 ;

END

Result
Objective Value 0.4010924E-02
w1 0.9055636E-01 Y6 0.3381554E-03
w2 0 Y7 0
w3 0.1403480 Y8 0.8255300E-02
w4 0.2052562 Y9 0
w5 0.2420420 Y10 0.8280810E-02
w6 0 Y11 0
w7 0.2755667E-01 Y12 0.1097306E-02
w8 0.6230250E-01 Y13 0.1645613E-02
w9 0 Y14 0.1777851E-02
w10 0.2319382 Y15 0.1087764E-01
Y1 0.4994727E-02 Y16 0.1186045E-02
Y2 0 Y17 0.1064004E-01
Y3 0.8665976E-02 Y18 0.1621974E-01
Y4 0.5100912E-03 Y19 0
Y5 0.8325888E-03 Y20 0.4896594E-02
Value at Risk (VaR)
VaR is a measure of risk that estimates the maximum potential loss of a portfolio with a certain
level of confidence over a given time period. It is calculated by determining the potential loss at a
given confidence level and time horizon. For example, if the VaR for a portfolio is $100 million with
95% confidence over a one-year period, it means that there is a 95% chance that the portfolio will
not lose more than $100 million over the next year. The formula for VaR is:
𝑉𝑎𝑅 = −1(𝑝 × 𝑉)
where p is the confidence level, V is the portfolio value, and -1 indicates the loss.

Mathematical Model

𝑛
−1 √ 𝑇
𝑀𝑖𝑛 𝑉𝑎𝑟𝛼 = − ∑ 𝜇𝑖 𝑤𝑖 + 𝜃1−𝛼 𝑤 𝑐𝑤
𝑖=1

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜
𝑛

∑ μ𝑖 w𝑖 ≥ u𝑜
𝑖=1
𝑛

∑ 𝑤𝑖 = 1
𝑖=1

𝑤𝑖 ≥ 0 ∀ 𝑖 = 1,2, … , 𝑛

where,

𝑇: Number of periods of time (20 in our case)

𝑤: column vector of all the weights

μ𝑖: average return of the 𝑖𝑡ℎ asset

𝑤𝑖: weight of the 𝑖𝑡ℎ asset

μ0: desired minimum return (0.5% in our case)

𝑐: covariance matrix
LINGO Code
SETS:
COMPANY/1..10/:w,AvgReturn;
STEPS/1..20/:y,Time;
MATRIX(COMPANY,STEPS):Return;
COVARIANCE(COMPANY,COMPANY):Cov;
ENDSETS

DATA:
a=0.95;
T=20;
u=0.005;
Time, Return, AvgReturn, Cov=@OLE('C:\Users\lenovo\Downloads\Stock
Data.xlsx','Time','Return','AvgReturn','Cov');
@OLE('C:\Users\lenovo\Downloads\Stock Data.xlsx','w')=w;
ENDDATA

MIN = -@SUM(COMPANY(i): AvgReturn(i)*w(i))+

@NORMSINV(a)*@SQRT(@SUM(COMPANY(i):w(i)*@SUM(COVARIANCE(i,j): Cov(i,j)*w(j))));
@SUM(COMPANY(i): AvgReturn(i)*w(i))>=u;
@SUM(COMPANY(i): w(i))=1;
@FOR(COMPANY(i): w(i)>=0);

END

Result
Objective Value 0.4305453E-02
W1 0.4236253E-03
W2 0
W3 0.1421402
W4 0.2176094
W5 0.2682178
W6 0
W7 0
W8 0
W9 0
W10 0.3716091
Conditional Value at Risk (CVaR)
CVaR, also known as Expected Shortfall, is a measure of risk that estimates the expected loss
beyond the VaR. It is calculated by averaging the potential losses that exceed the VaR. For
example, if the VaR for a portfolio is $100 million with 95% confidence over a one-year period, and
the CVaR is $120 million, it means that if the portfolio experiences a loss that exceeds $100
million, the average loss will be $120 million. The formula for CVaR is:
1 ∞
𝐶𝑉𝑎𝑅 = ∫ 𝑓(𝑥)𝑑𝑥
𝑝 𝑝−𝑉𝑎𝑅

where p is the confidence level, VaR is the Value at Risk, and 𝑓(𝑥) is the probability distribution
function of the losses beyond the VaR.

Mathematical Model
𝑛
1
𝑀𝑖𝑛𝑖𝑚𝑖𝑧𝑒 𝐶𝑉𝑎𝑅𝛼 = ղ + ∑ 𝑦𝑖
𝑇(1 − 𝛼)
𝑖=1

𝑆𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜
𝑛

𝑦𝑗 ≥ − ∑(u𝑖𝑗 w𝑖 − ղ)
𝑖=1
𝑛

∑ μ𝑖 w𝑖 ≥ u𝑜
𝑖=1
𝑛

∑ 𝑤𝑖 = 1
𝑖=1

wi ≥ 0 ∀i = 1,2,3, ⋯ , n
yj ≥ 0 ∀j = 1,2,3, ⋯ , T

where,

𝑇: Number of periods of time (20 in our case)

𝑤: column vector of all the weights

μ𝑖: average return of the 𝑖𝑡ℎ asset

𝑤𝑖: weight of the 𝑖𝑡ℎ asset

μ0: desired minimum return (0.5% in our case

𝑦𝑗 = − ∑𝑛𝑖=1(𝑢𝑖𝑗 𝑤𝑖 − ղ): deviation of the portfolio from the VAR

LINGO Code
SETS:
COMPANY/1..10/:w,AvgReturn;
STEPS/1..20/:y,Time;
MATRIX(COMPANY,STEPS):Return;
COVARIANCE(COMPANY,COMPANY):Cov;
ENDSETS

DATA:
a=0.95;
T=20;
u=0.005;
Time, Return, AvgReturn, Cov=@OLE('C:\Users\lenovo\Downloads\Stock
Data.xlsx','Time','Return','AvgReturn','Cov');
@OLE('C:\Users\lenovo\Downloads\Stock Data.xlsx','w')=w;
@OLE('C:\Users\lenovo\Downloads\Stock Data.xlsx','y')=y;
ENDDATA

eta=-@SUM(COMPANY(i): AvgReturn(i)*w(i))+
@NORMSINV(a)*@SQRT(@SUM(COMPANY(i):w(i)*@SUM(COVARIANCE(i,j): Cov(i,j)*w(j))));

MIN = eta + (1/((1-a)*T))*@SUM(STEPS(j): y(j));

@SUM(COMPANY(i): AvgReturn(i)*w(i))>=u;
@SUM(COMPANY(i): w(i))=1;
@FOR(STEPS(j): y(j) >= - @SUM(MATRIX(i,j): Return(i,j)*w(i)-eta ));
@FOR(COMPANY(i): w(i)>=0);
@FOR(STEPS(j): y(j)>=0);

END

Result

Objective Value 0.7848707

w1 0 Y6 3.24E-02
w2 0 Y7 4.68E-02
w3 0.1429476 Y8 3.23E-02
w4 0.1992474 Y9 4.61E-02
w5 0.2701405 Y10 4.17E-02
w6 0 Y11 3.88E-02
w7 0 Y12 3.87E-02
w8 0 Y13 2.76E-02
w9 0 Y14 4.03E-02
w10 0.3876645 Y15 3.32E-02
Y1 2.88E-02 Y16 4.30E-02
Y2 6.87E-02 Y17 3.62E-02
Y3 3.05E-02 Y18 3.55E-02
Y4 4.12E-02 Y19 4.12E-02
Y5 4.01E-02 Y20 3.75E-02
CONCLUSION
W(Semi Variance) W(Abs. Variance) W(VaR) W(CVaR)
TECHM 0.0000000485 0.090556 0.000424 0.0000000
PGHL 0.0000000267 0.000000 0.000000 0.0000000
ADANIGREEN 0.1417800000 0.140348 0.142140 0.1429476
TATACOMM 0.1677983000 0.205256 0.217609 0.1992474
HINDUNILVR 0.3122813000 0.242042 0.268218 0.2701405
HAVELLS 0.0000000194 0.000000 0.000000 0.0000000
DIXON 0.0000000747 0.027557 0.000000 0.0000000
HGINFRA 0.0000000628 0.062303 0.000000 0.0000000
MARUTI 0.0000000354 0.000000 0.000000 0.0000000
CIPLA 0.3781400000 0.231938 0.371609 0.3876645

1. It can be easily observed that CIPLA, HINDUNILVR, TATACOMMS and ADANIGREEN have
continued to be in the portfolio irrespective of the measure of risk chosen.
2. CIPLA has the highest weight in all cases except HINDUNILVR which has the highest weight
in Absolute Variance.
3. The final portfolio can be constructed by including the common assets appearing in all the
cases.